CAJ | 학술논문

文章基于2010年3月31日至2012年底沪市A股数据和融资融券余额交易数据，通过建立误差修正模型，利用协整检验和Granger因果检验的计量方法研究沪市A股指数和融资融券交易余额之间的关系，实证检验融资融券交易的推行对于沪市A股指数的影响，结果表明：融资融券余额和沪市A股指数之间存在长期稳定的协整关系，沪市A股指数是融资融券余额的Granger因，但融资融券余额不是沪市A股指数的Granger因，股价的变动会影响融资融券滞后一期和滞后二期的交易量，但融资融券的推行并没有加剧A股市场的波动。不过样本期内融资融券交易中融券卖空交易占比过少，融券卖空对冲作用的发挥受到卖空量的约束，应通过增加卖空标的、加快发展转融券等方式提升融券卖空交易量。
문장기우2010년3월31일지2012년저호시A고수거화융자융권여액교역수거，통과건립오차수정모형，이용협정검험화Granger인과검험적계량방법연구호시A고지수화융자융권교역여액지간적관계，실증검험융자융권교역적추행대우호시A고지수적영향，결과표명：융자융권여액화호시A고지수지간존재장기은정적협정관계，호시A고지수시융자융권여액적Granger인，단융자융권여액불시호시A고지수적Granger인，고개적변동회영향융자융권체후일기화체후이기적교역량，단융자융권적추행병몰유가극A고시장적파동。불과양본기내융자융권교역중융권매공교역점비과소，융권매공대충작용적발휘수도매공량적약속，응통과증가매공표적、가쾌발전전융권등방식제승융권매공교역량。
In this paper, the methods of cointegration and Granger causality test measurement are used to test the relationship between Shanghai A-share Index and securities margin trading balance based on the data of March 31, 2010 to December 31, 2012 to investigate the impact of the implementation of securities margin trading on Shanghai A-share Index. The empirical results show that there exists stable long-term cointegration relationship between margin balance and the Shanghai A-share Index. The Shanghai A-share Index is the Granger cause of securities margin trading balance, while the margin balance is not the Granger cause of Shanghai Composite Index. The change of stock price will influence the first-lagged and second-lagged margin trading volume, while the implementation of securities margin trading does not exacerbate the volatility of Shanghai share market. However, the volume of short-selling is too small to hedging the market effectively. We should increase the volume of short-selling by expanding the source of underlying stocks.