融资融券对股市波动的影响机制研究——基于投资者交易策略视角

发布时间：2018-03-17 17:46

本文选题：股票市场　切入点：投资者交易行为特征　出处：《南方金融》2017年07期 　论文类型：期刊论文

【摘要】：融资融券到底是加剧还是平抑股市波动,以往文献的研究结论分歧很大,一个重要原因是对投资者交易策略有着不同的假设和判断。本文借鉴趋势交易(根据股价变化趋势进行投资决策)研究方法,基于投资者交易策略视角对融资融券如何影响股市波动提出新的微观机制解释,并以我国股市为样本进行实证检验。从投资者交易策略来看,对于机构投资者持股比例较低的股票,其融资交易和融券交易没有呈现显著的趋势交易特征;而对于机构投资者持股比例较高的股票,其融资交易和融券交易均呈现显著的反转交易特征。从收益预测情况来看,融资买入比例越高的股票,其未来收益率也越高;而融券卖出比例越高的股票,其未来收益率越低。总的来看,我国投资者通过融资融券机制进行的交易是"高抛低吸"而非"追涨杀跌",其反转交易特征有助于平抑股市波动。
[Abstract]:Whether the margin financing or margin financing is exacerbating or stabilizing the stock market volatility, the previous research conclusions are very different. One important reason is that investors have different assumptions and judgments about their trading strategies. Based on the perspective of investor trading strategy, this paper puts forward a new micro-mechanism explanation of how margin financing and margin affect the volatility of stock market, and takes our stock market as a sample to make an empirical test. For stocks with a lower shareholding ratio, there is no obvious trend in financing and margin trading, while for stocks with a higher proportion of institutional investors, In terms of income forecast, the higher the ratio of financing to stocks, the higher the future yield, and the higher the ratio of short selling, the higher the ratio of short selling. The lower the yield in the future, the lower the yield. In general, the investors in our country trade through the mechanism of margin trading "high selling and low sucking" rather than "chasing up and down", and its reverse trading characteristics help to calm the volatility of stock market.
【作者单位】：中国人民银行广州分行;清华大学五道口金融学院;
【基金】：国家自然科学基金资助项目《控股股东股权质押动机、经济后果与治理机制研究》(项目编号:G0206-71672157)的资助
【分类号】：F832.51

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