CAJ | 학술논문

作为我国股票市场交易制度的重大改革举措之一，融资融券业务及其对股票市场的影响一直以来在学界与业界尚存争议。基于融资融券推出前后的市场收益率，结合收益率波动特征，将融资融券业务作为虚拟变量引入GARCH与EGARCH模型进行定量分析。结果表明，融资融券业务对我国股票市场长期波动性影响并不显著，相关性分析发现融资融券业务在发展初期的规模局限或是影响不显著的主因，在有序规制前提下稳步推进融资融券业务规模扩张，是促进其为股票市场带来积极影响的有效路径。
작위아국고표시장교역제도적중대개혁거조지일，융자융권업무급기대고표시장적영향일직이래재학계여업계상존쟁의。기우융자융권추출전후적시장수익솔，결합수익솔파동특정，장융자융권업무작위허의변량인입GARCH여EGARCH모형진행정량분석。결과표명，융자융권업무대아국고표시장장기파동성영향병불현저，상관성분석발현융자융권업무재발전초기적규모국한혹시영향불현저적주인，재유서규제전제하은보추진융자융권업무규모확장，시촉진기위고표시장대래적겁영향적유효로경。
Margin trading and short selling is one of the major reform measures of China's stock market.But its influence on the stock market has always been controversial in academia and industry.Implementing quantitative analysis based on GARCH and EGARCH model,this paper targets this issue.It introduces,together with the fluctuant features of the return rate,margin trading and short sell-ing as a dummy variable on the basis of the market returns before and after the release of margin trading and short selling.Results show that (1 )the introduction of margin trading and short selling has no significant impact on the long-term volatility of stock market in China.(2)The correlation analyses find out that the limited scale of margin trading and short selling business in its early development stage could be the main reason of this insignificance.Therefore,steadily promoting the scale of margin trading and short selling busi-ness under orderly regulations is an effective method to bring about positive impact on China's stock market.