CAJ | 학술논문

融资融券交易制度的推出为投资者提供了一种规避市场下跌风险的工具，但其杠杆效应可能吸引更多的投机行为从而加剧市场的波动。本文采用Hsiao et al．（2012）提出的一种面板数据政策效应评估方法，研究了国内融资融券制度的推出对股市波动率的影响。我们通过对比真实波动率与构造的反事实波动率路径，发现融资融券制度的推出有效地降低了融资融券标的个股波动率。进一步分析表明，融资交易和融券交易对股市波动率的影响存在非对称性。在我们的样本区间中，融资交易降低了股市的波动率，而融券交易增加了股市的波动率，但由于融资交易比融券交易更为活跃，所以对波动率的影响净效应依然为负，这个结果在控制了股指期货交易的影响之后仍然成立。
융자융권교역제도적추출위투자자제공료일충규피시장하질풍험적공구，단기강간효응가능흡인경다적투궤행위종이가극시장적파동。본문채용Hsiao et al．（2012）제출적일충면판수거정책효응평고방법，연구료국내융자융권제도적추출대고시파동솔적영향。아문통과대비진실파동솔여구조적반사실파동솔로경，발현융자융권제도적추출유효지강저료융자융권표적개고파동솔。진일보분석표명，융자교역화융권교역대고시파동솔적영향존재비대칭성。재아문적양본구간중，융자교역강저료고시적파동솔，이융권교역증가료고시적파동솔，단유우융자교역비융권교역경위활약，소이대파동솔적영향정효응의연위부，저개결과재공제료고지기화교역적영향지후잉연성립。
Margin trading and short selling provides an option to hedge market downside risk and thus may stabilize the market. However, it may increase the market volatility due to the leverage effect. In this paper, we use a panel -data policy evaluation approach （Hsiao et. al, 2012） to analyze the impact of margin trading and short selling to Chinese stock market volatility. By comparing the predicted volatility with the realized volatility, we find that, the new trading mechanism effectively reduces the volatility. A further regression analysis shows that the margin trade and the short selling generate different impact to the market volatility. In particular, within our sample period, the margin trade reduces the volatility while the short selling increases the volatility; thus the net effect is still negative. This conclusion still holds after controlling the effect of index futures.