融资融券交易促进我国股票市场定价效率了吗?——来自A股市场的经验证据  

Does Securities Margin Trading Improve Price Efficiency in Chinese Stock Market?——Empirical Evidence From the A-share Stock Market

作　　者：佟孟华[1] 梅光松[2] 张国建[2] 

机构地区：[1]东北财经大学经济学院,经济计量分析与预测研究中心 [2]东北财经大学经济学院

出　　处：《投资研究》2017年第1期80-99,共20页Review of Investment Studies

基　　金：2014年辽宁省高等学校人文社会科学重点研究基地专项项目:"融资融券交易对我国股市波动性;流动性影响的实证研究"(项目编号:ZJ2014049);2014年度国家社科基金重点项目:"基于大数据的金融风险度量理论与应用研究"(项目批准号:14AZD089)的阶段性研究成果

摘　　要：本文采用Hou和Moskowitz(2005)、Bris等(2007)衡量定价效率的指标方法,在控制了影响股票定价效率的变量后,运用非平衡面板双向固定效应模型实证研究融资融券交易对股票定价效率的影响。研究发现:在整个样本期内,融资融券交易促进了股票的定价效率;基于股市不同态势的视角,发现平稳时期融资融券交易能够显著提高股票定价效率,而在大牛市、大熊市期间对股票定价效率的影响并不显著;进一步从纵向角度讨论融资融券交易对定价效率的影响,得出股票进入融资融券标的池确实有助于股票定价效率的提高。最后通过双重差分模型进行稳健性检验,发现融资融券交易实施后期得到的结果与平稳时期一致。This paper uses measures of Hou and Moskowitz （2005） and the Bris et al. （2007） measure price efficiency, uses the unbalanced panel bidirectional fixed effects model to research the effect of securities margin trading on price efficiency after controlling variables that may influence price efficiency. The study found that： securities margin trading improves stock price efficiency during the sample period; securities margin trading can significantly improve the price efficiency during the smooth market, but there is no significant impact on stock price efficiency during the great bull or bear market based on the perspec- tive of the stock market at different time. This paper discusses stock entering into pool by longitudinal perspective, fbtmd event increases stock price efficiency. Finally we found our conclusion is robust except at the beginning of the securities margin trad- ing by difference-in-differences model.

关 键 词：融资融券交易 定价效率 事件研究法 双重差分模型 

分 类 号：F832.51[经济管理—金融学]