Research on the impact of margin trading and investor sentiment on the volatility of the Science and Technology Innovation Board—based on the VAR model

서지정보

· 발행기관 : 사회혁신기업연구원
· 수록지 정보 : 혁신기업연구 / 8권 / 4호 / 17 ~ 39페이지
· 저자명 : 심건군, 황 명 호

초록

With the launch of the Science and Technology Innovation Board, the impact of margin trading and investor sentiment on the market has become increasingly prominent. Therefore, exploring the relationship and impact between them is of great significance for preventing market risks. This article selects daily data from December 31, 2019, to November 6, 2023. The dependent variable is the Shanghai Science and Technology Innovation 50 Index (STAR50). The influencing factors are the financing balance of the Science and Technology Innovation Board (F), the securities lending balance (SL), and investor sentiment (IS). The VAR method is used to study the dynamic impact path of F, SL, and IS on STAR50. The results show that there is a long-term equilibrium relationship between F, SL, IS, and STAR50. From the perspective of the impulse response, STAR50 is mainly affected by securities lending, followed by financing, and finally investor sentiment.
This shows that securities lending is one of the most important factors among the factors affecting the Science and Technology Innovation Board stock index. It can be seen through variance decomposition that the explanation ratios of F, SL, and IS for the fluctuations of STAR50 were stable at 0.66%, 2.37%, and 0.51%.This indicates that margin trading has to some extent affected the volatility of the Science and Technology Innovation Board. Therefore, our research findings contribute to a better understanding of the operational mechanism of the Science and Technology Innovation Board market and provide reference for preventing market risks.

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