两融标的股票扩容与股票流动性的变化

摘要

运用双重差分模型,选取2008年8月至2016年10月沪深A股融资融券月度数据,分析4次两融标的大规模扩容对股票流动性的影响。研究结果表明,融资融券业务开通和两融标的扩容使标的股票流动性呈现较明显的改善,且沪市标的股票流动性的改善程度较深市标的股票更为显著。在4次扩容区间内,融资融券交易对标的股票流动性的改善程度存在差异,究其原因主要受到标的股票数量和两融规模的影响。

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	钟永红
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关键词：融资融券流动性双重差分模型

Abstract：

Using difference-in-difference model and monthly data of margin trading and shoring in Shanghai and Shenzhen A stock markets between August, 2008 and October, 2016, this paper analyses the impact of four large-scale expansions of stocks in margin trading and shorting on stock liquidity.It is found that enabling margin trading and shoring and the expansion of stocks in that field can significantly improve liquidity of underlying stocks, and the improvement in Shanghai stock market is more significant than that in Shenzhen market. Among the four expansions,there is difference in liquidity improvement of underlying stocks brought about by margin trading and shoring.The reason behind this is that policy effects are restricted by underlying stock quantity and the scales of margin trading and shoring.

Keywords： Margin Trading and Shorting Liquidity Difference-in-Difference Model

收稿日期 2017-04-21; 接受日期 2018-02-07;

基金资助:

国家社会科学基金项目(14BJY190);国家社会科学基金项目(16BJY172);中央高校基本科研业务费资助项目(2015JCRC03)

作者简介: 钟永红(1977-),女,湖南长沙人,博士,副教授,主要从事金融风险管理研究;李书璇(1994-),女,湖南怀化人,侗族,硕士研究生,主要从事金融市场管理研究。

引用本文:

钟永红, 李书璇.两融标的股票扩容与股票流动性的变化[J]. 经济经纬, 2018,1: 146-151

ZHONG Yong-hong, LI Shu-xuan.Stock Expansion in Margin Trading and Shorting and Its Effect on Stock Liquidity[J] Economic Survey, 2018,V35(1): 146-151

链接本文:

http://www.jjjw.org.cn/CN/ 或 http://www.jjjw.org.cn/CN/Y2018/V35/I1/146