融资融券对中国股市大交易量信号传递效应的影响研究

发布时间：2018-04-21 19:42

本文选题：融资融券 + 大交易量　；参考：《经济研究参考》2017年14期

【摘要】：本文将融资融券纳入交易量信号传递效应的研究视阈。在基于历史均量定义大交易量及三因子模型得到风险调整后的异常收益基础上,本文运用面板数据研究了融资融券对股票大交易量发生概率及大交易量后续异常收益的影响。我们的主要结论有:融资融券会显著增加股票发生大交易量事件的概率;我国股票市场在大交易量发生短期内具有一定的"折价效应",但之后呈现"溢价效应",而融资融券显著增加了大交易量之后的累积异常收益;融资融券对大交易量信号传递效应的影响对证券投资和市场监管具有重要参考价值。
[Abstract]:In this paper, the financing margin is considered as the threshold of the study of the transaction volume signal transmission effect. Based on the historical average of the large volume and the three factor model to get the abnormal returns of the risk adjustment, this paper uses panel data to study the impact of the margin on the probability of the large volume of stock exchange and the subsequent abnormal returns of the large transaction volume. The main conclusions are as follows: the margin of financing will significantly increase the probability of a large transaction in stock market. In the short term, the stock market has a certain "discount effect" in the short term, but after the "premium effect", the financing margin significantly increases the cumulative abnormal returns after the large volume of trading. The influence of signal passing effect has important reference value for securities investment and market supervision.

【作者单位】：西南财经大学金融学院;
【分类号】：F832.51

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