CAJ | 학술논문

利用沪深A股数据研究融券卖空与周末效应间的关系，检验了Chen ＆ Signal（2003）的理论假说在A股市场的适用性。研究结果显示：样本研究期间存在显著的周末效应，周五的股票日收益率均值显著高于周一，不过股票日收益率最高均值出现在周三；股票日收益率和股票波动性与融券卖空率负相关，股票日交易量则与融券卖空率正相关，且均在统计上高度显著；混合回归模型回归结果显示基本支持Chen ＆ Signal（2003）的研究假说，分位数回归的结果则更加稳健。
이용호심A고수거연구융권매공여주말효응간적관계，검험료Chen ＆ Signal（2003）적이론가설재A고시장적괄용성。연구결과현시：양본연구기간존재현저적주말효응，주오적고표일수익솔균치현저고우주일，불과고표일수익솔최고균치출현재주삼；고표일수익솔화고표파동성여융권매공솔부상관，고표일교역량칙여융권매공솔정상관，차균재통계상고도현저；혼합회귀모형회귀결과현시기본지지Chen ＆ Signal（2003）적연구가설，분위수회귀적결과칙경가은건。
Chen ＆ Signal （2003） hypothesize that the behavior of speculative short selters close out their position on Friday and reopen their position on the following Monday, therefore, adding to the weekend effect. Short sale transactions data of Shanghai and Shenzhen A share markets are used to examine the relation between short selling and the weekend effect. We find that there is significant weekend effect during the sample period, but the highest mean stock return and short sale volume occurred in the middle of the week; we find that the positive correlation between stock trading volume and short selling, but negative correlation between stock return and short selling, stock volatility and short selling; and the empirical results based on pooled OLS support the Chen ＆ Signal （2003）hypothesis, moreover, the results based on quantile regression are more robust.