融资融券交易增加了中国股票市场波动性吗?  

Does Margin Trading Increase the Volatility of China’s Stock Market?

作　　者：涂红 江旭 Tu Hong;Jiang Xu

机构地区：[1]南开大学金融学院 [2]渤海人寿保险股份有限公司固定收益部

出　　处：《投资研究》2019年第1期94-108,共15页Review of Investment Studies

摘　　要：本文以新加入和新剔除融资融券业务的股票为研究对象,采用事件分析法,从股票收益率偏度和极端负收益率出现频率两个角度研究卖空机制和信用交易对我国A股市场的影响。研究表明,与国外市场不同,我国实施融资融券交易后,股票收益率出现显著的负偏,其原因是由于卖空机制实施后,股票极端正收益率出现的频率下降,从而在极端负收益率频率没有增加的情况下,偏度更加负偏。这说明融资融券交易有利于抑制我国A股市场出现暴涨暴跌行情.This paper studies the impact of short selling and margin trading on China's A-share market using event study approach. We examine the skewness of returns and frequency of extreme negative returns for those stocks which were newly added or removed from the margin trading securities. The research shows that the stock return has a significant negative skewness after the implementation of margin trading in China, but the frequency of extreme negative returns has not changed significantly. These findings are different from results from foreign markets. We find that the frequency of extreme positive returns has declined and this leads to a more negative skewness without an increase in the frequency of extreme negative returns. Therefore, we could conclude that short selling and margin trading in China are helpful to stabilize the China's stock market.

关 键 词：融资融券 卖空交易 波动性 偏度 

分 类 号：F832.51[经济管理—金融学]