融资融券下正反馈交易行为有效性研究  

Research on the Effectiveness of Positive Feedback Trading Behavior in the Margin Financing

作　　者：张博[1] 李艳萍[1] 杨熙安 

机构地区：[1]西安理工大学经济与管理学院,陕西西安710054 [2]多伦多大学商学院

出　　处：《未来与发展》2016年第7期58-66,共9页Future and Development

基　　金：国家自然科学基金项目(批准号:71373204)

摘　　要：本文以国内A股市场为研究对象,选取1 570个样本通过统计分析样本股票在2009年08月31日至2015年03月31日这一区间内的表现,通过对形成期股价的收益率划分得到了赢家和输家组合,然后观测赢家及输家组合在持有期内的股价行为。分别从融资融券引入前后股价动量效应与反转效应对比;融资融券引入后标的股票与非标的股票的动量效应与反转效应对比;标的经过四次扩容后各个阶段的动量效应与反转效应对比为切入点,考察融资融券下正反馈交易行为的有效性。通过实证检验,得出结论认为融资融券制度在一定程度上可降低正反馈交易行为的有效性。This paper takes the domestic A-share market as the research object, and selects 1570 samples to study the samples＇ performance from August 31, 2009 to March 31, 2015.According to the winners and losers divided by formative price-earnings ratio to observe the winners and losers＇ stock price behavior in the holding period. To examining the validity of positive feedback trading behavior in margin by comparing momentum effect and reversal effect before and after the introduction of margin, the underlying stocks and not the underlying stocks and marked stock after four expansion. Through empirical test, we conclude that margin system, to a certain extent, can reduce the effectiveness of positive feedback trading behavior.

关 键 词：融资融券 正反馈交易行为 动量效应 反转效应 

分 类 号：F830.91[经济管理—金融学]