牛市中融资融券交易对股价高估的影响——基于上证A股交易数据的双重差分法分析

发布时间：2018-04-01 23:24

本文选题：融资融券　切入点：杠杆交易　出处：《经济评论》2017年01期

【摘要】：在分析我国融资融券交易对股票价格的作用效果时,应充分考虑股票市场状态的影响。当市场状态由熊市变为牛市时,投资者交易策略也由保守转为激进。此时,两融交易可能导致融资融券标的股票价格高估。本文使用2014年1月1日至12月31日上海证券交易所A股交易数据,采用双重差分方法,验证了融资买入交易对两融标的股票价格上涨的推动作用,发现牛市开始之后融资交易规模的扩大是融资融券标的股票价格被高估的重要原因,牛市中融资融券标的股票的价格存在明显的高估。本文参考股票的现金流贴现估值模型,考察了样本股票在牛市开始前后基本面变动状况,发现无论当前盈利能力、成长趋势还是公司运营风险均无法解释牛市开始之后融资融券标的股票价格的高估,这表明基本面因素并不是两融标的股票价格被高估的主要原因。
[Abstract]:In analyzing the effect of margin trading on stock price in China, the influence of stock market state should be fully considered. When the market state changes from bear market to bull market, investor trading strategy also changes from conservative to radical. This paper uses the A-share trading data of Shanghai Stock Exchange from January 1 to December 31, 2014, and adopts the double difference method. The paper verifies the effect of financing buying on the increase of stock price, and finds that the expansion of financing transaction scale after the start of bull market is the important reason why the stock price of margin and short bond is overvalued. In bull market, the price of the underlying stock is obviously overvalued. This paper, referring to the discount valuation model of stock cash flow, investigates the fundamental changes of sample stock before and after the beginning of the bull market, and finds that no matter the current profitability, Neither the growth trend nor the operating risk of the company can explain the overvaluation of the underlying stock price after the bull market began, which indicates that the fundamental factors are not the main reasons for the overvaluation of the stock price.
【作者单位】：华中科技大学经济学院;中国人民银行上海总部;
【基金】：国家社科基金重大项目(08&ZD037)的资助
【分类号】：F832.51

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