精品文档---下载后可任意编辑中国股票市场融资融券对股指期货及 AH 股套利价差影响的实证讨论中期报告摘要：本讨论以中国股票市场为讨论对象，探讨了融资融券对股指期货及AH 股套利价差的影响。通过对 2024 年 1 月至 2024 年 6 月的数据进行实证分析，本讨论得出了以下结论：一、融资额度与股指期货交易量之间存在正相关关系；二、融券余额与股指期货价格的波动之间存在正相关关系；三、融资余额和融券余额的增加对 AH 股价差的扩大有一定促进作用。关键词：融资融券；股指期货；AH 股；套利价差Abstract:This study explores the impact of margin financing and securities lending on the arbitrage spread of stock index futures and AH shares in the Chinese stock market. Based on empirical analysis of data from January to June 2024, the study draws the following conclusions:First, there is a positive correlation between margin financing quotas and stock index futures trading volumes.Second, there is a positive correlation between securities lending balances and the volatility of stock index futures prices.Third, the increase in margin financing and securities lending balances has a certain promotional effect on the widening of the AH share arbitrage spread.Keywords: margin financing and securities lending; stock index futures; AH shares; arbitrage spread.
