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.
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 different 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.
出处
《数学的实践与认识》
北大核心
2015年第24期96-107,共12页
Mathematics in Practice and Theory
基金
2014年辽宁省高等学校人文社会科学重点研究基地专项项目:"融资融券交易对我国股市波动性
流动性影响的实证研究"(ZJ2014049)
2014年度国家社科基金重点项目:"基于大数据的金融风险度量理论与应用研究"(14AZD089)
