融券卖空机制、转融券扩容与正反馈交易行为——基于A股市场基金的分析  

Short-selling Mechanism of Securities Lending,Expansion of Securities Refinancing and Positive Feedback Trading Behavior:Analysis Based on A-share Market Funds

作　　者：平川 杨宏涛 PING Chuan;YANG Hongtao

机构地区：[1]山东大学商学院,山东威海264209

出　　处：《上海市经济管理干部学院学报》2021年第5期18-31,共14页Journal of Shanghai Economic Management College

摘　　要：使用MT指标度量基金正反馈交易的强度,以2013年两次转融券扩容为自然实验,基于当前融券交易制度渐进开展的特殊条件,探究融券卖空机制是否对A股市场基金正反馈交易行为具有抑制作用。使用双重差分方法对转融券扩容前后转融券标的股票与非转融券标的股票上基金正反馈交易强度的差异进行分析,结果显示融券卖空机制对基金正反馈交易行为具有显著抑制作用,在波动率更高或市值更大的股票中作用更强,但是市值影响边际递减。研究结果支持了信息效率假说,在融券与转融券有序扩容中,应通过卖空交易不断增强市场的信息透明度,加强信息披露监管,防止卖空滥用。同时稳步扩大融券标的范围和转融券规模,降低融券交易费用和参与门槛,进一步发挥融券卖空机制提高价格信息含量的优势,提高股票市场的信息效率。This paper uses the MT indicator to measure the strength of fund positive feedback transactions,and takes two refinancing securities expansion in 2013 as a natural experiment to explore whether the short-selling mechanism has an inhibitory effect on the positive feedback transactions of funds in the A-share market.Empirical research is found that the short-selling mechanism has a significant inhibitory effect on the positive feedback trading behavior of funds,and it has a stronger effect in stocks with higher volatility or greater market value,but the impact of market value is diminishing.The research results support the information efficiency hypothesis.Therefore,in the orderly expansion of securities lending and refinancing,the supervision of information disclosure should be strengthened,and the advantage of the short selling mechanism of securities lending to increase the price information content should be further utilized.

关 键 词：融券卖空机制 自然实验 正反馈交易行为 转融券扩容 

分 类 号：F832.5[经济管理—金融学]