实施转融通制度提高了我国证券市场质量吗?——运用双重差分模型对沪深股市的实证分析

Does the Implementation of Centralized Securities Lending & Borrowing Improve China's Securities Market Quality?——Empirical Analysis of Shanghai and Shenzhen Stock Market Based on Difference in Difference Model

以50种纳入转融通标的证券的股票构造处理组,以50种纳入融资融券标的证券但未纳入转融通标的证券的股票构造控制组,利用转融通制度实施前后各10个交易月份的数据,采用双重差分模型研究转融通制度的实施对证券市场流动性、波动性、有效性等市场质量的净影响,得到的可靠结论是:转融通制度在一定程度上提高了证券市场的流动性,显著抑制了证券市场的波动性,显著提高了证券市场的有效性,总体上改善了证券市场质量。监管者应进一步拓宽转融通标的证券的范围,增加转融通标的证券的数量,并对证券进入转融通标的证券之前和之后进行区别对待;交易者在确定交易策略时也应做出正确选择。

By taking 50 kinds of stocks involved in the underlying securities of centralized securities lending ＆ borrowing as processing group, by taking 50 kinds of stocks involved in the underlying securities of margin trading but not involved in the underlying securities of centralized securities lending ＆amp; borrowing as contrast group, by using the transaction data of nearly 10 months before and after the implementation of centralized securities lending＆amp; borrowing, the net influence of the implementation of centralized securities lending ＆amp; borrowing on the market quality such as liquidity, volatility, order and so on is studied based on difference in difference model, the obtained reliable conclusion is that centralized securities lending ＆amp; borrowing improves the liquidity of securities market to certain extent, significantly restricts the volatility of securities market, obviously boosts the validity of securities market and generally improves the quality of securities market. Securities market supervisors should further broaden the scope of the underlying securities of centralized securities lending ＆ borrowing, increase the quantity of the underlying securities of centralized securities lending ＆ borrowing, make different processing for the securities before and after entering into the underlying securities of centralized securities lending ＆amp; borrowing, meanwhile, the traders should also make proper choice while making transaction strategies.