买空卖空机制对市场和个股波动性的影响

摘要

The emerging of margin trading and refinancing business indicates that the mechanism of buying long and short selling has entered a new stage in China .This paper investigates the influence of margin trading on China stock market by Granger′s causality test , impulse response function and variance decomposition .Using event study method , we study the volatility and cumulative excess returns of stock prices incorporated into the margin trading target .Main find-ings are as follows: buying long can reduce the volatility of market , but short selling has no effect on it .In addition, both margin trading and refinancing business can reduce the volatility of securities , but margin trading would bring nega-tive income to securities and refinancing is the opposite .%　　融资融券和转融通业务的推出标志着我国买空、卖空机制进入了新的阶段，本文采用Granger因果检验、脉冲响应函数和方差分解的方法，检验融资融券交易行为对市场波动的影响，用事件研究法对被纳入融资融券标的的个股股价波动和累计超额收益状况进行分析，认为买空机制能够有效降低市场波动性，卖空对市场波动的影响不显著；融资融券和转融通业务均能稳定个股股价，但融资融券能为个股带来显著负向累计超额收益，转融通业务则相反。