基于小波CCC-GARCH模型的融资融券交易与证券市场波动率关系研究

王帅; 谢赤

基于小波CCC-GARCH模型的融资融券交易与证券市场波动率关系研究

引用本文：王帅，谢赤.基于小波CCC-GARCH模型的融资融券交易与证券市场波动率关系研究[J].财经理论与实践,2016,(6):47-52

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作者	单位
王帅，谢赤	(1.湖南大学工商管理学院, 湖南长沙410082 2. 中南林业科技大学经济学院, 湖南长沙410004)

中文摘要:以2010年4月2日~2016年7月21日的中国证券市场交易数据为样本，运用小波CCC-GARCH模型，考量融资融券交易对证券市场波动率的影响。结果表明，融资交易行为对证券市场收益率和成交量的波动均有较显著的影响，而融券交易对市场波动率的影响不显著。同时，融资交易行为对市场的影响主要由高频信号所驱动，投资者短期非理性行为或噪音交易对市场波动的影响较大。为促进市场的健康发展，应均衡融资融券业务的发展，培养理性机构投资者，加强投资者风险警示加快融资融券数据库的建设。

中文关键词:融资融券；市场波动率；CCC-GARCH 条件相关系数；小波分析

An Empirical Study on the Relationship between Margin Trading Business and Volatility of Security Market based on Wavelet CCC-GARCH Models

Abstract:To understand the impact of margin trading business on the security market volatility, we use the wavelet CCC-GARCH models to conduct an empirical research by taking the market trading data from April 2, 2010 to July 21, 2016 as the samples. The results show that the margin financing has a significantly positive relationship with the return and the trading volume volatility of security market, while the influence of short selling is not significant. Meanwhile, the influence of margin trading on market volatility is mostly driven by the high frequency signal, and the irrational behavior or noise trading from investors may cause the high volatility of the security market. For the health development of the security market, the supervisors should balance the development of the margin trading, cultivate the institutional investors, strengthen the risk warning to investors and construct the database of the margin trading.

keywords:margin trading market volatility CCC-GARCH conditional correlation coefficient wavelet analysis

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