卖空失衡、异质信念与股票定价效率  

Unbalanced Margin Trading,Heterogeneous Beliefs and Stocks Pricing Efficiency

作　　者：施剑威 Shi Jianwei(Business School of Nanjing Normal University,Jiangsu Nanjing 210023)

机构地区：[1]南京师范大学商学院,江苏南京210023

出　　处：《金融发展研究》2018年第7期76-82,共7页Journal Of Financial Development Research

基　　金：国家社科基金项目"应对军事冲突的中国外汇储备风险防控研究"(13BJY171);江苏省创新经济研究基地

摘　　要：本文以融资融券标的股票第五次扩容后的股票为研究对象,分析了卖空失衡与投资者异质信念现象对标的股票定价效率的影响。研究结果表明:虽然我国已经实施融资融券制度,放开了个股卖空交易,但是由于融资交易与融券交易之间的巨大差额,产生了卖空失衡现象,形成了隐形的卖空约束,降低了股票定价效率;而且投资者异质信念现象并未通过融资融券制度得到有效缓解,异质信念现象依然存在并损害了股票的定价效率。上述研究反映了我国融资融券交易的现状,并为我国进一步完善相应配套制度,提高证券市场效率提供了政策建议。In this paper, the fifth enlargement of the stocks subject to the margin financing and securities market is taken as the research object, and the influence of the short sales and investors heterogeneity belief on the underlying stock pricing efficiency is analyzed. The results show that although China has implemented the margin financing and se- curities lending system and opened short selling of individual stocks, due to the huge gap between financing transactions and margin trading, the phenomenon of short selling and selling is unbalanced and the invisible short selling con- straint is formed, thus reduce the pricing efficiency of the stock; furthermore, the phenomenon of the heterogeneous beliefs of investors has not been effectively alleviated by the margin trading system, the phenomenon of heterogeneous beliefs still exists and the stock pricing efficiency is undermined. The above research reflects the status of margin trad- ing in China and provides policy suggestions for further improving the corresponding supporting system and improving the efficiency of the stock market in China.

关 键 词：卖空约束 异质信念 定价效率 非平衡面板模型 

分 类 号：F830.91[经济管理—金融学]