本文選題：融資融券 + 大交易量��； 參考：《經(jīng)濟(jì)研究參考》2017年14期

【摘要】：本文將融資融券納入交易量信號(hào)傳遞效應(yīng)的研究視閾。在基于歷史均量定義大交易量及三因子模型得到風(fēng)險(xiǎn)調(diào)整后的異常收益基礎(chǔ)上,本文運(yùn)用面板數(shù)據(jù)研究了融資融券對(duì)股票大交易量發(fā)生概率及大交易量后續(xù)異常收益的影響。我們的主要結(jié)論有:融資融券會(huì)顯著增加股票發(fā)生大交易量事件的概率;我國(guó)股票市場(chǎng)在大交易量發(fā)生短期內(nèi)具有一定的"折價(jià)效應(yīng)",但之后呈現(xiàn)"溢價(jià)效應(yīng)",而融資融券顯著增加了大交易量之后的累積異常收益;融資融券對(duì)大交易量信號(hào)傳遞效應(yīng)的影響對(duì)證券投資和市場(chǎng)監(jiān)管具有重要參考價(jià)值。
[Abstract]:In this paper, the financing margin is considered as the threshold of the study of the transaction volume signal transmission effect. Based on the historical average of the large volume and the three factor model to get the abnormal returns of the risk adjustment, this paper uses panel data to study the impact of the margin on the probability of the large volume of stock exchange and the subsequent abnormal returns of the large transaction volume. The main conclusions are as follows: the margin of financing will significantly increase the probability of a large transaction in stock market. In the short term, the stock market has a certain "discount effect" in the short term, but after the "premium effect", the financing margin significantly increases the cumulative abnormal returns after the large volume of trading. The influence of signal passing effect has important reference value for securities investment and market supervision.

【作者單位】： 西南財(cái)經(jīng)大學(xué)金融學(xué)院;
【分類號(hào)】：F832.51

【相似文獻(xiàn)】

相關(guān)期刊論文 前10條

1 周明劍;;融資融券推出或非其時(shí)[J];中國(guó)發(fā)展觀察;2006年08期

2 丁淼;;融資融券[J];股市動(dòng)態(tài)分析;2006年33期

3 張銳;;融資融券:股市的“助推器”[J];中國(guó)外資;2006年09期

4 李琳;;融資融券：魔鬼之后是天使[J];新遠(yuǎn)見(jiàn);2006年06期

5 張銳;;融資融券:給股市一個(gè)支點(diǎn)[J];中國(guó)房地產(chǎn)金融;2007年01期

6 魏s，

本文編號(hào)：1783843