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选取首批融资融卷标的股票中的72支,使用基于机器学习中LASSO方法的反事实分析方法研究中国融资融券制度对股票价格稳定性的影响,并通过因子分析探究稳定效果存在差异性的根源,研究发现,尽管融资融券制度普遍降低了大多数股票价格的波动率,但该制度的实施对上市公司个股价格的稳定性影响存在"马太效应",即融资融券制度使得有较强盈利能力的上市公司的股价更加稳定,而对经营效率较低的重资产类上市公司作用并不明显。因此,在确定融资融券标的时应充分考虑个股的盈利能力、资产结构等要素,选取高盈利能力、高成长性的股票作为融资融券标的以降低对应个股的波动性,投资者应根据自身对股价波动性的偏好选择高成长性或资产实力雄厚的标的进行投资。
Abstract：This study selected 72 target stocks for securities margin trading to investigate the effect of China's securities margin trading system on the stability of stock prices. To do so,it used counterfactual analysis based on the LASSO method in machine learning and also explored the root cause of differences in the stabilization effect using factor analysis. This study found that although the securities margin trading system generally reduces the volatility of most stock prices,the"Matthew effect"was present in the impact of this system on the stability of the stock price of listed companies. In other words,the securities margin trading system enabled the stock price of listed companies with stronger profitability to be more stable,but it did not have a significant effect on asset-heavy listed companies with lower operational efficiency. Therefore,when determining targets for securities margin trading,full consideration should be given to the profitability and asset structure of individual stocks,whereas high-profitability and high-growth stocks should be selected as targets for securities margin trading,so as to reduce the volatility of the corresponding stocks. Investors should choose high-growth or asset-rich stocks to invest in according to their preference in stock price volatility.
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(1)数据来源:WIND资讯金融终端。
基本信息:
中图分类号:F832.51
引用信息:
[1]刘乐平,逯敏.融资融券制度对个股价格稳定性影响的“马太效应”[J].金融经济学研究,2019,34(06):120-129.
基金信息:
国家自然科学基金项目(71771163);; 天津社会科学规划课题(TJTJ17-001)
2020-01-10
2020-01-10
2020-01-10