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本文检验了2010年3月~2014年9月前后5个批次纳入两融标的证券波动性受融资融券业务的影响。基于面板模型的研究发现,标的融资交易对其波动性有显著的增强效应,而标的融券交易对其波动性影响不稳健,由于标的证券融资额占据两融业务绝大比重,两融交易整体呈现出增强个股波动性的效果。此外,估值指标不能区分融资融券对标的证券波动率的影响。
This paper examines the March 2010 ~ September 2014 five batches into the two melt standard securities volatility by margin trading business. Based on the panel model, it is found that the underlying financing transaction has a significant enhancement effect on its volatility. However, the impact of the underlying margin trading on its volatility is not robust. Since the underlying securities financing accounts for the overwhelming majority of the financial services, the two financial transactions as a whole Showing the effect of enhancing the volatility of individual stocks. In addition, the valuation indicators can not distinguish between the impact of margin trading on underlying securities’ volatility.