卖空机制与资产定价效率-editorialexpress.pdfVIP

  卖空机制与资产定价效率：来自中国融资融券市场的自然实验 李志生 陈晨 （中南财经政法大学金融学院） Bingxuan Lin (School of Business Administration, University of Rhode Island) 摘要：我国沪深两市于 2010 年 3 月 31 日推出的融资融券业务为研究卖空机 制对资产定价效率的影响提供了难得的自然实验环境。本文利用 2009 年 4 月 -2013 年 7 月我国 A 股市场的数据，通过比较融资融券标的股票和非融资融券标 的股票、以及股票被列入和剔出融资融券标的前后的定价效率，发现融资融券交 易的推出有效改善了市场的价格发现机制，融资融券标的股票的定价效率得到了 显著提高。我们还发现，融券卖空量与定价效率之间存在正相关关系，融券卖空 量越大，股票的定价效率越高。进一步研究显示，融资融券交易在一定程度上减 小了股票价格的波动率、买卖价差以及换手率，表明融资融券交易有利于资产价 格的稳定和流动性的提高，从而提高市场质量。 关键词：卖空机制；定价效率；融资融券；融券卖空量 Short Selling and Price Efficiency: A Natural Experiment from the Margin Trading Market of China Abstract: The introduction of the margin trading mechanism in the Chinese stock market provides a valuable natural experimental environment for studying how short selling affects price efficiency. Using the market-level margin trading data between April 2009 and July 2013, this paper compares the price efficiency for stocks that are eligible for margin trading and those that are not eligible for margin trading, and the price efficiency before and after the approval （or denial ） of margin trading for each security. We find that the introduction of margin trading promotes the market-level price efficiency. The underlying stocks of margin trading experienced a significant improvement in price efficiency. Further study shows that there is a positive correlation between short-selling flow and price efficiency. Finally ，we show that the introduction of margin trading greatly decreases price volatility，bid-ask spread，and turnover，which implies that the mechanism of short selling can help stabilize asset prices，provide additional liquidity and improve market qualit