融资融券对股票市场流动性影响的实证研究
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摘要
以我国股票市场融资融券业务规模跳跃式发展为背景,研究了融资融券对我国A股市场流动性所产生的影响。首先通过理论分析建立概念模型,提出融资融券通过波动渠道、交易渠道和参与渠道三条路径作用于股票市场流动性的机理,并据此建立了研究假设。在对数据收集和变量设定基础上,利用VAR模型和Granger因果检验对融资融券作用于股票市场流动性的实际效果进行了实证检验。检验结果表明融资融券能够通过"波动渠道"提升股票市场流动性,但通过"交易渠道"、"参与渠道"影响股票市场流动性的假设未得到证实。
Under the background of increasing margin trading scale in Chinese stock market,the study of its influence on the stock market liquidity is made in this paper.Through a theoretical analysis of the conductive process,the conceptual model and research hypothesis are established,which proposes that there exists different expectations for the inertia model.The influencing process of margin trading on the stock market liquidity is also deduced to be subdivided as transaction channel,volatility channel and participation channel.Based on data collection and variables setting,by using the VAR model and Granger causality test,an empirical analysis is made to test the actual effect of margin trading system on the stock market liquidity in Chinese A share market.The volatility channel hypothesis is fully verified in the empirical study of financing trading system on the stock market liquidity,with the transaction channel and participation channel hypothesis not verified.
Under the background of increasing margin trading scale in Chinese stock market,the study of its influence on the stock market liquidity is made in this paper.Through a theoretical analysis of the conductive process,the conceptual model and research hypothesis are established,which proposes that there exists different expectations for the inertia model.The influencing process of margin trading on the stock market liquidity is also deduced to be subdivided as transaction channel,volatility channel and participation channel.Based on data collection and variables setting,by using the VAR model and Granger causality test,an empirical analysis is made to test the actual effect of margin trading system on the stock market liquidity in Chinese A share market.The volatility channel hypothesis is fully verified in the empirical study of financing trading system on the stock market liquidity,with the transaction channel and participation channel hypothesis not verified.
引文
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[2]ALEX F,STEVEN L,ANDREW L.Short-sales constraints and market qualit:evidence from the 2008short-sales bans[J].International Review of Financials Analysis,2011,20(4):225-236.
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[7]王晋忠,文艳军,王茜.融资融券交易对我国股票市场影响的实证分析[J].西南金融,2013,34(7):8-12.WANG Jinzhong,WEN Yanjun,WANH Xi.An empirical analysis of the impact of margin trading on Chinese stock market[J].Southwest Finance,2013,34(7):8-12.
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[9]马晶,王智渊.融资融券对标的股票流动性、风险性和波动性的影响——基于双差分(DID)模型的实证研究[J].海南金融,2014,27(6):25-28.MA Jin,WANG Zhiyuan.The impact of stock liquidity,risk and volatility underlying margin—based on double differential(DID)empirical research model[J].Hainan Finance,2014,27(6):25-28.
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[11]CHANG E,CHEN J,YU Y.Short-sales constraints and price discovery:evidence from the Hong Kong market[J].Journal of Finance,2007,62(5):2097-2121.
[12]梁星韵,刘卫民.我国融资融券与股票市场波动[J].会计之友,2015,33(18):22-24.LIANG Xingyun,LIU Weimin.China’s margin trading and stock market volatility[J].Friends of Accounting.2015,33(18):22-24.
[13]BRIS A,GOETZMANN W N,ZHU N.Efficiency and the bear:short sales and markets around the world[J].The Journal of Finance,2007,62(3):1029-1079.
[14]戴秦,谢斐,严广乐.基于Swarm平台的中国融资融券制度对股市波动影响研究[J].上海经济研究,2014,33(9):31-39.DAI Qin,XIE Fei,YAN Guangle.The effect of margin trading on Chinese stock market fluctuation based on the swarm platform[J].Shanghai Journal of Economics,2014,33(9):31-39.
[15]李德峰,张丽青,杜亚雄.融资融券对股指收益率波动的影响[J].金融论坛,2012,17(5):72-76.LI Defeng,ZHANG Liqin,DU Yaxiong.The impacts of short selling and margin trading on the fluctuation of the returns of stock index[J].Finance Forum,2012,17(5):72-76.
[16]肖浩,孔爱国.融资融券对股价特质性波动的影响机理研究:基于双重差分模型的检验[J].管理世界,2014,30(8):30-43.XIAO Hao,KONG AI Guo.A Study on the mechanism of the impact of the securities margin trading on the fluctuations of the special nature of the stock price:A test based on the difference-in-difference model[J].Management World,2014,30(8):30-43.
[17]WOOLRIDGE J R,DICKINSON.Short selling and common stock prices[J].Financial Analysts Journal,1994,50(1):20-28.
