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采用计算实验的方法,基于投资者情绪,构建了引入融资融券机制前后的市场模型,从弱式有效和半强式有效两个层面研究了融资融券交易对市场有效性的影响。投资者根据情绪决策;相邻的投资者情绪相互影响;引入融资融券交易后,随着投资者交易能力的增强,其情绪更新模型也发生变化。研究表明,引入融资融券交易后,市场从不满足弱式有效提升为弱式有效;尽管未能达到完全半强式有效,但价格对信息反应更加迅速,有效性得到显著提高。
Based on investor’s sentiment, this paper constructs the market model before and after the introduction of margin trading mechanism, and studies the influence of margin trading on the effectiveness of the market from weak effective and semi-strong effective. Investors make emotional decisions based on their emotions. Adjacent investors ’sentiments influence each other. After the introduction of margin trading, the model of emotional update changes as investors’ trading ability increases. The research shows that after the introduction of margin trading, the market can not effectively improve from weak to weak effectively. Although not fully effective, the price response to information is more rapid and the effectiveness is significantly improved.