[1]钟碧兰,申 韬.国内外融资融券业务与股价波动性关系的文献评述[J].金融教育研究,2016,(03):15-19.
 ZHONG Bilan,SHEN Tao.Literatures Review of the Relationship between Margin Trading and Stock Price Volatility at Home and Abroad[J].,2016,(03):15-19.
点击复制

国内外融资融券业务与股价波动性关系的文献评述()
分享到:

《金融教育研究》[ISSN:1006-6977/CN:61-1281/TN]

卷:
期数:
2016年03期
页码:
15-19
栏目:
出版日期:
2016-07-01

文章信息/Info

Title:
Literatures Review of the Relationship between Margin Trading and Stock Price Volatility at Home and Abroad
作者:
钟碧兰 申 韬
广西大学 商学院,广西 南宁530004
Author(s):
ZHONG Bilan SHEN Tao
College of Business,Guangxi University,Nanning,Guangxi 530004,China
关键词:
融资融券股价波动效用
Keywords:
margin tradingstock price volatilityeffectiveness
分类号:
F830.91
文献标志码:
A
摘要:
现阶段,针对内地市场融资融券与股价波动关系的研究存在正效用说、负效用说和效用不明说,研究结论差异较大。未来可通过借鉴和改进国外研究方法,结合中国内地融资融券市场开放程度,运用更长期的样本数据,从不同研究视角、采用适合内地实际的实证分析方法对融资融券业务与A股股价波动的关系进行研究,可以分别对融资卖空和融券买空交易进行研究,更确切地把握融资融券交易对股价波动的影响,不断提升我国A股市场的开放程度,提高我国证券市场的运作效率,促进融资融券业务的良性、有序发展。
Abstract:
There are three different perspectives on the present study of the relationship between margin trading business and stock price volatility in China:the positive effectiveness、negative effectiveness and unknown effectiveness,and the research results are quite different.In the future,by referring the foreign research methods,combining the openness of Chinese margin trading market,using long-term data,from different perspectives,using the method of empirical research which fitting for the local situation,we can analyze the relationship between Chinese margin trading business and A-share price volatility,and do the analysis on short of financing and overbuying of securities loan transactions respectively.Thus,we can accurately grasp the impact of margin trading on stock price volatility accurately,improve our A-share market’s openness,increase the efficiency of stock market operation,and promote healthy development of margin trading business.

参考文献/References:

