融资融券是否平抑了中国股市的波动性？

具备卖空和杠杆特性的融资融券交易机制在我国证券市场运行已逾五年，但其对股市波动性影响几何始终存在分歧。本文采用GARCH回归、VAR模型、脉冲响应、方差分解等计量方法对沪深300股票指数的波动性展开实证研究，结果表明：融资融券总体上平抑了我国股市的波动性，且随着标的股票的扩容逐渐加强；但在趋势性较为明确的单一行情中，融资融券却进一步加大了股市的波动性；从分效应来看，融资交易和融券交易也都抑制了股市波动，但融券的作用幅度小于融资；与股指期货的比较研究则发现股指期货加大了现货市场的波动，但作用幅度小于融资融券。

Does margin trading stabilize the volatility of China’s stock market?

The margin trading mechanism which has the characteristics of short selling and leverage has been running for more than five years in our country. Did margin trading increase or decrease the stock market volatility? Scholars has yet to produce a consistent conclusion on this issue. In empirical, we researched the influences of margin trading on the volatility of CSI 300 Index by GARCH and VAR model, impulse response function and variance decomposition. The results showed that: the margin trading smooth the volatility of the stock market in our country and this inhibition strengthened gradually with the underlying shares expansion. But in a clear trend market (up or down), margin trading had further increased the volatility of the stock market. On individual effect, margin purchase and short sale both have reduced the volatility of the stock market, but this inhibition is more significant in margin purchase. In comparison, stock index futures increase the volatility of the spot market, but the effect was smaller than margin trading.