融资融券交易对ETF基金定价效率的影响——基于信息反应视角的研究

›› 2019, Vol. 31 ›› Issue (9): 18-27.

融资融券交易对ETF基金定价效率的影响——基于信息反应视角的研究

王良, 秦隆皓, 惠朦朦

西安理工大学经济与管理学院, 西安 710048

收稿日期:2017-01-23 出版日期:2019-09-28 发布日期:2019-09-29
作者简介:王良,西安理工大学经济与管理学院副教授,硕士生导师,西安交通大学应用经济学博士后;秦隆皓,西安理工大学经济与管理学院硕士研究生;惠朦朦,西安理工大学经济与管理学院硕士研究生。
基金资助:
国家自然科学基金项目（71171155）；教育部人文社会科学研究规划基金（19YJA630080）；西安市社会科学规划基金重大项目（17J92）；陕西省教育厅专项科研计划（18JK0535）。

A Study of the Influence of Margin Trading on Underlying ETF Fund's Pricing Efficiency-Based on the Perspective of Information Response

Wang Liang, Qin Longhao, Hui Mengmeng

School of Economics and Management, Xi'an University of Technology, Xi'an 710048

Received:2017-01-23 Online:2019-09-28 Published:2019-09-29

摘要/Abstract

摘要：

从信息反应程度、信息反应速度、信息反应滞后性三个方面来对ETF基金的定价效率进行测度。鉴于双重差分模型能较好地消除处理组和对照组之间的系统性差异，据此构建融资融券交易对标的ETF基金定价效率影响的双重差分模型并进行了实证研究。研究发现：①融资融券可降低ETF基金价格对于好、坏消息反应速度的非对称性；同时可降低高换手率ETF基金价格的反应滞后性。②对于价格水平较高的ETF基金，融资融券对于ETF基金价格“共涨”效应的促进作用较为显著，同时抑制了信息反应速度的提升、降低信息反应滞后性。③对于规模较大的ETF基金，融资融券的推出在市场下行时降低了其信息反应程度，同时使得规模较大ETF基金的信息反应滞后性显著降低。④对于折价率较低的ETF基金，融资融券机制的引入在市场上行时使得价格反应程度减小，在市场下行时使得信息反应速度的非对称性小幅上升。对于折价率较低的ETF基金，融资融券机制的引入降低了其信息反应滞后程度。

关键词: 融资融券, ETF基金, 定价效率, 双重差分模型

Abstract:

In this paper we measure the pricing efficiency of ETF funds margin trading three aspects:the degree, the rate and the lag of information reaction, and then we construct a double difference model on the influence of the pricing efficiency of underlying ETF fund and conduct an empirical study. The findings are as follows. Firstly, margin trading can reduce the asymmetry of the speed at which ETF fund prices react to good news and bad ones, and for ETF of the high turnover, it reduces the degree of response lag to information. Secondly, for ETF fund of the higher price level, it is more significant that margin trading promotes the "co-up" effect of the ETF fund prices. Simultaneously, it can inhibit the reaction speed of information and reduce information response lag. Thirdly, for the ETF funds of larger size, margin trading reduces the information reaction degree during the downward time of market. Meanwhile, the information response lag of the ETF fund is significantly reduced. Finally, for the ETF of lower discount rate, margin trading mechanism reduces the information reaction degree of prices in a bull market, and increases the asymmetric of information reaction speed in a bear market. For ETF of the lower discount rate, the introduction of margin trading mechanism reduces the lag of response to information.

Key words: margin trading, ETF fund, pricing efficiency, difference-in-differences model

王良, 秦隆皓, 惠朦朦. 融资融券交易对ETF基金定价效率的影响——基于信息反应视角的研究[J]. , 2019, 31(9): 18-27.

Wang Liang, Qin Longhao, Hui Mengmeng. A Study of the Influence of Margin Trading on Underlying ETF Fund's Pricing Efficiency-Based on the Perspective of Information Response[J]. , 2019, 31(9): 18-27.

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