【摘要】：融資融券業(yè)務對于資本市場的重要性已日益得到學者們的認可,其對股票市場的作用到底如何,也是諸多學者爭論的焦點。自1977年Miller提出“股價高估假說”以來,融券賣空對于股票的價格發(fā)現(xiàn)與定價效率究竟有何影響也是學者的關注所在。其中大多數(shù)學者支持Miller的觀點,并認為融券賣空對價格發(fā)現(xiàn)與定價效率有著積極的作用。我國自2010年3月開展融資融券試點到如今已經過7年的時間,關于賣空機制對于我國股票市場的影響的實證研究受制于兩融標的的限制,多集中于主板市場,針對中小板市場的研究相對較少。而中小板市場又有其獨特性,究竟受賣空機制的影響如何,是否與主板市場一致,值得探討。本文以中小板標的證券為樣本,選取2014年9月擴容標的中第一次進入兩融標的股票的中小板股票共55支,以樣本股正式開始融券日為事件日建立模型,以事件分析法探究標的股票在融券賣空之后是否有負的異常收益率與累計異常收益率,以此分析融券賣空對于我國中小板市場股價發(fā)現(xiàn)的影響。同時,比較標的股票的股價在賣空前后股價內含的市場信息、是否符合隨機游走理論、與市場收益的相關性以及滯后性,構建相關指標,考察融券賣空對于中小板市場定價效率的影響。研究結果證明,在實行融券賣空之后,相關標的股票的累積異常收益率為負,且顯著,證明融券賣空確實有助于引導股價回歸合理水平;而在定價效率的影響上,不同于主板市場,中小板市場的標的股票在融券賣空后受市場的影響更為明顯,股價更多的包含了市場信息而不是自身信息,這與中小板盤子小,易受部分投資者影響相關。
[Abstract]:The importance of margin trading to the capital market has been increasingly recognized by scholars, and its role in the stock market is also the focus of many scholars. Since Miller put forward the "stock price overvaluation hypothesis" in 1977, the impact of short selling on the price discovery and pricing efficiency of stocks has been concerned by scholars. Most of the scholars support Miller's view and believe that short selling plays a positive role in price discovery and pricing efficiency. It has been 7 years since our country started the experiment of margin financing and short selling in March 2010. The empirical research on the impact of short selling mechanism on the stock market is restricted by the restriction of the two financial targets, and it is mainly concentrated on the main board market. The research on small and medium-sized board market is relatively few. And the small and medium board market has its uniqueness, exactly by the short selling mechanism influence, whether is consistent with the main board market, is worth to discuss. In this paper, 55 small and medium board stocks are selected for the first time in the expansion target in September 2014, and the model is established by taking the sample stock as the event day. This paper explores whether there are negative abnormal returns and accumulative abnormal returns on the underlying stocks after short selling by means of event analysis, so as to analyze the impact of short selling on the discovery of stock prices in Chinese small and medium-sized board markets. At the same time, comparing the market information of the underlying stock price before and after short selling, whether it accords with the random walk theory, the correlation with the market income and the lag, constructs the related index. The effect of short-selling on the pricing efficiency of small and medium-sized board market is investigated. The results show that, after short selling, the cumulative abnormal return rate of the underlying stocks is negative, and significant. It is proved that short selling of short securities can help to guide the stock price to return to a reasonable level; but in the impact of pricing efficiency, Different from the main board market, the underlying stocks in the small and medium board market are more obviously influenced by the market after short selling, and the stock price contains more market information than its own information, which is related to the small plate, which is vulnerable to the influence of some investors.
【學位授予單位】：貴州財經大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.51

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