融资交易与融券交易对中国股票定价效率的影响一致吗?  

Is the Effects of Short Selling and Margin Trading on China's Stock Pricing Efficiency Consistent?

作　　者：吕大永[1] 吴文锋[1] Lv Dayong;WU Wenfeng(Shanghai Jiao Tong University,Shanghai 200030)

机构地区：[1]上海交通大学安泰经济与管理学院

出　　处：《经济与管理研究》2018年第5期38-50,共13页Research on Economics and Management

基　　金：国家自然科学基金项目"中国证券投资基金公司治理结构变革对其业绩和投资行为的影响研究"(71772121);国家自然科学基金优秀青年基金项目"公司金融与公司治理"(71222203)

摘　　要：分析融资交易、融券交易对标的证券定价效率影响的不一致性,可以发现,融资融券交易制度的推出显著地提高了标的证券的定价效率,但融资交易和融券交易的影响却存在不一致性。具体而言,融券交易提高了定价效率而融资交易降低了定价效率。融券交易对改善高估值股票的定价效率更加显著,融资交易的影响则没有显著差异。融资融券调控不应采取一刀切的方式,应针对不同标的采取差异化的调控。China introduced the mechanisms off margin trading and short selling to develop stock markets in 2010.However,whether the two mechanisms improved pricing efficiency have aroused a great deal of debate among the financial professionals.Moreover,the academic researches mainly focus on the effect of short selling,but few on the effect of margin trading.Thus,this paper investigates the effects of both mechanisms on the pricing efficiency,especially the different effects between them.It is found that pricing efficiency is improved after the implementation of short selling and margin trading in 2010.However,the short selling and margin trading have different effects on the pricing efficiency.More specifically,the short selling improved the pricing efficiency,but margin trading worsened the pricing efficiency.Moreover,compared to stocks with lower pricing error,the pricing efficiency of stocks with higher pricing error can improve more by the short selling mechanism,while the margin trading exerts no different effects on the pricing efficiency between the stocks with higher and lower pricing errors.

关 键 词：融资融券 卖空 杠杆交易 定价效率 价格延迟 

分 类 号：F830.91[经济管理—金融学]