融券卖空与股价异质性波动  

Short Selling and Idiosyncratic Return Volatility

作　　者：潘凌云 董竹 Pan Lingyun;Dong Zhu(Business School of Jilin University,Changchun 130012,China;Center for Quantitative Economics of Jilin University,Changchun 130012,China)

机构地区：[1]吉林大学商学院,长春130012 [2]吉林大学数量经济研究中心,长春130012

出　　处：《技术经济》2021年第7期113-121,共9页Journal of Technology Economics

基　　金：国家社会科学基金“十三五时期我国货币政策规则与货币政策调控机制研究”(15BJY174);教育部哲学社会科学研究重大课题攻关项目“资本市场的系统性风险测度与防范体系构建研究”(17JZD016)。

摘　　要：以2010-2018年融资融券标的数据为初始研究样本,考察了卖空交易对股价异质性波动的影响及企业成长性在其中发挥的调节作用。研究结果表明:首先,卖空交易抑制了股价异质性波动,在缓解内生性问题后,该结论依然稳健;其次,卖空交易对股价异质性波动的抑制效应在高成长性企业中表现更加明显;最后,卖空交易主要通过改善企业信息透明度来对股价异质性波动产生抑制效应。上述研究结论意味着,在风险可控的前提下,我国应该进一步降低卖空交易门槛。It examines the impact of short-selling on idiosyncratic return volatility and the moderating role played by firm growth by using the 2010-2018 China A-share market securities index data.The results show as follows.Firstly,short selling effectively inhibited idiosyncratic return volatility.After using the instrumental variable method and the“transfer of securities”system as a natural experiment to alleviate the endogeneity problem,the conclusion is still stable.Secondly,the inhibitory effect of short-selling on idiosyncratic return volatility is more obvious in firms with higher growth.Finally,in the investigation of the mechanism,it is found that the short selling is mainly to suppress idiosyncratic return volatility by improving the transparency of corporate information.The above research conclusions mean that China should strengthen the role of short selling in the stabilization of the capital market.

关 键 词：卖空交易 股价异质性波动 企业成长性 信息透明度 

分 类 号：F830.91[经济管理—金融学]