卖空机制提高了中国股票市场的定价效率吗?——基于自然实验的证据  

Does Short Selling Improve Price Efficiency in the Chinese Stock Market? Evidence from Natural Experiments

作　　者：李志生[1] 陈晨[1] 林秉旋[2] 

机构地区：[1]中南财经政法大学金融学院,430073 [2]美国罗德岛大学商学院

出　　处：《经济研究》2015年第4期165-177,共13页Economic Research Journal

基　　金：国家自然科学基金(编号:71271214);教育部"新世纪优秀人才支持计划"(编号:NCET-13-1043);中央基本科研业务费(编号:31541410502)的资助

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月至2013年12月中国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,以及股票加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中国股票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。本文还发现,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,融资融券交易通过提高股票流动性、降低信息不对称程度和增加持股宽度,从而提高定价效率。The introduction of margin trading mechanism in the Chinese stock market provides a natural experimental environment for studying how short selling affects price efficiency. Using the margin trading data between April 2009 and December 2013, this paper compares the price efficiency for stocks that are eligible for margin trading and those that are not eligible, and the price efficiency before and after an approval（ or denial） of margin trading for individual stocks. Our empirical evidence suggests that the introduction of margin trading mechanism significantly improves stock price efficiency. We also find there is a positive correlation between short-selling flow and price efficiency. A further study shows that margin trading can function as a mechanism for mitigating information asymmetry, increasing market liquidity and stock ownership breadth.

关 键 词：卖空 定价效率 融资融券 融券卖空量 

分 类 号：F832.51[经济管理—金融学] F224