融资融券交易的市场冲击效应研究——基于中国台湾证券市场的经验与启示
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财经研究 2008 年 第 34 卷第 10 期, 页码：100 - 110
摘要
参考文献
摘要
融资融券交易是证券市场的重要组成部分,它的推出会对整个市场产生何种影响是非常值得研究的问题。文章利用中国台湾证券市场的融资融券交易数据,从市场流动性与波动性角度研究融资融券交易对整个市场的冲击效应。研究结果表明,融资买空交易有助于提升整个市场的流动性水平,在一定程度上可以改善市场流动性水平相对不足的状况,但融券卖空交易对市场流动性水平没有显著影响;融资买空与融券卖空交易并未显著影响整个市场的波动性水平。文章建议证券监管部门可以将融资融券交易保证金率作为市场调控工具,通过适时调整保证金率调控整个市场,避免市场出现大幅震荡。
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[3]王甡.证券融资与融券量变动对股市波动之影响分析[J].证券金融,1995,(47):57-84.
[4]张哲章.融资融券余额、成交量与股价指数之间关联性研究[J].证券金融,1998,(1):67-94.
[5]Aitken M,A Frino.The accuracy of the tick test:Evidence from the Australian stockexchange[J].Journal of Banking and Finance,1996,(20):1715-1729.
[6]Amihud Y.Illiquidity and stock returns:Cross-section and time-series effects[J].Journal of Financial Markets,2002,(5):31-56.
[7]Amihud Y,Mendelson H.Liquidity,asset prices and financial policy[J].FinancialAnalysts Journal,1991,(47):56-66.
[8]Conrad Jennifer.The price effect of short interest announcement[R].Working paper,University of North Carolina,1994.
[9]David A Dickey,Wayne A Fuller.Likelihood ratio statistics for autoregressive time se-ries with a unit root[J].Econometrica,1981,(49):1057-1071.
[10]Figlewski Stephen,Gwendolyn P Webb.Options,short sales and market completeness[J].Journal of Finance,1993,(48):761-777.
[11]Granger C W J.Investigating causal relations by econometric models and gross spec-tral methods[J].Econometrica,1981,(37):424-438.
[12]Hui B,B Heubel.Comparative liquidity advantages among major U.S.Stock markets[J].Data Resources,Inc:Lexington,MA,1984.
[13]Keim Donald B,Ananth Madhavan.Anatomy of the trading process:Empirical evi-dence on the behavior of institutional traders[J].Journal of Financial Economics,1995,(37):371-398.
[14]Senchack A J,Laura T.Stark,short-sale restrictions and market reaction to short-in-terest announcement[J].Journal of Financial and Quantitative Analysis,1993,(28):177-194.
[15]Woolridge J R,A Dickinson.Short-selling and common stock price[J].Financial An-alysts Journal,1994,(January/February):20-28.
引用本文
王旻, 廖士光, 吴淑琨. 融资融券交易的市场冲击效应研究——基于中国台湾证券市场的经验与启示[J]. 财经研究, 2008, 34(10): 100–110.
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