[1]Hong Harrison and Jereny C.Stein.Differences of opinion,short-slaes constraints,and market crashes[J].Review of Financial Studies,2003(16):487-525.
[2]Bai,Yang,Erie C.Chang,Jiang Wang.Asset Prices under Short-Sale Constraints[R].Working Paper,2006.
[3]Hong,Liu and Yajun Wang.Short-sale constrainsts,bid-ask spreads and information[R].Social Science Research Network,2013.
[4]Anchada Charoenrook and Hazem Daouk.The World Price Of Short Selling[R].The Owen Graduate School of Management,Vanderbilt University,20O3.
[5]Bris,A.,W.N.Goetzinaim and N.Zhu.Effieieney and the bear:Short sales and markets around the world[J].Journal of Finance,2007(62):1029-1079.
[6]Cai,Jinghan,Li,Yuming and XiaXe.Liquidity,Information Asymmetry and Short Sales Constraints:Evidence from the Hong Kong Stock Market[J].Journal of Finance,2006(11):847-869.
[7]Chan Shik Jung.Short selling by individual investors:Destabilizing or price discovering?[J].Pacific-Basin Finance Journal,2012(17):45-63.
[8]王富宣.证券信用交易与股市波动性[D].北京:对外经济贸易大学,2007.
[9]袁华涛.我国证券市场引入融资融券交易研究[D].成都:西南财经大学,2007.
[10]施文雅.融券制度与股票市场波动性的研究[D].武汉:华中科技大学,2007.
[11]陈淼鑫,郑振龙.推出卖空机制对证券市场波动率的影响[J].证券市场导报,2008(2):61-65.
[12]陈淼鑫,郑振龙.融券保证金乘数调整对证券市场波动性的影响-来自台湾的证据[J].财经问题研究,2008(3):55-60.
[13]龚红霞.融资融券对股价波动性的影响研究一以香港市场为例[D].广州:广东商学院,2010.
[14]袁怀宇,张宗成.卖空限制对股票市场收益非对称性的影响一基于上海和香港的实证比较研究[J].管理学报,2009(8):98-102.
[15]陈伟.融资融券试点对我国股票市场波动性的影响实证研究[J].上海金融学院学报,2011(4):42-50.
[16]于孝建.融资融券交易对中国股市流动性和波动性的影响[J].华南理工大学学报,2012(7):13-17.
[17]杨德勇,吴琼.融资融券对上海证券市场的实证分析一基于流动性和波动性的视角[J].中央财经大学学报,2011(5):49-54.
[18]贾明琪,赵亮.融资融券对 A 股市场影响幅度的研究[J].财会月刊,2012(3):46-48.
[19]Henry,O.T.T and M Mckenzie.The impact of short selling on the price-volume relationship:Evidence from Hong Kong[J].Journal of Business,2006(79):123-141.
[20]Chang,E,Cheng,J and Yu,Y.Short-sales constraints and price discovery:evidence from the Hong Kong market[J].Journal of Finance,2007(62):2097-2121.
[21]Alex Frino,Steven Lecce and Andrew Lepone.Short-sales constraints and market quality:Evidence from the 2008 short-sales bans[J].International Review of Financial Analysis,2011(26):225-236.
[22]Ofek,Eli and Matthew Richardson.The Rise and Fall of Internet Stock Prices[J].The Journal of Finance,2003(3):113-137.
[23]E.Bernardo,Antonio and Ivo Wcleh.Liquidity and financial market runs[J].Quarterly Journal of Economies,2004(119):135-158.
[24]Guo W C,Wang F Y and Wu H M.Financial leverage and market volatility with diverse beliefs[J].Economic Theory,2011(47):337-364.
[25]陈思行.证券信用制度对股市波动性的影响—基于台湾市场的实证研宄[J].世界经济情况,2010(9):47-51.
[26]胡华锋.卖空交易与市场波动性、流动性的研究-基于中国香港证券市场的实证分析[J].上海财经大学学报,2012(3):82-89.
[27]冯玉梅,陈璇等.融资融券对标的股票价格变化的影响的实证研究[J].山东财政学院学报,2012(3):15-22.
[28]Gallmeyer M and Hollifield B.An Examination of Heterogeneous Beliefs with a Short-sale Constraint in a Dynamic Economy[J].Review of Finance,2008(12):323-364.
[29]Robert Baltalio and Paul Sehultz.0ptions and the Bubble[J].The Journal of Finance,2006(5):2071-2102.
[30]Saffi.P.A.C and Sigurdsson.k.Price Efficiency and Short Selling[R].lESE Business School Working Paper,2010.
[31]Xiao X.Influence of Chinese Securities Margin Trading Mechanism to Stock Market Volatility[J].Advances in Asian Social Science,2012(3):594-599.
[32]廖士光,张宗新.新兴市场引入卖空机制对股市的冲击效应一来自香港证券市场的经验证据[J].财经研究,2005(10):35-42.
[33]王昊等.融资融券交易的市场冲击效应研究一基于中国台湾证券市场的经验与启示[J].财经研究,2008(10):99-109.
[34]李竞.我国A股融资融券交易与市场表现关系研究[J].现代商业,2010(27):27-29.
[35]李俊文.我国融资融券交易对市场波动性的实证分析[J].中国证券期货,2011(12):43-47.
[36]翟爱梅,钟山.卖空机制对股票价格波动的影响:基于A + H 股公司的实证研究[J].南方经济,2012(8):43-56.

备注/Memo

备注/Memo:
收稿日期:2016-02-24基金项目:2013年度广西高等教育教学改革工程项目“地方综合性院校金融学实验实训教学研究与实践”(2013JGA103)作者简介:钟碧兰(1991-),女,满族,广西梧州人,硕士研究生,研究方向为金融与投融资管理;申韬(1975-),女,博士,教授,研究方向为金融理论与实践、投融资与信用管理。
更新日期/Last Update: 1900-01-01