融资融券对创业板定价效率影响的实证研究

发布时间：2018-04-17 16:06

本文选题：融资融券 + 卖空约束　；参考：《湘潭大学》2017年硕士论文

【摘要】：融资融券作为一项成熟市场中重要的交易制度,它的引入打破我国所存在的卖空约束,有助提高股票的定价效率。在引入之初就受到了各方学者的极大关注。如今,融资融券已经成为中国证券市场的重要组成部分,但是融资融券对于我国证券市场股票定价效率的影响却仍存争议。与此同时,与主板市场相比,在创业板上市的股票呈现股价畸高,风险较大的鲜明特征。因此,研究创业板在开放融资融券后股票定价效率的变化,对于分析融资融券业务对我国股票定价效率的影响具有积极作用。本文以我国创业板融资融券标的为研究对象,使用非平衡数据面板模型,从股票的估值和股票的信息反应速度两个角度探讨了融资融券对于定价效率的影响。基于以上两个方面的实证结果,本文得出以下结论:首先,尽管不能证明股价超额收益是卖空约束与异质信念共同作用的结果,但实施融资融券业务以后,创业板股票超额收益率有一定程度的下降;其次,在实施融资融券业务以后,创业板股票的信息反应速度有所提升,利空消息下信息反应速度的提升更为明显;除开以上两条结论,在稳健性检验的过程中,本文还发现开展融资融券业务后,在牛市中定价效率的提升更加明显。综上所述,本文认为融资融券业务有助于提高我国创业板股票的定价效率。
[Abstract]:Margin financing as an important trading system in a mature market, its introduction breaks the constraints of short selling in China, and helps to improve the pricing efficiency of stocks.At the beginning of its introduction, it has been paid great attention by scholars from all over the world.At present, margin financing has become an important part of China's securities market, but the impact of margin financing on the stock pricing efficiency of China's securities market is still controversial.At the same time, compared with the main board market, the gem listed stocks show the distinctive characteristics of high stock price and high risk.Therefore, the research on the change of stock pricing efficiency after the opening of gem plays a positive role in analyzing the influence of margin trading on stock pricing efficiency in China.In this paper, using the non-equilibrium data panel model, the paper discusses the influence of margin margin on pricing efficiency from the perspective of stock valuation and stock information reaction speed.Based on the above two empirical results, this paper draws the following conclusions: first, although it can not be proved that the excess return of stock price is the result of the combination of short selling constraints and heterogeneous beliefs, but after the implementation of margin trading business,Secondly, after the implementation of margin trading, the information reaction speed of gem stock has been improved, and the information reaction speed under the bad news is more obvious.In addition to the above two conclusions, in the process of robustness test, this paper also found that the increase of pricing efficiency in bull market is more obvious.To sum up, this paper argues that margin trading helps to improve the pricing efficiency of gem.
【学位授予单位】：湘潭大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

【相似文献】