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中文摘要：
本文利用沪深300指数日收益率为样本，采用GARCH-M模型、EGARCH-M模型分析融资融券业务推出对我国股市波动性的影响，并以波动性为交易所自律监管效率的代理变量来进一步说明融资融券能否提高我国交易所自律监管的效率。结果表明：融资融券业务从试点推出到转为常规业务的一年半以来，我国股市的波动性有所减小，波动的杠杆效应减弱，表明融资融券能起到稳定市场的作用。同时也说明了金融创新工具推出和应用的市场化改革能够促进我国交易所自律监管功能的发挥。
英文摘要：
This paper investigates the relationship between the margin trading business and the volatility of China stock market through the GARCH-M model and the EGARCH-M model by employing the day returns of HS 300 stock index as samples. As the proxy variable of exchange self-regulation efficiency, the volatility is used to study if margin trading business can improve the self-regulation efficiency of exchanges in China. The results show that the volatility and the leverage effects of the volatility have decreased since the implementation of margin trading business, which means the margin trading business is capable of stabilizing the market. Furthermore, the marketization reform that is particularly characterized in the implementation and the application of financial innovation tools can help exchanges of China to play the role of self-regulation.
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