| 主动发起的融资融券交易对中国股票市场的影响 |
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| 引用本文： | 高雅,熊熊.主动发起的融资融券交易对中国股票市场的影响[J].运筹与管理,2022,31(5):198-205. |
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| 作者姓名： | 高雅 熊熊 |
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| 作者单位： | 1.大连理工大学 经济管理学院,辽宁 大连 116024;2.天津大学 管理与经济学部,天津 300072;3.中国社会计算研究中心,天津 300072 |
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| 基金项目： | 国家自然科学基金资助项目(72001033,72141304,71901160,71790594);国家社科基金重大项目(18ZDA095) |
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| 摘 要： | 本文以融资买入和融券卖出为研究对象,分析了投资者主动发起的融资融券交易对股票回报、流动性和波动性的影响,给出了中国股票市场融资融券发展现状。研究发现,融资买入(融券卖出)对当日股票回报有显著为正(负)的影响,交易表现与政策制定动机——融资反映投资者看涨情绪、融券反映投资者看跌情绪一致。此外,融资买入(融券卖出)增加了(降低)股票流动性;融资买入(融券卖出)降低(增加)了股票波动性;融资融券对股票交易特征的影响有随时间逐渐改善的趋势。最后,本文发现融资融券对股票回报、流动性和波动性产生的影响与股票所在板块有关,随着中小板和创业板股票所占比重的增加,调整和优化融资融券对股票市场的影响仍然是监管者未来主要任务之一。
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| 关 键 词： | 融资买入 融券卖出 股票回报 流动性 波动性 |
| 收稿时间： | 2020-06-17 |
Influence of Proactively Initiated Margin Buying and Short Selling: Evidence from China |
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| GAO Ya,XIONG Xiong.Influence of Proactively Initiated Margin Buying and Short Selling: Evidence from China[J].Operations Research and Management Science,2022,31(5):198-205. |
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| Authors: | GAO Ya XIONG Xiong |
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| Affiliation: | 1. School of Economics and Management, Dalian University of Technology, Dalian 116024, China;2. College of Management and Economics, Tianjin University, Tianjin 300072, China;3. China Center for Social Computing and Analytics, Tianjin 300072, China |
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| Abstract: | Using the margin buying ratio and short selling ratio as the main proxies, we study the influence of investors' proactively initiated trading on stock return, liquidity and volatility, giving the current development status of margin trading and short selling in the Chinese stock market. Using the unbalanced paned data regression with fixed effects, we find the influence of margin buying (short selling) on stock return is positive (negative), which coincides with the policy-making target: margin trading is the reflection of investors' positive belief and short selling is the reflection of investors' negative belief. In addition, we find that margin buying (short selling) increases(decreases) the liquidity; margin buying (short selling) decreases (increases) stocks' volatility; the influences of margin buying and short selling on stocks' trading characteristics are gradually improved with time. Finally, we find the influence of margin buying and short selling varies with stocks listed on different boards, and with the adding of stocks listed on the SME and Chi-Next boards, adjusting and optimizing the performance of these stocks' trading remain the future main tasks of regulators. |
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| Keywords: | margin buying short selling stock return liquidity volatility |
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