中文摘要：

我国金融市场需要制度创新。启动融资融券后,股指波动之大前所未有,人们在质疑两融的作用。本文试图探索投资者情绪、市场情绪、融资融券和股指波动之间的影响路径,以免错杀制度创新本身。运用VAR模型研究发现,投资者情绪与股指波动之间相互影响,投资者情绪单向影响融资融券交易,而融资融券单向影响股指波动。再利用TARCH模型着重分析两融是否为投资者情绪影响股指波动的放大器,结果表明,两融并不会加大投资者情绪对股指波动的影响。所以,监管层需要正确估计新常态下制度变革的影响力,才能有效运用和发展金融风险管理工具,防止发生区域性金融风险。

英文摘要：

China capital market need fundamental system innovation. Sincemargin trading began,the stock index has become unprecedented volatility,and many people question itsfunction. To avoid institutional innovation being wrongfully accusedof culprit,this paper tries to research the influence path among investor sentiment,market sentiment（ margin trading） and the fluctuation of stock index. Empirical proofs of VAR model show that there are significant interactions between investor emotion and returns of stock index,while investor emotion unilaterally influences short selling and margin trading,andthe latter also unilaterally influences the returns of stock index. Meanwhile,through TARCH model,this paper emphatically analyzes whether margin trading is the amplifier of investor sentimentinfluencethe fluctuation of stock index or not. Finally,this study shows that margin trading does not increase the influenceof investor sentiment on the fluctuation of stock index. Therefore,only regulatorsadapt to the impact of system reformin the New Normal,can the capitalmarket utilizefinancial instrumentseffectivelyand guard against regional financial risks.