论文部分内容阅读
基于转融通制度推出前后沪深300指数的波动率以及日收益率,结合融资余额与融券余额的变化率,通过GARCH等模型进行实证分析,研究结果表明融资交易余额的增加加大了股市的波动性,而融券余额的增加则对股市波动性起到抑制作用;转融通业务开启后,融资融券在降低我国股市波动性方面起到了更好的作用。这体现了我国融券做空机制尚有待完善和扩充以便更好地制衡市场中过度的多头杠杆投机部位。
Based on the volatility and daily rate of return of the Shanghai and Shenzhen 300 Index before and after the launch of the system, the empirical analysis based on the GARCH model was conducted based on the balance of the financing balance and the margin of the securities lending market. The results show that the increase of the financing transaction balance increases the stock market’s However, the increase of margin balances can restrain the volatility of the stock market. After the opening of the refinancing business, margin financing and securities lending plays a better role in reducing the volatility of China’s stock market. This shows that the short margin trading mechanism in China still needs to be improved and expanded so as to better counterbalance excessive long-term speculative positions in the market.