融资融券交易促进股票市场有效性了吗  

Does Margin Trading Improve the China's Stock Market Efficiency

作　　者：田景坤[1] 倪博[1] 

机构地区：[1]暨南大学经济学院

出　　处：《南方经济》2015年第11期1-15,共15页South China Journal of Economics

摘　　要：本文首先利用多重分形去趋势波动分析方法计算上证50指数的广义Hurst指数,发现融资融券交易开启后,以上证50指数为代表的中国股票市场的有效性得到显著提高;本文构造以融资融券标的股为处理组,非融资融券标的股为控制组,运用双重差分方法进行分析发现两融业务开启初期市场有效性并未得到增强,且随着转融资业务的引入,市场甚至出现了有效性削弱的情况,而后续转融券业务的开启则对股票市场有效性有显著的增强作用。Firstly, this paper use the MF-DFA method to calculate the generalized Hurst exponent, we found that after margin trading was open, the efficiency of Shanghai 50 index as the representative of China＇s stock market has been significantly improved; Then we construct the margin target as treatment group while non-margin target as control group, by using the DID method, we found that the early opening of the margin trading has not enhanced market efficiency, and with the introduction of financing mechanism, the effectiveness of the market even declined, while the subsequent opening of the refinancing mechanism have significantly enhanced China＇s stock market efficiency.

关 键 词：市场有效性 融资融券交易 双重差分方法 多重分形去趋势波动分析 

分 类 号：F830.91[经济管理—金融学]