全面注册制下融资融券对沪深主板股价波动的影响研究

【作者】 刘静；

【导师】 熊德斌；

【作者基本信息】 贵州大学 ， 金融， 2025， 硕士

【摘要】 股市是经济运行的重要风向标,促进股市平稳运行对当前提振我国社会预期、推动经济回升向好至关重要。全面注册制下融资融券对沪深主板股价波动的稳定效果及两融制度调整带来的差异化影响已成为政策制定和学界关注的重点。本文基于有效市场和行为金融学等理论,从制度有效性和两融交易的结构化视角出发,采用2020年1月1日至2024年12月31日沪深主板两融标的周度股票交易数据,以全面注册制下融资融券制度调整中重要内容的改变为关键时间节点划分样本区间,运用双向固定效应模型检验了不同区间融资融券对沪深主板股价波动的差异影响,并探究了两融失衡和投资者情绪在其中的机制作用。研究发现:(1)从整体上看,全面注册制改革中对融券卖出资金使用范围、申报机制市场化等制度内容的调整削弱了融资融券对沪深主板股价波动的抑制作用,后续对转融券等制度的收紧则在一定程度上缓解了这一现象,促进了融资融券对股价波动的稳定作用。(2)融券券源不足仍是制约我国两融业务发展和功能发挥的重要因素,制度调整中对转融通证券出借券源的扩大可以有效提升融资融券对沪深主板新股股价波动的抑制作用。(3)全面注册制实施后,融资融券交易规模的增加继续扩大了两融失衡,使得融资融券对沪深主板股价波动的抑制作用被削弱,但扩大速度在转融券政策收紧前有所减缓,从而在一定程度上降低了两融失衡对融资融券稳定股市的破坏作用。(4)融资融券对沪深主板股价波动的影响作用受到了投资者情绪的干扰,导致两融制度调整效果受限。研究结论对增强股票市场稳定性和保护投资者利益都具有重要的理论和实践意义。基于上述研究结论,本文提出以下几点建议:一是完善股票市场制度,加强股票市场监管。二是要稳步扩大两融业务规模,均衡两融业务发展。三是要加强投资者教育,合理引导交易行为。更多还原

【Abstract】 The stock market is a vital indicator of economic performance,and to facilitate its smooth operation is essential for enhancing social expectations and fostering economic recovery in China.Under the comprehensive registration system,the stabilizing effect of the Securities Margin Trading(SMT)on stock price fluctuations in the main boards of Shanghai and Shenzhen,as well as the differentiated impacts resulting from adjustments to the two financing systems have become focal points for both policy formulation and academic research.Based on the theories of Efficient Markets Hypothesis and Behavioral Finance,this article explores the impact of margin trading and short selling on the SMT of the Shanghai and Shenzhen main boards from the perspectives of institutional effectiveness and the structural characteristics of margin trading.It uses the weekly trading data of the stocks on the main boards of Shanghai and Shenzhen from January 2020 to December 2024,and divides the sample interval with the change of important policies as the time node,takes the changes of important policy contents in the adjustment of the SMT since the implementation of the registration system as the key time node to partition the sample interval.The bidirectional fixed-effect model is used to explore the differential impact of different stages of the SMT on the stock price fluctuation in the main board of Shanghai and Shenzhen,and to verify the mechanism of the imbalance between the two financing and investor sentiment.The research findings are as follows:First,on the whole,the adjustment of the scope of the use of margin selling funds and the marketization of the declaration mechanism in the reform of the comprehensive registration system weakened the role of the SMT in moderating price fluctuations of stocks listed on the Shanghai and Shenzhen main boards,and the subsequent tightening of margin selling and other systems effectively alleviated this phenomenon and further promoted the stabilizing effect of margin selling and borrowing on stock price volatility.Second,the deficiency of stock available for short selling is still a critical reason constraining the development of China’s SMT.In the process of system optimization,the expansion of the loan source of refinancing securities can effectively improve the inhibitory effect of the SMT on the volatility of new stock prices in the main boards of Shanghai and Shenzhen.Third,after the implementation of the comprehensive registration system,the continued expansion of the SMT has exacerbated the imbalance between two types of financing.This development has diminished the inhibitory effect of margin trading on stock price fluctuations in the main boards of Shanghai and Shenzhen.However,the expansion speed slowed down before the tightening of the margin trading policy,thus reducing the destructive effect of the imbalance on stock market stability to a certain extent.Last but not the least,the adjustment effect of policies on stock price fluctuations was interfered by investor sentiment,resulting in limited effect of institutional optimization.The results of this research carry substantial theoretical and practical implications for improving the stability of the stock market and protecting the interests of investors.Based on the conclusions drawn from the aforementioned research,this paper presents the following recommendations:To begin with,it is essential to improve the stock market system and reinforce its regulatory oversight.Second,it is necessary to expand the scale of the SMT and balance the development.Third,it is important to strengthen investor education and reasonably guide trading behavior.更多还原