本文選題：融資融券　切入點(diǎn)：杠桿交易　出處：《經(jīng)濟(jì)評(píng)論》2017年01期

【摘要】：在分析我國(guó)融資融券交易對(duì)股票價(jià)格的作用效果時(shí),應(yīng)充分考慮股票市場(chǎng)狀態(tài)的影響。當(dāng)市場(chǎng)狀態(tài)由熊市變?yōu)榕Ｊ袝r(shí),投資者交易策略也由保守轉(zhuǎn)為激進(jìn)。此時(shí),兩融交易可能導(dǎo)致融資融券標(biāo)的股票價(jià)格高估。本文使用2014年1月1日至12月31日上海證券交易所A股交易數(shù)據(jù),采用雙重差分方法,驗(yàn)證了融資買入交易對(duì)兩融標(biāo)的股票價(jià)格上漲的推動(dòng)作用,發(fā)現(xiàn)牛市開(kāi)始之后融資交易規(guī)模的擴(kuò)大是融資融券標(biāo)的股票價(jià)格被高估的重要原因,牛市中融資融券標(biāo)的股票的價(jià)格存在明顯的高估。本文參考股票的現(xiàn)金流貼現(xiàn)估值模型,考察了樣本股票在牛市開(kāi)始前后基本面變動(dòng)狀況,發(fā)現(xiàn)無(wú)論當(dāng)前盈利能力、成長(zhǎng)趨勢(shì)還是公司運(yùn)營(yíng)風(fēng)險(xiǎn)均無(wú)法解釋牛市開(kāi)始之后融資融券標(biāo)的股票價(jià)格的高估,這表明基本面因素并不是兩融標(biāo)的股票價(jià)格被高估的主要原因。
[Abstract]:In analyzing the effect of margin trading on stock price in China, the influence of stock market state should be fully considered. When the market state changes from bear market to bull market, investor trading strategy also changes from conservative to radical. This paper uses the A-share trading data of Shanghai Stock Exchange from January 1 to December 31, 2014, and adopts the double difference method. The paper verifies the effect of financing buying on the increase of stock price, and finds that the expansion of financing transaction scale after the start of bull market is the important reason why the stock price of margin and short bond is overvalued. In bull market, the price of the underlying stock is obviously overvalued. This paper, referring to the discount valuation model of stock cash flow, investigates the fundamental changes of sample stock before and after the beginning of the bull market, and finds that no matter the current profitability, Neither the growth trend nor the operating risk of the company can explain the overvaluation of the underlying stock price after the bull market began, which indicates that the fundamental factors are not the main reasons for the overvaluation of the stock price.
【作者單位】： 華中科技大學(xué)經(jīng)濟(jì)學(xué)院;中國(guó)人民銀行上海總部;
【基金】：國(guó)家社科基金重大項(xiàng)目(08&ZD037)的資助
【分類號(hào)】：F832.51

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