中小板市场融券卖空对股票价格影响的实证研究
发布时间：2018-07-15 08:26
【摘要】：融资融券业务对于资本市场的重要性已日益得到学者们的认可,其对股票市场的作用到底如何,也是诸多学者争论的焦点。自1977年Miller提出“股价高估假说”以来,融券卖空对于股票的价格发现与定价效率究竟有何影响也是学者的关注所在。其中大多数学者支持Miller的观点,并认为融券卖空对价格发现与定价效率有着积极的作用。我国自2010年3月开展融资融券试点到如今已经过7年的时间,关于卖空机制对于我国股票市场的影响的实证研究受制于两融标的的限制,多集中于主板市场,针对中小板市场的研究相对较少。而中小板市场又有其独特性,究竟受卖空机制的影响如何,是否与主板市场一致,值得探讨。本文以中小板标的证券为样本,选取2014年9月扩容标的中第一次进入两融标的股票的中小板股票共55支,以样本股正式开始融券日为事件日建立模型,以事件分析法探究标的股票在融券卖空之后是否有负的异常收益率与累计异常收益率,以此分析融券卖空对于我国中小板市场股价发现的影响。同时,比较标的股票的股价在卖空前后股价内含的市场信息、是否符合随机游走理论、与市场收益的相关性以及滞后性,构建相关指标,考察融券卖空对于中小板市场定价效率的影响。研究结果证明,在实行融券卖空之后,相关标的股票的累积异常收益率为负,且显著,证明融券卖空确实有助于引导股价回归合理水平;而在定价效率的影响上,不同于主板市场,中小板市场的标的股票在融券卖空后受市场的影响更为明显,股价更多的包含了市场信息而不是自身信息,这与中小板盘子小,易受部分投资者影响相关。
[Abstract]:The importance of margin trading to the capital market has been increasingly recognized by scholars, and its role in the stock market is also the focus of many scholars. Since Miller put forward the "stock price overvaluation hypothesis" in 1977, the impact of short selling on the price discovery and pricing efficiency of stocks has been concerned by scholars. Most of the scholars support Miller's view and believe that short selling plays a positive role in price discovery and pricing efficiency. It has been 7 years since our country started the experiment of margin financing and short selling in March 2010. The empirical research on the impact of short selling mechanism on the stock market is restricted by the restriction of the two financial targets, and it is mainly concentrated on the main board market. The research on small and medium-sized board market is relatively few. And the small and medium board market has its uniqueness, exactly by the short selling mechanism influence, whether is consistent with the main board market, is worth to discuss. In this paper, 55 small and medium board stocks are selected for the first time in the expansion target in September 2014, and the model is established by taking the sample stock as the event day. This paper explores whether there are negative abnormal returns and accumulative abnormal returns on the underlying stocks after short selling by means of event analysis, so as to analyze the impact of short selling on the discovery of stock prices in Chinese small and medium-sized board markets. At the same time, comparing the market information of the underlying stock price before and after short selling, whether it accords with the random walk theory, the correlation with the market income and the lag, constructs the related index. The effect of short-selling on the pricing efficiency of small and medium-sized board market is investigated. The results show that, after short selling, the cumulative abnormal return rate of the underlying stocks is negative, and significant. It is proved that short selling of short securities can help to guide the stock price to return to a reasonable level; but in the impact of pricing efficiency, Different from the main board market, the underlying stocks in the small and medium board market are more obviously influenced by the market after short selling, and the stock price contains more market information than its own information, which is related to the small plate, which is vulnerable to the influence of some investors.
【学位授予单位】：贵州财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51
[Abstract]:The importance of margin trading to the capital market has been increasingly recognized by scholars, and its role in the stock market is also the focus of many scholars. Since Miller put forward the "stock price overvaluation hypothesis" in 1977, the impact of short selling on the price discovery and pricing efficiency of stocks has been concerned by scholars. Most of the scholars support Miller's view and believe that short selling plays a positive role in price discovery and pricing efficiency. It has been 7 years since our country started the experiment of margin financing and short selling in March 2010. The empirical research on the impact of short selling mechanism on the stock market is restricted by the restriction of the two financial targets, and it is mainly concentrated on the main board market. The research on small and medium-sized board market is relatively few. And the small and medium board market has its uniqueness, exactly by the short selling mechanism influence, whether is consistent with the main board market, is worth to discuss. In this paper, 55 small and medium board stocks are selected for the first time in the expansion target in September 2014, and the model is established by taking the sample stock as the event day. This paper explores whether there are negative abnormal returns and accumulative abnormal returns on the underlying stocks after short selling by means of event analysis, so as to analyze the impact of short selling on the discovery of stock prices in Chinese small and medium-sized board markets. At the same time, comparing the market information of the underlying stock price before and after short selling, whether it accords with the random walk theory, the correlation with the market income and the lag, constructs the related index. The effect of short-selling on the pricing efficiency of small and medium-sized board market is investigated. The results show that, after short selling, the cumulative abnormal return rate of the underlying stocks is negative, and significant. It is proved that short selling of short securities can help to guide the stock price to return to a reasonable level; but in the impact of pricing efficiency, Different from the main board market, the underlying stocks in the small and medium board market are more obviously influenced by the market after short selling, and the stock price contains more market information than its own information, which is related to the small plate, which is vulnerable to the influence of some investors.
【学位授予单位】：贵州财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51
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7 王e，
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