融资融券对投资者交易偏好影响的实证检验  

Empirical Estimation of the Influence of Securities Margin Trading on Investors Trading Preference

作　　者：李峰 李志生[1] 

机构地区：[1]中南财经政法大学金融学院

出　　处：《统计与决策》2018年第1期156-161,共6页Statistics & Decision

基　　金：国家自然科学基金资助项目(71271214)

摘　　要：文章利用我国某证券公司201l-2014年投资者普通证券交易和融资融券交易数据，对投资者参与融资融券交易前后的交易偏好及融资融券交易机制对投资者交易偏好的影响进行了实证研究。结果表明：投资者在参与融资融券交易之前对小市值和高异质性波动的股票具有显著的交易偏好；而融资融券业务的开通，有效地改变了投资者的交易偏好，使得投资者在参与融资融券交易之后对大市值、高账面市值比、低异质性波动的股票具有显著的交易偏好。This paper utilizes the data of investors＇ common securities trading and margin trading from 2011 to 2014 of a Chinese securities company, and conducts an empirical study on the trading preferences before and after the investors＇ participa- tion in margin trading, as well as the influence of margin trading opportunity on investors＇ trading preference. The results show that investors have significant trading preferences on small-cap and high idiosyncratic volatility before participating in margin trading; while the opening of margin business has effectively changed the investors＇ trading preferences, thus making investors have significant trading preferences on large-cap, high book-to-market ratios and low idiosyncratic volatility after being involved in margin trading.

关 键 词：融资融券交易 交易偏好 双重差分模型 

分 类 号：F830.91[经济管理—金融学]