融资融券与市场操纵:加剧还是抑制

Margin Trading,Short Selling and Market Manipulation:Intensify or Suppress

本文结合股票市场高频交易数据构建收盘价操纵监测识别模型,利用多时点双重差分模型就融资融券对市场操纵的影响展开研究。结果显示:融资融券的实施能够抑制标的证券操纵行为的发生,对我国股市的公正运行有促进作用;同时,对作用机制的分析显示,融资融券的实施通过提高股票流动性,而并非提高股价信息含量、缓解投资者信息不对称来抑制操纵行为;最后,横截面分析结果显示,融资融券在中小板、创业板及股市处于熊市时对市场操纵的抑制作用更显著。

This paper studies the impact of margin financing and securities lending on market manipulation behavior based on the pilot of China’s margin financing and securities lending transactions.Based on the stock price characteristics of the manipulation behavior,this paper combines the high-frequency trading data of the stock market to construct the closing price manipulation recognition model,and uses the difference in difference model to study the impact of the implementation of the margin financing and securities lending system on market manipulation behavior.The results show that the implementation of the margin financing and securities lending system can restrain the occurrence of the underlying secuities manipulation behavior,which promotes the fair operation of China’s stock market.At the same time,further analysis shows that the implementation of the margin financing and securities lending system inhibits the occurrence of manipulative behavior by improving stock liquidity rather than raising the stock information content and alleviating investor information asymmetry.Finally,further analysis shows that margin trading has a more significant inhibitory effect on market manipulation when the SME board,the ChiNext board and the stock market are in a bear market.