【摘要】 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.更多还原

【Abstract】 Using 710 data of margin trading about underlying stocks in China,This article will use the method under the framework of VAR cointegration analysis and consider two diflferent angles of stock market and stock individual to research the impact margin trading on China’s stock market volatility.The empirical results show that the margin trading can significantly reduce the volatility of the stock market.In addition,in the case of high price earning ratio,high turnover rate and low turnover rate,the margin trading can significantly reduce the volatility of underlying stocks,investors can reduce the investment risk by buying these kinds of the underlying stocks.更多还原