| 融资融券交易对中国股市流动性和波动性的影响——以沪市为例 |
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| 引用本文： | 于孝建.融资融券交易对中国股市流动性和波动性的影响——以沪市为例[J].华南理工大学学报(社会科学版),2012,14(2):1-7. |
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| 作者姓名： | 于孝建 |
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| 作者单位： | 华南理工大学金融工程研究中心,广东广州510006／华南理工大学经济与贸易学院,广东广州510006 |
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| 基金项目： | 广东省软科学研究项目，华工经贸学院青年基金 |
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| 摘 要： | 本文分析了中国股市融资融券的交易情况，以上海证券市场为例，采用VAR模型分析方法实证研究了融资融券交易对股市波动性、流动性的影响。研究结果表明：融资和融券交易均是引起股市流动性和波动性变化的Granger原因；融资交易减小了股市流动性，但增大了股市的波动性，而融券交易同时减小了股市流动性和波动性；融资交易对股市的影响程度要大于融券交易。
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| 关 键 词： | 融资 融券 流动性 波动性 |
The Impact of Margin Purchasing and Short Selling on Liquidity and Volatility： Evidence from Shanghai Stock Market |
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| YU Xiao-jian.The Impact of Margin Purchasing and Short Selling on Liquidity and Volatility： Evidence from Shanghai Stock Market[J].Journal of South China University of Technology(Social Science Edition),2012,14(2):1-7. |
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| Authors: | YU Xiao-jian |
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| Institution: | YU Xiao-jian1,2(1.Research Center of Financial Engineering,South China University of Technology,Guangzhou 510006,Guangdong,China; 2.School of Economics and Commerce,South China University of Technology,Guangzhou 510006,Guangdong,China) |
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| Abstract: | This paper analyzes the margin purchasing and short selling transactions status of Chinese stock market.Using Shanghai stock market data,we examine the impact of margin purchasing and short selling on liquidity and volatility of stock market with VAR model analysis method.This study indicates that margin purchasing and short-selling both Granger cause the market liquidity and volatility.Margin purchasing has reduced stock market liquidity but increased the volatility.Short selling has reduced both stock market liquidity and volatility.The impact of margin purchasing is much greater than short selling. |
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| Keywords: | margin purchasing short selling liquidity volatility |
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