摘要
融资融券作为一种金融创新工具，对提升市场资源配置效率及优化证券交易质
量都具有十分积极的作用，也是一个完善的资本市场不可或缺的重要机制之一，其运
行效果一直是国内外学界讨论的热点。我国融资融券自 2010年 3月 31日正式推出，
至今已有 11年的运行时间。经过数次标的扩容，我国融资融券交易已形成一定规模。
同时经过 2015年股灾前后政策调整，融资融券目前是我国股票市场上对个股进行买
空卖空交易的唯一可行渠道。股票价格的波动必然会受到融资融券的影响。对融资融
券对资产价格波动的影响进行分析，能够揭示股票市场机制对股票价格的影响，为融
资融券进一步完善发展提供借鉴。同时融资融券一直是学界关注的重点，但是在其对
股票价格波动的影响方面，之前的学者并没有达成共识，需要进一步研究。
本文首先在总结国内外学者研究的基础上，从理论方面对融资融券对资产价格
波动的影响进行分析。进一步本文建立理论模型，通过分析对融资融券对市场均衡价
格的影响，梳理总结融资融券对股票价格影响的内在逻辑，总结融资融券能够弥补投
资者资金短缺，为投资者实现其投资组合提供便利，提高市场信息的传递速度，促进
股价对个股信息的吸收消化，进一步提高股票定价效率，降低股价偏离其内在价值的
事件，从而降低股价波动。本文建立倾向得分匹配方法和多时点双重差分理论模型，
利用 2006-2019年的 A股数据进行实证分析，发现融资融券可以降低个股的特质波
动率和股票定价效率。综合来说融资融券具有补全市场交易机制、促进市场信息传递，
提高市场定价效率、降低个股特质波动等显著作用，对于提升市场长期稳定性具有重
要意义。但同时，本文在融资融券对个股短期波动、对投资者的差异性预期来源以及
融资融券在不同股票市场表现是否不同等方面研究有仍所不足，需今后进一步研究。
关键词：融资融券；股票特质波动；股票定价效率

Abstract
As a financial innovation tool, the securities margin trading mechanism plays a positive
role in improving the efficiency of market resource allocation and optimizing the quality of
securities transactions. It is also one of the indispensable and important mechanisms for a
perfect capital market and has become a hot topic of discussion in foreign academic circles
for decades. The securities margin trading on Chinese securities market was officially
launched on March 31, 2010, and has been in operation for 12years.After several expansions
of targets, the securities margin trading market of China have formed a certain scale. At the
same time, after the policy adjustment around the stock market crash in 2015, securities
margin trading is currently the only feasible channel for short-selling individual stocks in
Chinese stock market. The fluctuation of stock price will inevitably be affected by the
securities margin trading. The analysis of the impact of the securities margin trading on the
fluctuation of asset prices can reveal the impact of the stock market mechanism on the stock
price, and provide a reference for the further improvement and development of the securities
margin trading. What’s more, the securities margin trading has always been the focus of
academic attention, but in terms of its impact on stock price fluctuations, previous scholars
have not reached a consensus, and further research is needed.
Firstly, on the basis of summarizing the research of domestic and foreign scholars, this
paper expounds the research background, purpose and significance of the topic selected.
Afterwards, it analyzes the influence of the securities margin trading mechanism on the
fluctuation of asset prices from the theoretical aspect, and based on this, it clarifies the
influence mechanism of the securities margin trading on the individual stock price. Further,
this paper establishes a mathematical theoretical model, analyzes the influence of the
securities margin trading mechanism on the market equilibrium price, and summarizes the
internal logic of this impact, laying a foundation for subsequent empirical analysis.After that,
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