| 融资融券约束与股市波动 |
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| 引用本文： | 朱光伟,杨涛,杜在超.融资融券约束与股市波动[J].中国管理科学,2022,30(4):13-29. |
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| 作者姓名： | 朱光伟 杨涛 杜在超 |
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| 作者单位： | 1.西南财经大学中国金融研究中心，四川 成都611130； 2.山东大学商学院，山东 威海264209； 3.复旦大学经济学院，上海200433 |
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| 基金项目： | 国家自然科学基金资助项目(71973109, 72003153,72173029)；教育部人文社科项目(20XJC790016)；中央高校重大基础理论项目(JBK171117)；中央高校基本科研业务费专项资金资助项目(JBK1805003，JBK1901058) |
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| 摘 要： | 本文从融资约束和融券约束的视角出发，研究我国股票市场融资机制和融券机制对标的股票波动率的影响。相比于融资融券交易量，约束可以更好地识别融资融券机制的作用，因为它可以从交易渠道、信息渠道、公司治理渠道对股价产生影响。我们利用融资融券机制推进过程中标的证券名单的变化识别融资融券约束放松后的总体效果，然后合理构造子样本识别融资约束的作用，最后利用转融通的实施识别融券约束的作用。研究结果显示融资约束和融券约束的放松显著降低了标的股票的波动率，表明融资融券机制可以发挥稳定股票市场的作用。
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| 关 键 词： | 融资融券约束 波动率 转融通 |
| 收稿时间： | 2019-02-17 |
| 修稿时间： | 2020-11-30 |
Margin Trading,Short Selling Constraints and Stock Market Volatility |
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| ZHU Guang-wei,YANG Tao,DU Zai-chao.Margin Trading,Short Selling Constraints and Stock Market Volatility[J].Chinese Journal of Management Science,2022,30(4):13-29. |
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| Authors: | ZHU Guang-wei YANG Tao DU Zai-chao |
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| Institution: | 1. Institute of Chinese Financial Studies, Southwestern University of Finance and Economics, Chengdu 611130, China;2. Business School, Shandong University, Weihai 264209, China;3. School of Economics, Fudan University, Shanghai 200433, China |
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| Abstract: | Although a large number of classical theories and empirical literature prove that with the relaxation of short-selling constraints, stock prices are more likely to approach theirfundamental values.The positive effect of the short-selling mechanism has always been controversial.Regardless of the 2008 global financial crisis or the 2015 China stock market crash, governments all over the world imposed different degrees of restrictions on short-selling transactions in order to curb the stock price plummet during market panic. Even when the market is operating smoothly, governments have imposed different degrees of restrictions on short sales, thereby reducing potential risks. |
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| Keywords: | constraints of margin trading and short selling volatility margin financing loan |
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