摘要
融资买空交易是信用交易的重要组成部分,是影响市场流动性的重要因素。本文利用台湾证券市场数据,依据保证金率变化情况分阶段实证研究买空交易与市场流动性之间关系,研究结果表明,对于整个证券市场而言,保证金率变化显著影响市场流动性和买空交易;在不同阶段中,买空交易与市场流动性之间均存在显著的协整关系,且买空交易是市场流动性的Granger原因,融资买空交易为市场提供了流动性。
Margin purchase is an important part of margin trading and plays an important role in providing market liquidity. With the data from Taiwan Stock Market, this paper focuses on the relationship between margin purchase and market liquidity in different periods identified by margin rate changes, and the results suggest that the margin rate changes influence market liquidity and margin purchase significantly. In different periods, there exists cointegration between margin purchase and market liquidity, and margin purchase is the Granger causality of market liquidity, which means that margin purchase can enhance market liquidity.
出处
《金融研究》
CSSCI
北大核心
2007年第05A期118-132,共15页
Journal of Financial Research