[18]吴术,张兵,李心丹.融资融券交易对市场有效性影响的计算实验[J].系统工程,2014,32(9):42-47.WU Shu,ZHANG Bing,LI Xindan,Computational experiment on margin trading impact on market efficiency[J].Systems Engineering,2014,32(9):42-47.
[2]ALEX F,STEVEN L,ANDREW L.Short-sales constraints and market qualit:evidence from the 2008short-sales bans[J].International Review of Financials Analysis,2011,20(4):225-236.
[3]孙赞赞.融资融券对中国证券市场运行绩效的影响研究[D].上海:东华大学,2013.SUN Zanzan.Study on margin transaction impact to operation performance of Chinese securities market[D].Shanghai:Donghua University,2013.
[4]孔翔宇,毕秀春,张曙光.融资融券对流动性的影响—基于我国股市交易数据的实证研究[J].企业经济,2014,35(6):165-170.KONG Xiangyu,BI Xiuchun,ZHANG Shuguang.The impact of margin trading on liquidity:an empirical study based on the data of Chinese stock market[J].Enterprise Economy,2014,35(6):165-170.
[5]林祥友.融资融券交易对ETF基金市场质量的影响—基于双重差分模型的研究
[6].投资研究,2014,33(6):138-148.LIN Xiangyou.The impact of margin trading on the quality of ETF fund market:a study based on the double difference model[J].Review of Investment Studies,2014,33(6):138-148.
[6]杨德勇,吴琼.融资融券对上海证券市场影响的实证分析—基于流动性和波动性的视角[J].中央财经大学学报,2011,31(5):28-34.YANG Deyong,WU Qiong.Empirical research on the impact to margin trading on liquidity and volatility of Shanghai security market[J].Journal of Central University of Finance&Economics,2011,31(5):28-34.
[7]王晋忠,文艳军,王茜.融资融券交易对我国股票市场影响的实证分析[J].西南金融,2013,34(7):8-12.WANG Jinzhong,WEN Yanjun,WANH Xi.An empirical analysis of the impact of margin trading on Chinese stock market[J].Southwest Finance,2013,34(7):8-12.
[8]董晨昱,赵培,刘维奇.融资融券在改善股票市场质量中的作用研究[J].管理现代化,2014,34(6):13-15.DONG Chenyu,ZHAO Pei,LIU Weiqi,Research on the role of margin financing in improving the quality of stock market[J].Modernization of Management,2014,34(6):13-15.
[9]马晶,王智渊.融资融券对标的股票流动性、风险性和波动性的影响——基于双差分(DID)模型的实证研究[J].海南金融,2014,27(6):25-28.MA Jin,WANG Zhiyuan.The impact of stock liquidity,risk and volatility underlying margin—based on double differential(DID)empirical research model[J].Hainan Finance,2014,27(6):25-28.
[10]CONRAD J.The price effect of option introduction[J].Journal of Finance,1989,44(2):487-498.
[11]CHANG E,CHEN J,YU Y.Short-sales constraints and price discovery:evidence from the Hong Kong market[J].Journal of Finance,2007,62(5):2097-2121.
[12]梁星韵,刘卫民.我国融资融券与股票市场波动[J].会计之友,2015,33(18):22-24.LIANG Xingyun,LIU Weimin.China’s margin trading and stock market volatility[J].Friends of Accounting.2015,33(18):22-24.
[13]BRIS A,GOETZMANN W N,ZHU N.Efficiency and the bear:short sales and markets around the world[J].The Journal of Finance,2007,62(3):1029-1079.
[14]戴秦,谢斐,严广乐.基于Swarm平台的中国融资融券制度对股市波动影响研究[J].上海经济研究,2014,33(9):31-39.DAI Qin,XIE Fei,YAN Guangle.The effect of margin trading on Chinese stock market fluctuation based on the swarm platform[J].Shanghai Journal of Economics,2014,33(9):31-39.
[15]李德峰,张丽青,杜亚雄.融资融券对股指收益率波动的影响[J].金融论坛,2012,17(5):72-76.LI Defeng,ZHANG Liqin,DU Yaxiong.The impacts of short selling and margin trading on the fluctuation of the returns of stock index[J].Finance Forum,2012,17(5):72-76.
[16]肖浩,孔爱国.融资融券对股价特质性波动的影响机理研究:基于双重差分模型的检验[J].管理世界,2014,30(8):30-43.XIAO Hao,KONG AI Guo.A Study on the mechanism of the impact of the securities margin trading on the fluctuations of the special nature of the stock price:A test based on the difference-in-difference model[J].Management World,2014,30(8):30-43.
[17]WOOLRIDGE J R,DICKINSON.Short selling and common stock prices[J].Financial Analysts Journal,1994,50(1):20-28.
[18]吴术,张兵,李心丹.融资融券交易对市场有效性影响的计算实验[J].系统工程,2014,32(9):42-47.WU Shu,ZHANG Bing,LI Xindan,Computational experiment on margin trading impact on market efficiency[J].Systems Engineering,2014,32(9):42-47.