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从2015年6月开始,A股市场经历了前所未有的异常波动,其中学术界对场内场外杠杆交易的声讨最为突出。但是本文认为,场内融资融券由于具有独特的性质,不应被一视同仁地认为是造成股市巨幅波动的元凶。为了更有力地揭示场内融资融券对股市的影响,本研究选取股市代表性指数的流动性与波动性指标为考察对象,并且按照股市行情的变化分为四阶段进行实证分析。实证检验中通过场内融资融券与股市流动性、波动性的VaR模型、协整检验以及脉冲响应分析,发现在股市快速上涨与快速下跌阶段,融资融券交易对流动性与波动性的冲击方向更明朗、程度明显放大;并且融资融券交易总体上能够增加市场流动性,在股灾中能够平抑市场波动性。
Since June 2015, the A-share market has undergone unprecedented abnormal fluctuations. Among them, academics have the most outstanding stand-offs on the off-exchange leverage trading in the market. However, this article argues that because of its unique nature, margin financing and securities lending in the market should not be regarded as the culprit causing huge fluctuations in the stock market without any discrimination. In order to more effectively reveal the impact of margin financing and securities lending on the stock market, this study selects the indices of liquidity and volatility of the stock market as the index of investigation, and conducts empirical analysis in four stages according to changes in the stock market. In the empirical test, through the VaR model of market liquidity and volatility, the VaR model of volatility, the co-integration test and the impulse response analysis, it is found that the impact of margin trading on the liquidity and volatility during the rapid and rapid decline of the stock market The direction of a more clear, significantly enlarged; and margin trading in general to increase market liquidity, in the stock market crash to stabilize the market volatility.