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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存在争议。本文基于2011年11月25日融资融券业务“转常规”后的第一个交易日至2014年11月28日共728个交易日的数据,利用计量模型——VAR模型实证分析融资融券制度对股市波动性的影响,最终得出结论市场的波动变化会引起卖空交易变化,但是做空交易没有造成市场的大幅度波动。
As one of the major reform measures in China’s stock market trading system, the margin trading business and its impact on the stock market has been controversial. Based on the data of 728 trading days from November 1, 2011, the first trading day after the issue of “Margin Trading” to “November 28, 2014”, this paper empirically analyzes the financing using the econometric model - VAR model The impact of the securities lending system on the stock market volatility ultimately concludes that changes in the market will cause short selling changes, but the short sales have not caused the market to fluctuate drastically.