卖空机制对股票定价效率的影响——基于市场微观结构的视角

发布时间：2018-03-29 19:13

本文选题：卖空机制　切入点：股票定价效率　出处：《北京工商大学学报(社会科学版)》2017年03期

【摘要】：融资融券业务的推出,为我国证券市场提供了新的交易制度,也为研究卖空机制提供了比较完美的自然实验。两融业务发展的7年间,融资融券标的主要进行过四次调整。文章以两融标的历次调整时点为基准,整理了上交所114只股票在调整时点前后500个交易日的数据,采用了双重差分法对卖空机制和定价效率的关系进行研究,并进一步探讨了卖空机制对定价效率的影响路径。研究结果表明,融资融券的推出显著改善了标的股票的定价效率;卖空机制主要通过影响股票流动性、深度以及投资者的异质信念而间接作用于股票的定价效率。此外,结合国内两融业务的发展现状,为更好发挥卖空机制的正向作用,提出了推广转融通机制,合理推进融资融券业务市场发展的意见和建议。
[Abstract]:The introduction of margin trading provides a new trading system for China's securities market, as well as a perfect natural experiment for studying the mechanism of short selling. The margin and margin has mainly been adjusted four times. Based on the time points of each adjustment, the paper collates the data of 500 trading days before and after the adjustment of 114 stocks on the Shanghai Stock Exchange. The relationship between short selling mechanism and pricing efficiency is studied by using double difference method, and the influence of short selling mechanism on pricing efficiency is further discussed. The results show that the introduction of short selling mechanism can significantly improve the pricing efficiency of underlying stocks. The short selling mechanism indirectly affects the pricing efficiency of stocks mainly by influencing the stock liquidity, depth and investors' heterogeneous beliefs. In addition, combining with the development of the domestic two financial services, the mechanism can play a better positive role in short selling. Some suggestions and suggestions are put forward to promote the market development of margin trading.
【作者单位】：上海理工大学管理学院;
【分类号】：F832.51

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