[1]袁亚蕊.融资融券与股市泡沫的实证研究[J].集美大学学报(哲社版),2020,23(04):53-59.
YUAN Ya-rui.An Empirical Research on Margin Trading and Stock Market Bubble[J].philosophy&social sciences,2020,23(04):53-59.
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融资融券与股市泡沫的实证研究(PDF)
YUAN Ya-rui.An Empirical Research on Margin Trading and Stock Market Bubble[J].philosophy&social sciences,2020,23(04):53-59.
《集美大学学报》（哲社版）[ISSN:1006-6977/CN:61-1281/TN]
- 卷:
- 23
- 期数:
- 2020年04
- 页码:
- 53-59
- 栏目:
- 出版日期:
- 2020-10-28
文章信息/Info
- Title:
- An Empirical Research on Margin Trading and Stock Market Bubble
- 作者:
- 袁亚蕊
- (集美大学诚毅学院，福建 厦门 361021）
- Author(s):
- YUAN Ya-rui
- (Chengyi College,Jimei University,Xiamen 361021,China)
- Keywords:
- margin trading; stock market bubble; GSADF model; BSADF model
- 分类号:
- -
- DOI:
- -
- 文献标志码:
- A
- 摘要:
- 基于GSADF、BSADF模型对股市（沪深300指数）泡沫的存在以及生灭时间点进行实证分析。研究结果表明沪深300指数存在两次泡沫，第一次泡沫持续时间为2007年4月至2007年12月；第二次泡沫持续5个月（2014年12月以及2015年3月至2015年6月）。基于此，进一步分析2015年3月至2015年6月股市泡沫期间融资融券对股市波动的影响。Granger因果检验结果表明融资交易对股市波动产生影响，而融券交易对股市波动产生的影响不明显。
- Abstract:
- Based on GSADF and BSADF model，this paper makes an empirical analysis on the existence and the time point of occurrence and disappearance of the stock market (csi 300 index) bubble.The results suggest that there were two bubbles in the csi 300，the first lasting from April 2007 to December 2007 and the second lasting five months (December 2014 and from March 2015 to June 2015).Based on this，the paper further analyzes the impact of margin trading on the stock market volatility during the stock market bubble period from March 2015 to June 2015.According to the results of Granger causality test,financing transactions had an impact on stock market volatility while short selling transactions had an insignificant impact on stock market volatility.
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更新日期/Last Update:
2020-11-17