本文選題：融資融券　切入點(diǎn)：加權(quán)股指　出處：《北京工商大學(xué)學(xué)報(bào)(社會科學(xué)版)》2017年04期 　論文類型：期刊論文

【摘要】：融資融券業(yè)務(wù)的發(fā)展進(jìn)一步完善了我國股市的做空機(jī)制。選取滬深兩市278只融資融券標(biāo)的股票作為研究對象,應(yīng)用ARIMA模型,實(shí)證研究了加權(quán)股指收益率對融資融券交易的影響。研究發(fā)現(xiàn):加權(quán)股指收益率和波動率對融資和融券交易均具有顯著的影響,且影響呈對稱性;融資和融券交易對加權(quán)股指收益率均存在影響,但方向相反,即在股價(jià)上升時(shí),融資交易對股價(jià)有助漲之嫌,而融券交易可以起到平抑股價(jià)的作用;轉(zhuǎn)融通業(yè)務(wù)的推出顯著增強(qiáng)了加權(quán)股指收益率對融資融券交易的影響。我國融資融券業(yè)務(wù)的不斷開展放松了賣空約束,完善了市場的價(jià)格發(fā)現(xiàn)功能,并拓寬了投資渠道,增進(jìn)了市場效率。
[Abstract]:The short selling mechanism of China's stock market has been further improved by the development of margin financing and short selling business. The ARIMA model is applied to the study of 278 stocks in Shanghai and Shenzhen stock markets. The paper empirically studies the influence of weighted stock index return on margin trading. It is found that the weighted stock index yield and volatility have significant effects on both financing and margin trading, and the influence is symmetrical; Both financing and margin trading have influence on the weighted stock index yield, but the direction is opposite, that is, when the stock price rises, the financing transaction can help the stock price to rise, and the short bond trading can play the role of stabilizing the stock price; The introduction of transposing has significantly enhanced the influence of weighted stock index returns on margin trading. The continuous development of margin trading in China has relaxed the constraints of short selling, improved the price discovery function of the market, and broadened investment channels. Improved market efficiency.
【作者單位】： 北京大學(xué)經(jīng)濟(jì)學(xué)院;
【分類號】：F832.51

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