融资融券标的扩容的结构演变与市场影响

The Structural Evolution and Market Impact of the Capacity Expansion of Margin Trading and Short Selling

基于融资融券标的扩容视角,本文深度挖掘了历次两融标的扩容的结构演变及对A股市场整体影响。结果表明,两融扩容标的由侧重主板蓝筹标的向稳主板蓝筹标的、倾向中小板与创业板高成长标的过渡,历次扩容短期内对两融业务发展具有促进作用,但并非促进市场行情持续或反转的有效工具。结构演变方面,通信、食品饮料、医药生物、电子、计算机与传媒等行业在近三次两融标的扩容中,呈“J”形反弹;银行、钢铁和非银金融的两融标的占比超85%,后续扩容有限;相对交通运输、采掘、有色金属与房地产等行业而言,在新一轮科技革命的驱动与政策支持下,通信、医药生物、电子、计算机与传媒等行业标的扩容具有更强的政策与环境基础。

This paper is based on the expansion of the latest detailed rules for securities margin trading(SMT),and digging the structural changes in each expansion of the underlying assets of SMT and the impact on the A-share stock market.The results show that the xinderlying stocks of SMT are dominated by large capitalization stocks and blue chips on main board in the beginning,and then gradually tended to high growth stocks in SME board and GEM board during the expansions.Each expansion boosted the development of SMT,but is not an effective tool for enhancing or causing reversals in the stocks market.In terms of the industry changes of the underlying stocks in each expansion,the amount of industry in telecommunication,food and beverage,medical biology,electronic,computer,and media showed rebounding in the latest three expansions.The proportion of SMT in the industry of banking,steel and nonbanking financial exceeded 85%,which caused the capacity of SMT in these industries to be limited in the future expansions.Compared to the industries in transportation,mining,nonferrous metal and real estate,under the new round of scientific and technical revolution and the support of policy,the industries in telecommunication,medical biology,electronic,computer and media showed a stronger capacity in the future expansion.