摘要
自2010年我国实施融资融券交易制度以来,广大学者以整体市场为对象,针对融资融券对股票市场波动性的影响进行了广泛的讨论,但未得出一致性的结论,其根本原因在于融资融券对不同市场状况下、不同特质股票的影响机理存在着差异。文章分不同市场状况、不同特质个股,探究融资融券对其股价波动性的影响。实证研究发现:在股市上涨阶段,个股融资融券会促进其股价的上涨,其中对价值股股价的促进作用大于成长股;而当融资融券余额占流通股比例过高时,融资融券则会抑制股价的上涨,价值股较成长股受到的抑制相对较小;在股市下跌阶段,融资融券会加剧股价的下跌,对价值股下跌的影响程度相对成长股较小。
Since the implementation of margin trading mechanism in China in 2010, many scholars have taken the overall market as an object, and discussed the impact of margin trading on the volatility of the stock market extensively. But the conclusion is not consistent, and the basic reason is that under different market conditions, the impact mechanism of margin trading on different idiosyncratic stocks is different. This paper explores the impact of margin trading on the stock price volatility in different market conditions and different idiosyncratic stocks. The results indicate that in the bull market, the margin trading promotes the rising of the stock price, while the catalytic role of margin trading on val ue shares is larger than that of margin trading on growth stocks. When the margin trading accounts for an excessively high proportion of outstanding shares, the margin trading will curb the rise in share prices, and value stocks are less inhibited by margin trading than growth stocks. Correspondingly, in the bear market, the margin trading will exacerbate the fall in share prices, while the decline in value shares is relatively slow compared with that in growth stocks.
作者
唐运舒
安文韬
叶佩池
TANG Yunshu1, AN Wentao1, YE Peichi2(1. Schoolof Management, Hefei University of Technology, Hefei 230009, China; 2. Rutgers University Newark Institute, Northeast Normal University, Changchun 130000, China)
出处
《合肥工业大学学报（社会科学版）》
2018年第5期1-10,共10页
Journal of Hefei University of Technology(Social Sciences)
关键词
融资融券
股市波动
价值股
成长股
margin trading
stock market volatility
value shares
growth stocks
