融资融券业务对我国股票市场定价效率的影响——基于双重差分模型的实证研究

The Influence of Margin Trading on the Pricing Efficiency of China’s Stock Market:An Empirical Study Based on Double Difference Model

从国内外文献梳理开始,在相关理论的基础上,首先对我国融资融券业务的发展现状和融资融券业务影响股市定价效率的作用机理进行了阐述。其次,基于双重差分(DID)模型,以沪、深两市A股市场的所有股票为研究对象,选取2009年10月22日至2020年8月19日为研究期间,分别从股价特质信息含量和股价对新信息的调整两方面,实证检验了融资融券业务发展的各阶段对股市定价效率的影响,发现其仅在发展初期的少数指标上有一定的积极作用,其余时期无明显影响或出现了与理论预期相反的负面影响,总体来说,提高定价效率的效果可能相当有限。再次,对实证结果与理论预期不相符的原因进行了解释,并提出了相应的政策建议。

Starting from the literature review at home and abroad,on the basis of relevant theories,this paper first expounds the development status of margin trading in China and the mechanism of margin trading affecting the pricing efficiency of the stock market.Secondly,based on the double difference(did)model,taking all the stocks in the A-share market of Shanghai and Shenzhen as the research object,and selecting October 22,2009 to August 19,2020 as the research period,this paper empirically tests the impact of each stage of the development of margin trading on the pricing efficiency of the stock market from two aspects:the information content of stock characteristics and the adjustment of stock price to information,It is found that it only has a certain positive effect on a few indicators in the early stage of development,and has no obvious impact or negative impact contrary to the theoretical expectation in the rest of the time.Generally speaking,the effect of improving pricing efficiency is quite limited.Finally,the reasons why the empirical results are inconsistent with the theoretical expectations are explained,and the corresponding policy suggestions are put forward.