融资融券制度与市场定价效率——基于卖空摩擦的视角

发布时间：2018-02-15 23:20

本文关键词： 融资融券卖空摩擦股价同步性定价效率　出处：《统计研究》2017年01期 　论文类型：期刊论文

【摘要】：我国融资融券制度不同于国外成熟市场的一个重要特征是存在较大的卖空摩擦,但这一卖空摩擦对市场定价效率的影响及其作用机制尚未被研究揭示。本文运用双重差分固定效应模型、处理效应模型和倾向性匹配双重差分模型,研究了融资融券制度中的卖空摩擦对市场定价效率的影响及其内在机制。实证结果表明,融资融券制度中的卖空摩擦抑制了市场参与者对公司特质信息的充分挖掘,促使其过度利用市场或行业信息进行交易,从而延缓了公司特质信息融入股价,加速了市场或行业信息融入股价,最终加剧了股价同涨同跌现象,不利于市场定价效率的提高。本文研究结论为监管部门合理扩大融资融券标的范围、降低交易成本和交易门槛,营造高效的市场环境提供了依据和思路。
[Abstract]:One of the important characteristics of China's margin financing and short selling system differs from that of foreign mature markets is the existence of greater friction between short selling and short selling. However, the effect of this short-selling friction on the market pricing efficiency and its mechanism have not been studied. In this paper, the double difference fixed effect model is used to deal with the effect model and the tendentiousness matching double difference model. This paper studies the effect of short selling friction on market pricing efficiency and its internal mechanism. The empirical results show that short selling friction in short selling system inhibits market participants from fully mining the information of company characteristics. They overuse market or industry information for trading, thus delaying the incorporation of company trait information into stock prices, accelerating the integration of market or industry information into stock prices, and eventually exacerbating the rise and fall of share prices. The conclusion of this paper provides a basis and train of thought for the regulatory authorities to expand the scope of margin margin reasonably, reduce transaction costs and barriers, and create an efficient market environment.
【作者单位】：上海财经大学;
【分类号】：F832.51

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