融资融券对中国A股市场股价信息含量的实证研究  

An Empirical Study on the Effect of Margin Trading on the Information Content of Chinese A-share Stock Price

作　　者：刘沛[1] 曹宁博 LIU Pei;CAO Ningbo(Finance School,Jinan University,Guangzhou,Guangdong 510632,China)

机构地区：[1]暨南大学经济学院,广东广州510632

出　　处：《广州大学学报（社会科学版）》2018年第6期44-51,共8页Journal of Guangzhou University:Social Science Edition

基　　金：广东省科技规划项目(2011B040400013);广州市建设国家级科技思想库研究课题(2012SX006);广州开发区发展改革与金融局委托课题"2016-2018年‘加快广州金融创新服务区建设’行动方案"的部分研究成果

摘　　要：融资融券的杠杆效应以及双边操作的交易模式给投资者提供了看涨、看跌的双重渠道,使得具有私有信息的投资者能够及时通过交易将拥有的公司特质信息充分反映在股票市场上,进而影响到股票价格信息含量。从股票价格对信息反映的充分性、及时性以及对正负信息反映的差异性三个维度,以2009—2015年我国A股上市公司的数据为样本,实证研究融资融券制度对股票价格信息含量的影响。结果表明,股票纳入融资融券标的范围以后,股价信息含量显著提高。该结论为监管层进一步拓展"融资融券"标的范围、活跃证券市场信用交易以及完善转融资、转融券制度建设提供了经验证据。The leverage effect and the two-way short trading pattern of margin trading provide investors with double channels of bullish and bearish,so that investors with private information can fully reflect the company＇ s characteristic information in the stock market through their transaction,which will affect the stock price information content. This paper analyzes the impact of the margin system on the stock price information content from three dimensions,namely,the adequacy,timeliness and the difference of positive and negative information reflected from the stock price. The results show that the stock price information content has significantly increased after the stock was added into the margin target range. This conclusion provides empirical evidence for the government to further develop the scope of margin target,to activate credit transaction in securities market and to further improve transfer financing and transfer securities financing system.

关 键 词：融资融券 股价信息含量 私有信息交易 

分 类 号：F810.5[经济管理—财政学]