融资融券对流动性的影响——基于我国股市交易数据的实证研究

发布时间：2018-04-23 02:06

本文选题：卖空交易 + 股市流动性　；参考：《企业经济》2014年06期

【摘要】：基于500只融资融券标的股在2010年至2013年的流动性变化,运用Wilcoxon秩和检验方法,考察分析两次融资融券标的证券名单调整结果对流动性的影响。对不同的市值大小、收益率波动、是否允许卖空和上市板块分别分析,继而根据分析得到的结果,利用股市交易数据实证做OLS回归,找到了诸多因素中对我国股市流动性有显著影响的决定性因素:是否允许融资融券、收益率波动、市场交易总金额、是否属于A股以及2013年的流动性比2011年显著恶劣。实证结果表明,能否提升股市流动性并不仅仅取决于融资融券标的证券名单范围扩大与否,能被市场投资者所接受认可的配套政策也很重要。
[Abstract]:Based on the liquidity changes of 500 stocks with margin and short margin from 2010 to 2013, the influence of the adjustment results on the liquidity of the listed securities is analyzed by using the Wilcoxon rank sum test method. For different market value size, yield fluctuation, whether short selling and listing plate are allowed to analyze separately, and then according to the results of the analysis, using stock market trading data to make empirical OLS regression, The paper finds out the decisive factors that have significant influence on the liquidity of China's stock market: whether margin financing is allowed, the volatility of yield, the total amount traded in the market, whether the A shares belong and the liquidity in 2013 is significantly worse than that in 2011. The empirical results show that whether the liquidity of the stock market can be enhanced depends not only on whether the scope of the list of the underlying securities is expanded or not, but also on the supporting policies that can be accepted by market investors.
【作者单位】：中国科技大学统计与金融系;
【基金】：国家重点基础研究发展计划“动态风险度量与控制”(批准号:973:2007CB814901)
【分类号】：F832.51;F224

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