基于EMD方法的融资融券顺周期性研究

doi:10.3969/j.issn.0253-2778.2020.08.015

中国科学技术大学学报 ›› 2020, Vol. 50 ›› Issue (8): 1144-1155.DOI: 10.3969/j.issn.0253-2778.2020.08.015

基于EMD方法的融资融券顺周期性研究

潘婉彬，张恋

中国科学技术大学管理学院，安徽合肥 230026

收稿日期:2020-06-29 修回日期:2020-07-25 接受日期:2020-07-25 出版日期:2020-08-31 发布日期:2020-07-25
通讯作者: 潘婉彬
作者简介:潘婉彬（通讯作者），女，1977年生，博士/副教授.研究方向：行为金融与公司金融.E-mail:wbpan@ustc.edu.cn
基金资助:
安徽省自然科学基金（2008085MG235），教育部人文社会科学青年基金（17YJZH161）资助.

Pro-cyclicality of margin trading and short selling based on EMD method

PAN Wanbin,ZHANG Lian

School of Management，University of Science and Technology of China，Hefei 230026，China

Received:2020-06-29 Revised:2020-07-25 Accepted:2020-07-25 Online:2020-08-31 Published:2020-07-25

摘要/Abstract

摘要： 将经验模态分解（EMD）方法应用于度量金融市场的周期性，通过检验融资融券交易与股票指数周期性的相关性来研究我国融资融券业务的顺周期性.研究结果表明，融资交易对整体市场存在顺周期效应，而融券交易则存在逆周期效应.进一步应用向量自回归（VAR）模型分别检验了融资业务和融券业务与股指的动态影响机制.研究结果发现股指对融资的脉冲响应为正，融资的顺周期性加剧了市场的上涨和下跌；股指对融券的脉冲响应为负，但不显著，原因在于融券规模过小，其逆周期效应无法起到平稳市场的作用.

关键词: 融资融券, 顺周期性, EMD方法, 向量自回归模型

Abstract: The empirical mode decomposition (EMD) method was applied to measure the cyclical fluctuations of the stock index, and then used to study the pro-cyclicality of China’s margin trading and short selling. The research results show that margin trading has a positive pro-cyclical effect on the overall market, and short selling has a counter-cyclical affect. The vector autoregressive (VAR) model was applied to test the dynamic between margin trading and short selling and stock index. It was found that the impulse response of stock index to margin trading is positive, and the pro-cyclicality of margin trading aggravates the rise and fall of the market; the impulse response of stock index to short selling is negative but not significant, because the scale of securities lending is too small and its counter-cyclical effect can not stabilize the market.

Key words: margin trading and short selling, pro-cyclicality, empirical mode decomposition method, vector autoregressive model

中图分类号:

C812

潘婉彬，张恋. 基于EMD方法的融资融券顺周期性研究[J]. 中国科学技术大学学报, 2020, 50(8): 1144-1155.

PAN Wanbin,ZHANG Lian. Pro-cyclicality of margin trading and short selling based on EMD method[J]. Journal of University of Science and Technology of China, 2020, 50(8): 1144-1155.

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基于EMD方法的融资融券顺周期性研究

Pro-cyclicality of margin trading and short selling based on EMD method

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