融资融券对日历效应影响来自中国股票市场实证数据,这是一篇与融资融券论文范文相关的免费优秀学术论文范文资料,为你的论文写作提供参考。
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摘 要：过去的研究表明,中国股市的运行效率受到政府监管和干预并存在非对称交易的现象.2010年3月31日,中国股票市场实行了融资融券交易试点,允许投资者进行双边交易.本文显示了中国股票市场的融资融券交易如何影响2004～2016年间中国股市的日历效应.本文通过修正的AR-GARCH模型进行检验,发现收益和波动率在融资融券推出前后期间都存在显著的日历效应.在融资融券交易实施前,中国证券市场的收益率出现了显著的“正星期一”和“正星期三”效应.然而,在融资融券推出后,中国证券市场显示出显著的“负星期四”效应和“正星期五”效应.数据检验结果还表明,信息传递和市场效率在融资融券交易推出后有一定程度的提高.文章在最后针对此现象提出一些指导性决策原则.
Abstract：The efficiency of the Chinese stock market is limited by government regulation and intervention as well as the presence of asymmetries identified in previous studies. On March 31, 2010, the Chinese equity market implemented a margin trading mechanism that allowed investors to trade bilaterally. This paper shows how margin trading in the Chinese equity market affected the calendar effect for the period 2004 to 2016. Using the Modified AR-GARCH model, this paper shows that the calendar effect was statistically significant, for both return and volatility, both before and after the introduction of margin trading. The Chinese securities market witnessed a form of high Monday and high Wednesday returns before the margin trading mechanism. With margin trading, however, a significant negative Thursday effect and a positive Friday effect were observed. Other evidence indicates that information transmission and market efficiency improved to some extent over the course of the study period. The guidelines of decision marking are provided at the end of this paper.
關键词：日历效应；融资融券；修正AR-GARCH模型；中国证券市场；有效市场假说
Key words：Calendar effect； margin trading； modified AR-GARCH model； Chinese security market；
efficient market hypothesis
文章编号：1004-7026（2018）03-0142-07 中国图书分类号：F832.51；F224 文献标志码：A
INTRODUCTION
The Efficient Market Hypothesis （EMH） argues that prices on any stock market fully reflect all available information at any particular time. Thus, no investor can obtain abnormal profits by using market related information. But the existence of asymmetries in stock returns, known as calendar effects （weekend effect and day of the week effect）, has been extensively investigated in an array of academic studies examining the validity of the Efficient Market Hypothesis （Cross, 1973； French, 1980； Lakonishok and Levi, 1982； Jaffe and Westerfield, 1985；）.
The first scholar to research these “anomalies” in the stock market was Fields （1931）, but it was Cross （1973） who called greater attention to these “anomalies.” After that, a variety of markets were investigated： the developed equity market, the emerging equity market, the foreign exchange market, futures markets and debt markets （Glassman, 1987； Corhy, 1995； Berument, 2007）. Most importantly, Jaffe and Westerfield （1985a） pointed out that the existence of predictable market inefficiency could provide investors with opportunities to generate abnormal returns.
结论：适合不知如何写融资融券方面的相关专业大学硕士和本科毕业论文以及关于券商融资10万一天利息论文开题报告范文和相关职称论文写作参考文献资料下载。
融资融券对中国股市波动性影响实证分析
摘 要：2010年3月31日我国正式启动融资融券业务，经过五年的时间，融资融券业务取得了巨大的发展，关于融资融券对股票市场波动性的研究也一直是业。
融资融券交易对标的股票收益影响
融资融券交易对我国股票市场具有很重要的影响。目前我国两市双融规模及对A股流通审值的占比虽然在2015年股灾爆发后有所下调，但总体处于较高位置。本。
融资融券对我国股市流动性影响
本文首先介绍了融资融券定义及特点，其次理论分析了融资融券交易对股市流动性的影响机制，分别从融资交易及融券交易两个角度对股市流动性的作用机制进行分。
融资融券对证券市场运行质量影响
摘要：本文探求在证券市场稳定运行、大幅上升、大幅下降的不同情况下，融资融券对于市场流动性和波动性的不同影响。分别提出了调整和改进的政策建议。关。