关键词: 融资融券 , 股市波动 , 金融加速效应 , TGARCH事件模型

Abstract: The aims of designing margin trading and short selling are to increase the liquidity of stock market and to satisfy the demands to hedge market risk, thereby improving the huge fluctuation caused by imbalance of supply and demand The implementation of margin trading and short selling is to achieve the goal of capital markets longterm stability In practice, margin trading and short selling make the funds flow between money market and capital market fluently, and lever huge funds flow into stock market Margin trading develops greatly while short selling develops slowly Their nature makes themselves exaggerate the shocks to the price volatility by attracting more speculator activities The result of cointegration regression shows that the margin trading and short selling have significant positive influence on Shanghai Stock Index The TGARCH event approach further show margin trading and short selling effectively reduce the volatility at the early stage As they developed, they significantly increase the market volatility and have failed to meet the expectation of the designers.

Key words: margin trading and short selling , stock market volatility , financial accelerator effect , TGARCH event approach