作　　者： ; ; ;

机构地区： 深圳大学经济学院

出　　处： 《深圳大学学报（人文社会科学版）》 2013年第3期81-86,共6页

摘　　要： 采用GARCH族模型,分纵向和横向两个角度检验融资融券能否减小我国股市波动。纵向分析表明,推出融资融券后股市波动在统计上显著减小;横向对比表明,相比于上证综指,融资融券标的股比重较高的上证50指数更好地体现了融资融券减小股市波动的作用。为了更好地发挥融资融券减小股市波动的功能,在对策选择上可从三个方面入手:第一,有步骤地实现分散授信模式,以扩大资券来源,解决资券不足的问题;第二,扩大融券标的,平衡发展融资、融券业务;第三,培养投资者风险收益匹配观念。 We use the GARCH group models to test whether margin trading can reduce the volatility of Chinese stock market, in both vertical and horizontal angles. The vertical analysis of GARCH model shows that, statistically speaking, the volatility of Chinese stock market significantly is reduced after margin trading has kicked in. Horizontal comparison reveals that compared to the Shanghai Composite Index, the SSE 50 Index, which contains a higher proportion of underlying stock, performs better in terms of reducing the volatility of the stock market with margin trading. Finally, based on resuhs of our analysis, we suggest that credit should be conferred in a decentralized manner, that development and growth in financing and securities lending should proceed in a balanced fashion, and that a correct understanding of return matching risk should be cultivated among investors.

关 键 词： 融资融券 股市波动 族模型

领　　域： [经济管理]