融券对我国股票价格的影响  

The Effect of Short Selling on Chinese Stock Prices

作　　者：张永力[1] 裘骏峰[1] 

机构地区：[1]中央财经大学中国与经济管理研究院

出　　处：《投资研究》2012年第9期42-56,共15页Review of Investment Studies

基　　金：教育部科技创新工程重大项目培育资金项目(708015)的资助

摘　　要：本文通过测量我国股票价格在实行融券前后的显著变化,并比较回报率横截面分布特征的变化来检验两种理论假说:1)融券使股价降低;2)投资者意见分歧加大会导致股价更大程度下跌。研究结果支持这些假说,并表明我国股市投资者预期到了融券对股价的负面影响,股价在融券宣告日前后就开始向下调整。对融券余量数据的分析显示,融券活动在起初并不活跃,导致股价在此期间下跌的主要原因是市场对融券预期的负面信息效应。We measure the change of Chinese stock prices before and after the constraints on short selling were lifted in the Chi- nese stock market, and compare the changes of some characteristics of the cross-sectional distribution of stock returns before and after the event, in order to test the following two hypotheses： 1） removing short-sales constraints will lower stock price, and 2） larger differences of opinion of the investors will lead to sharper decline of stock prices. We show that Chinese stock in- vestors had anticipated the negative effect of short selling on stock prices, and had adjusted stock prices downward before and around the day when plans on permitting short selling were announced. Since the data on short interest reveal that short selling was not active at the beginning, we conclude that the negative price reactions around the day that short-sales constraints were lifted were mainly due to the change in market expectations and were therefore an informational effect.

关 键 词：融券 股票卖空限制 投资者意见分歧 

分 类 号：F224[经济管理—国民经济] F832.51