杠杆交易对股票流动性的影响——来自沪市A股融资融券交易的实证  

The Impact of Leverage Trading on Stock Liquidity:Evidence from Margin Trading in Chinese A-Share Market

作　　者：周荣喜[1] 陶玉堃 邓尧健 刘晓 ZHOU Rongxi;TAO Yukun;DENG Yaojian;LIU Xiao(School of Banking and Finance,University of International Business and Economics,Beijing 100029,China;School of Economics and Management,North China University of Technology,Beijing 100144,China)

机构地区：[1]对外经济贸易大学金融学院,北京100029 [2]北方工业大学经济管理学院,北京100144

出　　处：《计量经济学报》2023年第3期848-871,共24页China Journal of Econometrics

基　　金：国家自然科学基金(71871062,71631005);北方工业大学科研启动基金(110051360002)。

摘　　要：增强市场流动性是我国证监会推出融资融券制度的初衷之一,然而相关研究中关于融资融券的实际效果如何的结论并不一致,且研究中的内生性问题一直未得到解决.本文从价格影响和交易成本两个维度实证研究了融资融券交易对沪市A股股票流动性的影响.基于融资融券标的范围调整方式,本文使用断点回归处理了相关研究中一直未能解决的内生性问题,并发现在价格影响维度,融资融券交易会在市场温和波动时缩小价格影响(改善流动性),在市场大幅波动时扩大价格影响(恶化流动性).随后本文对投资者的融资融券交易模式进行了识别,发现投资者在不同市场波动程度下呈现出不同的交易模式,从而对这种差异性给出了可能的解释.而在交易成本维度,本文发现只有对于信息不对称程度较低的股票,融资融券交易才可以降低其交易成本(改善流动性).Improving market liquidity is one of the intentions of China Securities Regulatory Commission to launch the margin trading system.However,the conclusions about the practical effect of margin trading in related studies are inconsistent,and the endogeneity problem has not been resolved yet.This paper empirically studies the impact of margin trading on the liquidity of stocks listed on the Shanghai Stock Exchange from price impact and trading costs dimensions.Given the threshold rules that determine a stock’s margin trading eligibility,we employ a regression discontinuity design to address the endogeneity problem in related studies.This paper finds that,for price impact dimension,margin trading can reduce price impact(enhance liquidity)when the market fluctuates moderately,and increase price impact(decrease liquidity)during large market fluctuations,which is then explained by the different trading strategies employed by margin traders during different market conditions.For trading costs dimension,margin trading can reduce transaction costs(enhance liquidity)only for stocks with less information asymmetry.

关 键 词：杠杆交易 融资融券 股票流动性 断点回归法 

分 类 号：F832.51[经济管理—金融学]