融资融券制度的推出结束了我国证券市场单边做多的历史,为投资者卖空提供了机会.针对现有融资融券交易对市场价格形成与运行研究的不同结论,文章采用基于数据驱动的研究范式,通过对我国融资融券及相关变量实际数据特征的考察与分析,结合计量经济学的相关研究方法对我国证券市场融资融券交易的价格效应分别从市场效应与融资融券标的股效应两个角度进行了探讨.研究结果显示,我国证券市场融资交易的价格效应分别符合不同的模型,单位股本融资额与上证综合指数的关系适应于乘数-加速数模型,标的股单位股本融资额与沪深300指数的关系适宜于用倒U型模型描述.最后,针对实证分析的有关结论,文章给出了相应的经济学解释.%The securities margin trading system has ended the history of one-tier long mechanism in Chinese stock market, which provides an opportunity for investors to sell short. Considering the different conclusions on the effect of margin trading impl-ying the market price's formation and operation, this paper analyzes the actual data characteristics of the securities margin trading and the related variables in China, and views the effect from two perspectives: market effect and margin trading stocks effect by data-driven paradigm and the relevant methods of econometrics. The results show that the price effects of margin trading are in accordance with different models,financing balance per one unit circulating stock capital and Shanghai Composite Index fit a multi-plier-acceleration model,while financing balance per one unit circulating stock capital of margin trading stocks and HS300 index fit an inverted-U shape model. Relevant economic descriptions are provided.
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