基于GARCH模型的融资融券对我国股市的影响研究 A Research about Effects Margin Transaction Has on the Stock Market in China Based on GARCH Model

选取2014年3月12日至2016年9月14日之间的619个上证综指的对数收益率以及上交所的融资、融券余额作为样本数据。首先，利用AIC和SC准则确定了GARCH模型的滞后项数；然后，引入虚拟变量作为牛、熊市的划分，建立含虚拟变量的GARCH(1,1)模型，分析融资融券制度对股市波动性的影响。结果显示：1) 融资交易在熊市和牛市均增加了股市的波动性，并且融资交易在熊市时对股市波动性的放大作用比在牛市时更大；2) 融券交易在牛市时，增加了股市的波动性，而在熊市时，对股市的波动性有抑制作用。最后，结合当时的制度、政策及投资者心理，从统计上分析得到：在我国融资融券业务发展不均衡，融资业务规模远远大于融券业务的规模，因此，我国两融业务对股市波动性最重要的影响是融资业务。 Select 619 logarithmic ratio of Shanghai Composite Index and balances of financing and securities loan during the period between 12th March, 2014 and 14th September, 2016 as sample data. Firstly, AIC and SC criteria are used to confirm the lag item numbers of GARCH model. Then, we introduce dummy variables as the partition of bull market and bear market, establish GARCH (1,1) model including dummy variables and analyze the effects that the system of margin transaction has on stock market volatility. The results indicate that: 1) Financing transaction in both bull market and bear market increases stock market volatility and the amplified influence that financing transaction has on the volatility in the bear market is more significant than that in the bull market. 2) Securities trading increases the volatility in the bull market while restrains that in the bear market. Finally, we combine the temporal systems, policies and investors’ mentality and from statistical analysis, we draw a conclusion: In China, financing business and securities business develop unevenly and the scale of financing business is far larger than that of securities business. Thus, in China, financing business exerts more important effects on the fluctuation of the stock market than securities business.