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采用710个融资融券的标的股票数据,利用VAR方法,从股票市场整体和不同类别股票个体两个角度,分别研究融资融券交易对股市及个股波动性的影响.实证结果表明,融资融券交易能够显著降低股票市场的波动性,另外,相对而言,在高市盈率下、高换手率和低换手率下,融资融券交易也能够显著降低标的股票的波动性,投资者可以通过购买具有相应特征的标的股票降低其投资风险.
The paper uses the 710 underlying stock data of margin trading and securities lending, using the VAR method to study separately the impact of margin trading on the volatility of the stock market and individual stock from the perspective of the stock market as a whole and individual stocks of different categories. The empirical results show that margin financing Trading can significantly reduce the volatility of the stock market. In addition, margin trading can significantly reduce the volatility of the underlying stock under high PE, high turnover ratio and low turnover ratio, and investors can pass Buying the underlying shares with corresponding characteristics reduces their investment risk.