摘要
基于投资者情绪,本文利用2013年至2015年市场交易数据,分市场层面和公司层面来探讨融资融券与股票收益的关系。结果表明,融资交易市场上存在较为明显的羊群行为。在融资交易额快速增长的阶段,投资者遵循着小公司正反馈交易行为和大公司负反馈交易行为。融资融券交易额有助于股票未来收益的预测,且这种预测能力并没有因为流动性的下降而降低。
Based on the sentiment of investors,the use ot the 2013 to 2015 data,the market level and the company level to explore the relationship between the margin trading and stork returns.The results show that there is obvious herding behavior in the financial market.In the stage of rapid growth of financing transactions,investors seem to follow the positive feedback trading behavior of small firms and large firms' negative feedback trading behavior.The margin trading information is helpful to the forecast of stock returns,and this kind of forecasting ability is not reduced because of the decrease of liquidity.
出处
《财会通讯（下）》
北大核心
2016年第10期102-106,129,共5页
Communication of Finance and Accounting
基金
国家社会科学基金项目(项目编号:14BJY181)的阶段性成果
