卖空交易与异质信念:基于中国股票市场的证据

发布时间：2018-01-13 01:23

本文关键词：卖空交易与异质信念:基于中国股票市场的证据　出处：《系统工程理论与实践》2017年08期 　论文类型：期刊论文

【摘要】：Miller认为开放卖空交易将引入异质信念,悲观投资者的预期通过卖空交易释放到市场中,从而缓解股票定价过高的现象.本文利用我国股票市场5次主要融资融券名单调整的数据对这一假说进行检验,发现市场中异质信念在卖空交易开放后显著增强,异质信念的引入对股票定价过高产生一定的缓解作用.此外,由于我国同时引入了融资交易和卖空交易两种机制,本文对两种交易机制进行检验,排除融资交易的影响,最终确认卖空才是引入异质信念和缓解股票定价过高的主要原因.本文研究结果表明卖空交易对提高中国股票市场质量具有促进作用.
[Abstract]:Miller believes that opening short selling will introduce heterogeneous beliefs, and pessimistic investors' expectations will be released into the market through short selling. In order to alleviate the phenomenon of overpricing, this paper tests this hypothesis by using the data of five major short margin list adjustments in China's stock market. It is found that the heterogeneity belief in the market increases significantly after the opening of short selling, and the introduction of heterogeneity belief has a certain mitigating effect on the overpricing of stocks. Because of the introduction of both financing and short selling mechanisms in China, this paper examines the two trading mechanisms to exclude the impact of financing transactions. The final confirmation of short selling is the main reason for introducing heterogeneous beliefs and alleviating the overpricing of stocks. The results of this paper show that short selling can promote the quality of Chinese stock market.
【作者单位】：天津大学管理与经济学部;中国社会计算研究中心;
【基金】：国家自然科学基金(71532009,71320107003,71401121) 天津市教委社会科学重大项目(2016JWZD08)~~
【分类号】：F832.51
【正文快照】： 1引言卖空交易如何影响股票价格受到研究者和政策制定者广泛关注.Miller?提出卖空交易通过影响投资者异质信念进而影响股票价格的假说.卖空限制使得悲观投资者无法将他们的看空预期通过交易释放到市场中,结果导致实际价格中充斥了过多乐观投资者的预期.对市场过于乐观的判断

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