卖空交易与股票价格稳定性--来自中国融资融券市场的自然实验  

Short Selling and Stock-Price Stability:A Natural Experiment from the Margin Trading Market of China

作　　者：李志生[1] 杜爽[1] 林秉旋[2] 

机构地区：[1]中南财经政法大学金融学院,湖北武汉430073 [2]罗德岛大学商学院,Kingston02881

出　　处：《金融研究》2015年第6期173-188,共16页Journal of Financial Research

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)资助

摘　　要：基于2009年4月-2013年12月我国殷票市场的数据,本文研究了融资融券标的股票和非标的股票、以及股票被列入和剔出融资融券标的前后的价格波动特征。结果表明,融资融券交易机制的推出有效提高了我国股票价格的稳定性,融资融券标的股票的价格波动率和振幅均出现了显著性下降。我们还发现,融资融券交易显著降低了股票价格的跳跃风险,有利于防止股票价格的暴涨暴跌和过度投机。此外,融资融券交易在抑制股票价格异质性波动上也起到了实质性作用,从而有助于增加上市公司信息透明度和市场信息效率。Using the margin trading data between April 2009 and December 2013, this paper compares the volatility characteristics for stocks that are eligible for margin trading and those that are not eligible, and the volatility characteristics before and after the approval （or denial） of margin trading for each security. We find that the introduction of margin trading promotes the market price stability. First, the underlying stocks of margin trading experienced a significant decrease in price volatility and swing. Second, margin trading greatly decreases the jump risk and idiosyncratic risk, which indicates that margin trading has a significant effect on restraining surge of stock prices, and improving information transparency.

关 键 词：卖空机制 价格稳定性 融资融券 异质性风险 跳跃风险 

分 类 号：F832.51[经济管理—金融学]