论文部分内容阅读
本文是关于杠杆资金对股市波动的影响分析。本课题组通过对股市交易中资金杠杆水平和杠杆资金驱动下股市波动率的测算,分析资金杠杆波动对股市波动的传导机制,发现股市的杠杆率最高时点约为1.5倍。从现阶段测算的数据来看,资金杠杆已经回到年初水平,波动率趋于稳态,市场处于短期的均衡底部位置。杠杆资金不仅决定了股市的波动,还将股票市场交易性质变更为期货市场性质。为此,建议监管机构从行政执法角度设立杠杆资金进入条件,同时引入T+0或废除涨跌停板制度。
This article is about the impact of leveraged funds on the stock market volatility. By analyzing the volatility of the stock market driven by the leverage of funds and leveraged funds, the research group analyzed the conduction mechanism of the volatility of capital leverage on the stock market and found that the highest leverage ratio of the stock market was about 1.5 times. Judging from the data measured at this stage, the capital leverage has returned to the level of the beginning of the year, and the volatility tends to be steady. The market is at a short-term equilibrium bottom. Leveraged funds not only determine the volatility of the stock market, but also change the nature of the stock market transactions to the nature of the futures market. To this end, the proposed regulatory agencies from the perspective of administrative law enforcement to establish conditions for the introduction of leveraged funds, while the introduction of T +0 or abolished the price limit system.