融资融券交易对ETF基金市场流动性的影响  

The Impact of Margin Trading on the Liquidity of ETFs Markets Based on Difference in Difference Model

作　　者：林祥友[1] 代宏霞[2] 

机构地区：[1]成都理工大学商学院,成都610059 [2]西南财经大学,成都610074

出　　处：《西部论坛》2013年第3期103-108,共6页West Forum

基　　金：四川省科技厅软科学计划项目"基于不同数据特征的股指期货价格发现能力的差异性研究";西南财经大学中央高校基本科研业务费专项资金资助项目(JBK120210)"股指期货市场发展与合约存续中价格发现能力的时变性研究";成都理工大学科研基金资助项目(2011YR10)"股指期货合约存续期价格发现的时变性研究";成都理工大学"金融与投资科研创新团队"项目

摘　　要：以7种成为融资融券标的证券的交易型开放式指数基金(Exchange Traded Fund,EFT基金)构造处理组,以7种未成为融资融券标的证券的ETF基金构造控制组,采用双重差分模型研究有ETF基金成为融资融券标的证券前后我国ETF基金市场流动性的差异,分析融资融券交易对ETF基金市场流动性的净影响,得到的可靠结论是:融资融券交易提高了我国ETF基金市场流动性,改善了ETF基金市场质量。因此,ETF基金市场监管者和交易者都需要对ETF基金进入融资融券标的证券之前与之后进行区别对待。By taking seven kinds of the components becoming Exchange Traded Fund(ETF) of margin trading underlying securities as constructing group,by taking seven kinds of the components not becoming ETF of margin trading underlying securities as contrast group,by using difference in difference model to study the difference of China's ETF market liquidity before and after ETF becomes margin trading underlying securities,this paper analyzes the net influence of margin trading on the market liquidity of ETF and the reliable results show that margin trading boosts market liquidity of China's ETF and improves the quality of the ETF market.Thus,both of the market supervisors and exchangers of ETF need to take different actions before and after ETF enters into margin trading underlying securities.

关 键 词：融资融券 交易型开放式指数基金 ETF基金市场 市场质量 流动性 非流动性 双重差分模型 

分 类 号：F224[经济管理—国民经济] F832.5