融资融券对创业板定价效率影响的实证研究

An Empirical Study on the Impact of Margin Trading on the Pricing Efficiency of the Gem

运用非平衡数据面板模型,从股票的估值和股票的信息反应速度两个方面研究融资融券对定价效率的影响。结果表明:(1)实施融资融券业务以后,创业板股票超额收益率有一定程度的下降;(2)实施融资融券业务以后,创业板股票的信息反应速度有所提升,利空消息下信息反应速度的提升更为明显;(3)牛熊市下融资融券业务均能提高股票定价效率,其中牛市的提升更为明显。总体上,融资融券业务有助于提高我国创业板股票的定价效率。最后提出了促进创业板融资融券发展的几点政策建议。

Using the unbalanced data panel model,this paper studies the impact of margin trading on pricing efficiency from two aspects： stock valuation and information response speed of stocks. The results showed that：（ 1） after the implementation of margin trading,the gem stock excess return rate dropped to a certain extent;（ 2） after the implementation of the margin trading business,the reaction rate of the GEM stocks increased,and it is more obvious under the bad news information;（ 3） margin trading business can improve the stock pricing efficiency no matter bull market or bear market,and the bull market is more obvious. On the whole,margin trading helps to improve the pricing efficiency of China＇s gem. Based on the above conclusions,finally some policy suggestions are put forward to promote the development of margin financing.