融资融券、ETF基金超额收益率、投资者信心

Margin Trading, Abnormal Return of ETF Fund, Investor Confidence

本文利用Fama&French三因素模型和事件研究法构建了融资融券、ETF基金超额收益率、投资者信心回归模型。实证发现,融资融券标的ETF基金的超额收益率高于非标的ETF基金,较长窗口期内融资融券的实施可提高标的ETF基金的超额收益率。随着融资融券政策的实施,标的ETF基金的投资者信心均值在任何长度的窗口期内均有所增加,但非标的ETF基金的投资者信心并没有发生一致性变化,表明融资融券政策的实施可有效提高投资者信心。

It firstly proposes investor confidence index measure model based on the principal component analysis method, and uses Fama French three–factor model and event study method to further construct the regression model of margin trading,abnormal return of ETF fund, investor confidence. It empirical result shows that the abnormal return of the margin underlying ETF is higher than the non-margin underlying ETF, and the implementation of margin trading can improve the abnormal return of the margin underlying ETF fund in a longer window period.With the implementation of margin trading policies, the average of investor confidence of margin underlying ETF has increased in any window period, but non-margin underlying ETF has not consistency change, according to this, we can know that the implementation of margin policy can effectively improve the investor confidence of the margin underlying ETF fund.