关键词: 融资融券,股价异常波动,特质收益率,深市A股

Abstract: The securities margin trading business has the function of enhancing market liquidity and maintaining market stability. Taking Shenzhen A-shares as an example, this paper constructs the panel data model and takes the idiosyncratic yield rate of corporate stock price as the measurement standard to recognize the abnormal share price fluctuations by comprehensively considerations from the two dimensions of time series and cross section and to measure the abnormal share price fluctuations from the two aspects of frequency and amplitude. The results show that when the individual stocks are included in the underlying shares in securities margin trading, the development of the securities margin trading business will intensify the abnormal fluctuations in the stock prices, including the effects of both increasing the frequency and extending the amplitude of the abnormal fluctuations in the share prices; but when the individual stocks are deleted from the underlying shares in securities margin trading, the relationship between the two is not clear. The market managers should push out matching policy measures while develop the securities margin trading business, integrate the market environment closely, make relatively stable entrance and exit of the market capital, and avoid excessive speculations in the market. When the investors are doing the securities margin trading, they should clearly understand the close position risks that may be brought about by the securities margin trading; as for the securities companies, they should perform their social responsibilities even more strictly.

Key words: securities margin trading; abnormal share price fluctuations; idiosyncratic yield rate; Shenzhen A-share market