本論文的研究對象為中國內地證券市場于2010 年3 月31 日開放的融資融券業務，試分析該創新業務是否對中國股市的價格發現功能帶來了有效的改善。筆者將所有符合融資融券條件的股票，以其近日的成交量進行篩選以構成新的證券投資組合，并計算它們在未來一段時間內的投資回報率。該研究的結果顯示，不同於美國等西方市場，中國融資（券）多的股票並未在未來的一定時間段里顯示出比融資（券）少的股票有更強（弱）的盈利能力。從而表明在內地股市中，無論是融資者還是融券者，都無法有效地預測未來一段時間內股市的走向。另外，通過比較融資融券業務占每日成交量的比重，亦可發現內地的融資業務的發展遠超融券業務的發展，使優化“單邊市場“的進程受到影響。根據以上兩個發現，筆者認為到2012 年為止，融資融券業務尚未有效的改善中國內地股市的價格法相功能，有悖于股市監管機構開展此業務時的最初目的。 / This paper studies the margin trading, including both margin purchase and short sale in mainland China markets, which was not opened until Mar 31st, 2010. I attempt to determine how the new business will influence the mainland markets by examining whether the margin traders are informed or not about stock prices in their holding periods. By using data from Mar 31st, 2010 to Dec 31st, 2012, I find that the daily percentage of margin purchasing in trading volume is usually 600% more than that of short selling, which may aggravate the asymmetric level of mainland stock markets. In addition, by measuring the return of specially sorted trading portfolios based on stock margin trading activities in previous trading days, I find that both heavily margin purchased (shorted) stocks do not perform better (worse) than lightly margin purchased (shorted) ones in the following trading days, which is different from the findings in developed markets, where heavily shorted stocks underperform the lightly shorted ones, and indicates that both margin purchasers and short sellers in mainland markets are not well informed. My two findings imply that margin trading in the mainland may not efficiently improve the price efficiency mechanism in mainland markets by incorporating private information into markets, which is one of the top purposes of regulators when starting the business. / Detailed summary in vernacular field only. / Wu, Xueyi. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2013. / Includes bibliographical references (leaves 56-57). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts aslo in Chinese. / Abstract --- p.i / 摘要 --- p.ii / Acknowledgment --- p.iii / Table of Content --- p.iv / Chapter 1. --- Introduction --- p.1 / Chapter 2. --- Literature Review --- p.3 / Chapter 2.1 --- Margin Trading, Informed Investors and Price Discovery --- p.3 / Chapter 2.2 --- Unbalanced development of margin purchase and short sale --- p.5 / Chapter 2.3 --- Other studies related to margin trading in China --- p.6 / Chapter 3. --- Chinese Market and Its Margin Trading Regulation --- p.8 / Chapter 3.1 --- Market instability and the purposes of introducing margin trading --- p.8 / Chapter 3.2 --- Undeveloped derivative markets and dominance of individual investors --- p.10 / Chapter 3.3 --- Implementation rules --- p.11 / Chapter 3.4 --- Simultaneous opening of margin purchase and short sale --- p.13 / Chapter 4. --- Empirical Method and Results --- p.15 / Chapter 4.1 --- Data and Methodology --- p.15 / Chapter 4.2 --- Margin Trading Summary --- p.16 / Chapter 4.3 --- Duration --- p.18 / Chapter 4.4 --- Correlation --- p.20 / Chapter 4.4.1 --- Contemporaneous Correlation --- p.20 / Chapter 4.4.2 --- Autocorrelation and cross-autocorrelation --- p.21 / Chapter 4.5 --- Cross-section of Margin Purchase and Short Sale and Their Future Returns --- p.24 / Chapter 4.5.1 --- Margin Purchase Returns of Different Sections --- p.24 / Chapter 4.5.2 --- Short Sale Returns of Different Sections --- p.27 / Chapter 4.5.3 --- Robust Check by Choosing Different Holding Periods --- p.29 / Chapter 5. --- Conclusion --- p.31 / Chapter Tables --- p.33 / Chapter Table 1 --- Market capitalization and turnover of mainland stock market --- p.33 / Chapter Table 2 --- Distribution of accounts based on market value --- p.34 / Chapter Table 3 --- Summary statistics for margin trading in mainland markets --- p.35 / Chapter Table 4 --- Industry breakdown of margin purchase and short sale --- p.37 / Chapter Table 5 --- Duration and turnover rate of margin trading --- p.42 / Chapter Table 6 --- Contemporaneous correlation between margin trading and stock performance --- p.43 / Chapter Table 7 --- Autocorrelation and cross-autocorrelation between margin purchase and stock return --- p.45 / Chapter Table 8 --- Autocorrelation and cross-autocorrelation between short sale and stock return --- p.47 / Chapter Table 9 --- Margin purchase returns by using special sorted portfolios --- p.49 / Chapter Table 10 --- Short sale returns by using special sorted portfolios --- p.51 / Chapter Table 11 --- Margin purchase returns by choosing different holding periods --- p.53 / Chapter Table 12 --- Short sale returns by choosing different holding periods --- p.54 / Chapter Table 13 --- Number of securities firms approved for margin trading --- p.55 / References --- p.56
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_328084 |
| Date | January 2013 |
| Contributors | Wu, Xueyi., Chinese University of Hong Kong Graduate School. Division of Economics. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English, Chinese |
| Detected Language | English |
| Type | Text, bibliography |
| Format | electronic resource, electronic resource, remote, 1 online resource (iv, 57 leaves) |
| Coverage | China, China |
| Rights | Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/) |
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