CAJ | 학술논문

基于2009年4月-2013年12月我国股票市场的数据，本文研究了融资融券标的股票和非标的股票、以及股票被列入和剔出融资融券标的前后的价格波动特征。结果表明，融资融券交易机制的推出有效提高了我国股票价格的稳定性，融资融券标的股票的价格波动率和振幅均出现了显著性下降。我们还发现，融资融券交易显著降低了股票价格的跳跃风险，有利于防止股票价格的暴涨暴跌和过度投机。此外，融资融券交易在抑制股票价格异质性波动上也起到了实质性作用，从而有助于增加上市公司信息透明度和市场信息效率。
기우2009년4월-2013년12월아국고표시장적수거，본문연구료융자융권표적고표화비표적고표、이급고표피렬입화척출융자융권표적전후적개격파동특정。결과표명，융자융권교역궤제적추출유효제고료아국고표개격적은정성，융자융권표적고표적개격파동솔화진폭균출현료현저성하강。아문환발현，융자융권교역현저강저료고표개격적도약풍험，유리우방지고표개격적폭창폭질화과도투궤。차외，융자융권교역재억제고표개격이질성파동상야기도료실질성작용，종이유조우증가상시공사신식투명도화시장신식효솔。
Using the margin trading data between April 2009 and December 2013, this paper compares the volatility characteristics for stocks that are eligible for margin trading and those that are not eligible, and the volatility characteristics before and after the approval （or denial） of margin trading for each security. We find that the introduction of margin trading promotes the market price stability. First, the underlying stocks of margin trading experienced a significant decrease in price volatility and swing. Second, margin trading greatly decreases the jump risk and idiosyncratic risk, which indicates that margin trading has a significant effect on restraining surge of stock prices, and improving information transparency.