融资融券对我国ETF基金超额收益率的影响——基于多时点双重差分模型的实证研究  

The Impact of Margin Trading on Chinese ETF’S Excess Return Rate——An Empirical Study Based on the Time-Varying DID Model

作　　者：曾智森 ZENG Zhi-sen(School of International Business,Jinan University,519000,Zhuhai,Guangdong,China)

机构地区：[1]暨南大学国际商学院,广东珠海519000

出　　处：《特区经济》2021年第8期35-39,共5页Special Zone Economy

摘　　要：本文选取多只纳入融资融券标的和未纳入融资融券标的的ETF基金,利用2014年3月20日至2020年9月30日的相关数据,构建了多时点双重差分模型,并进行了平行趋势检验。实证结果表明,将ETF基金纳入融资融券标的并不能显著提高其超额收益率,即不能给投资者带来比未纳入融资标的的ETF基金更高的回报。This Paper selects a number of ETF’s that are included in margin trading and those that are not included in margin trading,then constructs a time-varying DID model by using relevant data from March 20.2014 to September 30,2020.After passing parallel trend test,the whole empirical result shows that the ETF’s that are included in margin trading don’t significantly bring higher excess return rate than ETF’s that are not included in margin trading, which is said that it cannot bring investors higher return by investing ETF’s that are included in margin trading.

关 键 词：融资融券 ETF基金 多时点双重差分模型 超额收益率 

分 类 号：F830.91[经济管理—金融学]