融资融券对股价特质性波动的影响研究

摘要

以2010年3月31日融资融券交易系统在沪深两市正式开通以及标的股票的四次扩容为背景,选取2008年9月1日至2015年8月31日融资融券标的股票的相关数据,采用二元线性回归模型,Fama-French三因子模型,GARCH 模型,双重差分模型等,从金融市场微观结构的视角,研究融资融券交易对中国沪深两市股价特质性波动的影响以及产生这些影响的作用机理.研究发现:标的股票的股价特质性波动能够在一定程度上被融资融券交易所抑制,并且这一现象是由于融资融券交易降低了标的股票的噪音交易,提高了标的股票的信息传递速度而产生的.以上发现表明,融资融券交易能够使标的股票特质性波动中所包含的信息效率得到一定程度上的提高.%In March 31,2010,the two margin trading systems in Shanghai and Shenzhen have officially opened and the underlying stock market has completed its four expansions.Based on this background, this paper selects sample data from September 1,2008 to August 31,2015 to investigate the impact and its mechanism of margin trading on the stock price fluctuation of Chinese Shanghai and Shenzhen Security Market from the perspective of financial market microstructure theory.It adopts the linear regression model,Fama-French three factor model,GARCH model,and double difference model. The evidence shows that idiosyncratic volatility of the underlying stock price can be inhibited by the margin trading,and this phenomenon is due to the reduction of noise trading and thus improve the stock information transmission speed under the margin trading setting.The results also show that margin trading can improve the efficiency of the stock market volatility.In addition,the empirical re-sults have implications for the policy recommendations.