摘要
摘要
2010年 3月 31日融资融券正式启动，该制度旨在通过引入卖空机制来降低
股价崩盘风险，从而达到促进市场平稳运行的目的。由于融资融券交易中具有杠
杆效应的特征以及我国目前尚未发展完善的股票市场，监管层在整个融资融券发
展过程中给予了高度关注。首先该制度的推出采用了分步试点、渐进式扩容的模
式；其次，标的证券的选取标准、标的数量的增加以及担保范围都十分严格。融
资融券的杠杆效应，会引发市场过度的投机行为，那么是否会导致股价崩盘呢？
融资融券制度自试点以后已经经历了 6次扩容，目前标的股已经达到了 1600只。
在这个过程中，融资融券标的股票的交易量和受关注程度也在发生着变化，那么
融资融券制度的实施、交易和程度与股价崩盘风险之间有何种联系呢？
为此，本文系统地梳理了国内外相关文献，围绕关键变量——股价崩盘风险、
融资融券制度以及融资融券交易三个方面进行文献归纳整理。在此基础上，选取
2008-2018年中国沪深 A股上市公司相关财务数据为样本，利用双重差分模型、
倾向得分匹配模型和多元回归模型来研究融资融券和股价崩盘风险之间的关联。
在实证分析过程中，具体针对 2011、2013、2014和 2016年发生的四次渐进式扩
容，分析了融资融券交易量和程度的变化对股价崩盘风险的影响。
实证发现：融资融券制度的实施一定程度上加剧了股价崩盘风险。这样的结
果主要是由于融资融券交易规模的非对称性引起的。即融券交易能够抑制股价崩
盘风险，融资交易则大大加剧了该风险，但融资交易的规模又远远超过了融券，
从而导致其所形成的整体效果还是恶化了股价崩盘风险。并且融资融券渐进式扩
容的特征进一步加剧融资融券程度由低到高的结果，不同的融资融券结构与程度
对股票市场波动的冲击具有不同的特征。实证中，对融资融券程度进行分组后实
证发现，融资程度越高，对股价崩盘风险的抑制作用越小；融券程度越高，对股
价崩盘风险的抑制作用越明显。综上所述，融资融券制度本身对于中国证券市场
改革与发展是具有重要的促进作用的，但是融资融券程度和股价崩盘风险之间又
存在着正相关的关系。为此，如何平衡和动态调节融资与融券比重相对变化指标
可能是监管机构需要参考的一个指标。
关键词：融资融券；渐进式扩容；崩盘风险；双重差分模型
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Abstract
The Impact of Gradual Expansion of Margin
Trading on Stock Price Crash Risk
Liu Guohui
Master of Finance
Directed by Dong Zhiwei
Abstract
On March 31, 2010, the pilot of margin trading was officially launched. The
system aims to reduce the risk of collapse by introducing short selling mechanism, so
as to achieve the smooth operation of the market. Due to the margin of the system
itself characteristics and has not been well-developed stock market in our country
currently, regulators in the whole development process of margin given high attention.
Firstly, the introduction of the system adopts the mode of step-by-step pilot and
gradual capacity expansion; Secondly, the selection criteria of underlying securities,
the increase of the quantity of underlying securities and the scope of guarantee are
very strict. The leverage effect of margin trading will lead to excessive speculation in
the market, so will it cause the stock price to collapse? The margin trading system has
experienced six expansion since its launch, and the number of target shares has
reached 1600. In this process, the trading volume and attention of the underlying
securities of margin trading are also altering. So what is the relationship between the
implementation, transaction and extent of the margin financing system and the risk of
stock price crash?
Consequently, this paper systematically combs the relevant literature at home
and abroad, and summarizes the main variables - stock price collapse risk, margin
trading system and margin trading. On the basis, the relevant financial data of Chinese
Shanghai and Shenzhen A-share listed companies from 2008 to 2018 are seleceted as
samples, and use the double difference model, the propensity score matching model
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Abstract
and multi-variable regression model to investigate the relationship between margin
and stock price crash risk. In the process of empirical analysis, in 2011, 2013, 2014
and 2016 four gradual expansion, margin trading is analyzed and the degree of change
impact on stock price crash risk.
The discovery: the implementation of the margin system given rise to the stock
price crash risk. Concretely, securities lending transactions can restrain stock price
crash risk, financing transactions exacerbate the risk, but the scale of financing
transactions far exceeds securities lending, causing them to produce the overall effect
of deteriorating the stock price crash risk. Moreover, the characteristic of the gradual
expansion of margin trading further aggravates the result that the degree of margin
financing and securities lending varies from low to high. Different structures and
degrees of margin financing and securities lending have different characteristics on
the impact of stock market volatility. In the empirical study, after grouping the degree
of financing and securities lending, the study found that the higher the extent of
financing, the smaller the inhibition of stock price crash risk; The higher level of
margin trading, the more obvious the inhibition of stock price crash risk. From what
has been discussed above, margin system itself to China’s securities market reform
and development plays an important role in promoting, but the margin between the
degree and stock price crash risk and there exists a positive correlation relationship.
To this end, how to balance and dynamically adjust the relative change in the
proportion of financing and securities lending may be an indicator that regulators need
to refer to.
Key Words: Margin Trading; Progressive Capacity Expansion; Risk of Collapse;
Double Difference Model
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