融资融券对股价波动影响研究--基于创业板信息技术行业的实证检验分析

The Impact of Margin Trading and Securities Lending on Stock Price Volatility--An Empirical Test and Analysis Based on the Information Technology Industry of the Growth Enterprise Market

研究融资融券制度对信息技术行业股价波动的影响及作用机理对该行业具有一定的实践价值。本文选取2016年11月至2022年4月创业板信息技术行业(1)为研究样本,利用双重差分(DID)模型检验创业板信息技术行业在融资融券扩容(2)前后的股价波动是否存在明显差异,判断融资融券是否对创业板中的单个行业存在影响,研究过程中引入相关风险变量指标,使用Stata进行调节效应检验。从实证检验的结果来看,融资融券对于创业板中单个行业的股价波动在长期存在显著的抑制作用,且企业风险会弱化其影响。基于此,应完备融资融券信息披露方面的监督,对市场中的投资者进行理性投资教育,扩充融资融券标的股票范围和建立风险预警机制。该研究为完善融资融券制度提供了新的经验证据和政策启示。

This study explores the impact and mechanism of the margin trading system on stock price fluctuations in the information technology industry has certain practical value for the industry.This article focuses on the information technology industry on the Growth Enterprise Market from November 2016 to April 2022 as the research sample.The double difference(DID)model is used to test whether there is a significant difference in stock price fluctuations before and after the expansion of margin trading on the Growth Enterprise Market,,and to judge the impact of margin financing and securities lending on a single industry in the Growth Enterprise Market.In the research process,relevant risk indicators are introduced,and Stata is used to test the moderating effect.From the results of empirical testing,,it can be seen that margin trading has a significant inhibitory effect on the stock price fluctuations of individual industries in the Growth Enterprise Market in the long term,and corporate risk wili weaken its impact.Based on this,it is necessary to fully supervise the disclosure of margin trading information,provide rational investment education to investors in the market,expand the scope_of the underlying stocks,for margin trading,and establish a risk warning mechanism.This study provides new Empirical evidence and policy enlightenment for improving the margin trading system.