Abstract：The securities margin trading system has ended the history of one-tier long mechanism in Chinese stock market, which provides an opportunity for investors to sell short. Considering the different conclusions on the effect of margin trading implying the market price's formation and operation, this paper analyzes the actual data characteristics of the securities margin trading and the related variables in China, and views the effect from two perspectives: market effect and margin trading stocks effect by data-driven paradigm and the relevant methods of econometrics. The results show that the price effects of margin trading are in accordance with different models, financing balance per one unit circulating stock capital and Shanghai Composite Index fit a multiplier-acceleration model, while financing balance per one unit circulating stock capital of margin trading stocks and HS300 index fit an inverted-U shape model. Relevant economic descriptions are provided.
李腊生 刘霞 蒋耀萱. 融资余额、市场价格及其模型——基于数据驱动的量化研究[J]. 商业经济与管理, 2018, 38(2): 85-96.
LI Lasheng lIU Xia JIANG Yaoxuan. Financing Balance and Market Price——Based on Data-driven Quantitative Study. Journal of Business Economics, 2018, 38(2): 85-96.
2018, Vol. 38 
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