本文選題：融資融券 + 賣空約束　； 參考：《湘潭大學(xué)》2017年碩士論文

【摘要】：融資融券作為一項成熟市場中重要的交易制度,它的引入打破我國所存在的賣空約束,有助提高股票的定價效率。在引入之初就受到了各方學(xué)者的極大關(guān)注。如今,融資融券已經(jīng)成為中國證券市場的重要組成部分,但是融資融券對于我國證券市場股票定價效率的影響卻仍存爭議。與此同時,與主板市場相比,在創(chuàng)業(yè)板上市的股票呈現(xiàn)股價畸高,風(fēng)險較大的鮮明特征。因此,研究創(chuàng)業(yè)板在開放融資融券后股票定價效率的變化,對于分析融資融券業(yè)務(wù)對我國股票定價效率的影響具有積極作用。本文以我國創(chuàng)業(yè)板融資融券標(biāo)的為研究對象,使用非平衡數(shù)據(jù)面板模型,從股票的估值和股票的信息反應(yīng)速度兩個角度探討了融資融券對于定價效率的影響。基于以上兩個方面的實(shí)證結(jié)果,本文得出以下結(jié)論:首先,盡管不能證明股價超額收益是賣空約束與異質(zhì)信念共同作用的結(jié)果,但實(shí)施融資融券業(yè)務(wù)以后,創(chuàng)業(yè)板股票超額收益率有一定程度的下降;其次,在實(shí)施融資融券業(yè)務(wù)以后,創(chuàng)業(yè)板股票的信息反應(yīng)速度有所提升,利空消息下信息反應(yīng)速度的提升更為明顯;除開以上兩條結(jié)論,在穩(wěn)健性檢驗(yàn)的過程中,本文還發(fā)現(xiàn)開展融資融券業(yè)務(wù)后,在牛市中定價效率的提升更加明顯。綜上所述,本文認(rèn)為融資融券業(yè)務(wù)有助于提高我國創(chuàng)業(yè)板股票的定價效率。
[Abstract]:Margin financing as an important trading system in a mature market, its introduction breaks the constraints of short selling in China, and helps to improve the pricing efficiency of stocks.At the beginning of its introduction, it has been paid great attention by scholars from all over the world.At present, margin financing has become an important part of China's securities market, but the impact of margin financing on the stock pricing efficiency of China's securities market is still controversial.At the same time, compared with the main board market, the gem listed stocks show the distinctive characteristics of high stock price and high risk.Therefore, the research on the change of stock pricing efficiency after the opening of gem plays a positive role in analyzing the influence of margin trading on stock pricing efficiency in China.In this paper, using the non-equilibrium data panel model, the paper discusses the influence of margin margin on pricing efficiency from the perspective of stock valuation and stock information reaction speed.Based on the above two empirical results, this paper draws the following conclusions: first, although it can not be proved that the excess return of stock price is the result of the combination of short selling constraints and heterogeneous beliefs, but after the implementation of margin trading business,Secondly, after the implementation of margin trading, the information reaction speed of gem stock has been improved, and the information reaction speed under the bad news is more obvious.In addition to the above two conclusions, in the process of robustness test, this paper also found that the increase of pricing efficiency in bull market is more obvious.To sum up, this paper argues that margin trading helps to improve the pricing efficiency of gem.
【學(xué)位授予單位】：湘潭大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.51

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