融资融券与机构投资者交易占比

Margin trading and the proportion of institutional trading

我国股市中机构投资者的交易占比远低于世界其他主要证券市场。本文通过分析2009年~2015年期间沪深两市个股的高频交易数据,考察了融资融券交易机制对机构投资者交易参与度的影响.结果显示,标的股票在加入融资融券交易后,其机构投资者的交易占比显著上升.进一步的分析发现,融资融券交易能有效缓解企业的信息不对称并加强外部治理;而由于机构投资者比散户更为关注这两个方面,因而融资融券的实施有助于提高标的股的机构交易占比.随后区分了融资交易和融券交易并发现,融券卖空交易是更为主要的影响因素.最后,本文还发现机构交易占比的上升对降低股价协同性和崩盘风险有积极作用.

The proportion of institutional investors in China's stock market is significantly lower than other major stock markets in the world.By analyzing the high frequency transaction data of stocks in Shanghai and Shenzhen stock exchanges from 2009 to 2015,this paper examines the impact of margin trading on institutional investors'trading participation.The results show that after the stocks are included in the list of margin trading,the proportion of institutional investors'trading has increased significantly.Further analysis shows that margin trading can effectively alleviate the information asymmetry and strengthen the external governance.Since institutional investors are more concerned about these two aspects than retail investors,the implementation of margin trading increases the proportion of institutional trading in eligible stocks.Moreover,this paper distinguishes between margin buying and short selling,and finds that short selling is dominant in the overall impacts.Finally,this paper finds that the increase in the proportion of institutional trading has a positive efct on reducing stock price synchronicity and crash risk.