中国股票市场融资融券制度有效性的实证检验——基于实验经济学视角的研究

发布时间：2018-04-14 15:03

本文选题：融资融券 + 资产泡沫　；参考：《中国经济问题》2017年01期

【摘要】：2015年6-7月中国股票市场出现的异常波动引起了人们对融资融券制度有效性的疑虑。本文在考量了中国投资者普遍存在较高过度自信这一特质的基础上,通过设计经济学实验检验了中国证券市场现有融资融券制度在抑制资产泡沫和价格波动等方面的效果。研究结果显示,与理性市场相比,在投资者过度自信水平较高的市场上会产生更严重的资产泡沫、交易中资产价格波动也更为剧烈;引入融资融券制度可以显著降低资产泡沫和平抑价格波动,但制度的作用效果要弱于理性市场。
[Abstract]:The abnormal volatility in China's stock market in June and July 2015 has raised doubts about the validity of margin trading system.Based on the consideration of the overconfidence of Chinese investors, this paper tests the effectiveness of the existing margin financing system in restraining asset bubbles and price volatility by designing economic experiments.The results show that, compared with the rational market, there will be more serious asset bubble in the market with higher level of investor overconfidence, and the fluctuation of asset price will be more severe.The introduction of margin and margin system can significantly reduce asset bubbles and stabilize price fluctuations, but the effect of the system is weaker than that of rational market.
【作者单位】：南京大学经济学院;南京大学工程管理学院;南京大学管理学院;
【基金】：国家自然科学基金项目(71173098)的资助
【分类号】：F832.51

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