| 融资融券交易与A股市场波动相关性实证研究 |
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| 引用本文： | 孔祥星. 融资融券交易与A股市场波动相关性实证研究[J]. 数学理论与应用, 2014, 0(2): 80-85 |
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| 作者姓名： | 孔祥星 |
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| 作者单位： | [1]上海国际集团有限公司博士后科研工作站,上海200041 [2]复旦大学应用经济学博士后流动站,上海200433 |
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| 摘 要： | 本文基于A股市场开展融资融券交易以来的实际数据,用Johnson协整检验,误差修正模型和Granger因果关系检验方法,实证研究了融资融券业务的开展对A股市场价格和波动性的影响,结果显示融资融券交易对A股市场的价格和波动性的影响都不显著.
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| 关 键 词： | 融资融券 ADF检验 协整检验 Granger因果关系检验 |
Empirical Analysis of the relationship between Security Margin Trading and A Share Market |
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| Kong Xiangxing. Empirical Analysis of the relationship between Security Margin Trading and A Share Market[J]. Mathematical Theory and Applications, 2014, 0(2): 80-85 |
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| Authors: | Kong Xiangxing |
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| Affiliation: | Kong Xiangxing ( 1. Postdoctoral Scientific Research Workstation, Shanghai International Group Co. Ltd. ( SIG), Shanghai 200041 ;2. Postdoctoral Research Station for Applied Economics, Fudan University, Shanghai 200433 ) |
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| Abstract: | Based on the real trading data of the security margin trading in A share market since it is established, we give an empirical analysis of the relationship between security margin trading and A share market using the methods of Johnson Cointegration Test, Error Correction Model （ECM） and Granger Causality Test, and show that the security margin trading does not has significant influence on the price and volatility of A share market. |
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| Keywords: | Security Margin Trading ADF Test Johnson Cointegration Test Granger Causality Test |
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