摘要
融资融券业务试点的推出,标志着我国"单边市"的结束,它是继股权分置改革后对中国资本市场发展影响巨大的一项金融创新。文章运用融资融券71只标的证券的面板数据,实证研究了融资融券对标的股票价格变化的影响。结果发现,融资融券净额对标的股价波动性和收益率都具有较为显著的正向作用,文章解释了导致这一现象出现的原因,并针对如何充分发挥融资融券价格发现功能,平抑股价过度波动提出了相关政策建议。
The launch of experimental stock margin trading marks the end of China＇ s unilateral financial innovation after the split share structure reform, which has led to a tremendous impact on market. This paper selects the panel data of 71 underlying stocks to investigate the effects of margin market. It is a China＇ s capital trading on their price change. It is found that the net margin financing significantly affects the volatility and yield of the underlying stocks in the positive direction. Furthermore, this paper explains the reasons of this phenomenon, and puts forward relevant policy recommendations about how to give full play to the price discovery function of the stock margin and how to stabilize the excessive fluctuation of stock prices.
出处
《山东财政学院学报》
2012年第3期15-22,共8页
Journal of Shandong Finance Institute
基金
教育部人文社科项目"我国股市波动中的分层信息效应研究"(10JYD790001)
山东省金融学"泰山学者建设工程项目"
