本文選題：融資融券 + 上證指數(shù)　； 參考：《金融論壇》2012年05期

【摘要】：本文利用TGARCH模型研究了融資融券制度對(duì)上證50和深證成指日收益率波動(dòng)性的影響。研究結(jié)果表明,實(shí)行融資融券后,上證50和深證成指日收益率的波動(dòng)均有所下降,融資融券具有一定的穩(wěn)定市場(chǎng)的作用,其中上證50的表現(xiàn)好于深證成指。但是收益率波動(dòng)的下降都比較少,短期內(nèi)融資融券對(duì)市場(chǎng)的作用不明顯。由于初期的入市資金有限,因此融資融券業(yè)務(wù)對(duì)市場(chǎng)的影響主要在心理層面上,對(duì)市場(chǎng)的直接影響很小。但是隨著試點(diǎn)規(guī)模的擴(kuò)大,將會(huì)有越來越多的信用資金進(jìn)入股市,因此融資融券業(yè)務(wù)對(duì)股市的影響是漸進(jìn)的,其長(zhǎng)期影響則是深遠(yuǎn)的。
[Abstract]:In this paper, we use TGARCH model to study the influence of margin lending system on the volatility of Shanghai Stock Exchange 50 and Shenzhen Stock Exchange. The research results show that the daily yield fluctuation of Shanghai Stock Exchange 50 and Shenzhen Composite Index has decreased after the practice of margin lending. Margin has a certain role of stabilizing the market, among which Shanghai Stock Exchange 50 performs better than Shenzhen Composite Index. But the rate of return fluctuates the decline is relatively small, short-term financing margin to the market function is not obvious. Because of the limited capital in the initial stage, the influence of margin financing on the market is mainly on the psychological level, and the direct influence on the market is very small. But with the expansion of the pilot scale, more and more credit funds will enter the stock market, so the impact of margin financing on the stock market is gradual, and its long-term impact is far-reaching.
【作者單位】： 中央財(cái)經(jīng)大學(xué)金融學(xué)院;民泰金融研究所;
【分類號(hào)】：F832.51;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前5條

1 廖士光;張宗新;;新興市場(chǎng)引入賣空機(jī)制對(duì)股市的沖擊效應(yīng)——來自香港證券市場(chǎng)的經(jīng)驗(yàn)證據(jù)[J];財(cái)經(jīng)研究;2005年10期

2 王e，

本文編號(hào)：2023039