利空、融券交易与市场有效性:一个准实验研究  

Bad News,Short Selling and Capital Market Effectiveness:Quasi Experimental Study

作　　者：肖万[1] 彭程 林冰儿 XIAO Wan;PENG Cheng;LIN Bing-er(School of Business Administration, South China University of Technology, Guangzhou 510640, China)

机构地区：[1]华南理工大学工商管理学院,广东广州510640

出　　处：《预测》2020年第5期82-88,共7页Forecasting

基　　金：国家社会科学基金资助项目(16BJY174)。

摘　　要：本文以2018年5月到2018年8月发生的一系列利空事件作为模拟交易的实验背景,以华为供应商股为研究对象,以买入不可卖空股票同时卖出可卖空股票构建了四个投资组合,并用双重差分模型分析了不同组合收益的表现、原因及其影响机制。研究发现,在利空事件发生时,不可卖空股票价格下跌幅度有限,而可卖空股票下跌幅度较大,于是,构建的投资组合都存在显著的负收益。进一步研究发现,这种收益的变动不是公司基本面或其与利空机制共同作用引起的,而是卖空交易机制直接导致的。可见,在加强融资融券交易监管的同时,放松股票不可卖空的限制、提升融券交易规模,不仅可以扩大投资者获取收益的方向与渠道,还有利于股票真实价值的回归。This paper takes a series of bearish events from May 2018 to August 2018 as the experimental background to simulate trading.Taking Huawei suppliers stocks as the research object,four investment portfolios are constructed by buying non-short selling stocks and selling short selling stocks at the same time.Finally,using difference-in-differences model to analyze the returns,causes and impact mechanism of different portfolio selection.The study finds that when a bad new occurs,the price of non-short selling stocks declines by a limited amount,and short selling stocks declines greater.Therefore,the portfolios selection constructed have significant negative returns.Further research finds that the change of earnings is not caused by the company’s fundamentals or its joint effect with bad news,but directly caused by the short selling mechanism.It can be seen that while strengthening the supervision of margin trading,easing the restrictions on the non-short selling of stocks and increasing the size of short selling transactions not only can expand the direction and channels for investors to obtain returns,but also facilitate the return of real value of stocks.

关 键 词：卖空机制 投资组合 资本市场 价格发现 

分 类 号：F830.91[经济管理—金融学]