套利限制对股票错误定价的影响研究  

Research on Influence of Arbitrage Restrictions on Stock Mispricing

作　　者：杨驰 张兵[1] 朱红兵 Yang Chi;Zhang Bing;Zhu Hongbing

机构地区：[1]南京大学商学院,江苏南京210000 [2]河海大学商学院,江苏南京210000

出　　处：《证券市场导报》2023年第3期57-67,共11页Securities Market Herald

摘　　要：本文从形成套利限制的基础要素出发,将套利限制划分为交易成本、交易风险和交易约束,研究了不同维度套利限制对股票错误定价的影响。结果显示:在对错误定价具有正向影响的各细分维度套利限制中,交易约束起主导作用;股价高估情形下,交易约束对错误定价的影响起主导作用,交易成本则具有负向影响;低估情形下,交易成本起主导作用,各细分维度套利限制与错误定价的相关关系与高估情形相反,呈现显著的非对称关系;各细分维度套利限制通过改变投资者买卖行为导致了这一现象。本文首次探究了不同维度套利限制对错误定价的影响,并将T+1交易制度引发的套利限制纳入研究范围,为套利活动和我国资本市场基础制度改革提供相关建议。From the basic elements of the arbitrage restrictions,this paper divides the arbitrage restrictions into transaction costs,transaction risks,and transaction constraints and studies the influence of the arbitrage restrictions of various dimensions on the mispricing of stock assets.The result shows that in the arbitrage restrictions of each subdivision dimension that positively impact mispricing,the transaction constraints play a leading role.In the case of overvaluation of stock prices,the transaction constraints play a leading role in the impact of mispricing,while the transaction costs have a negative effect.In the case of undervaluation,the transaction costs play a leading role,and the correlation between arbitrage restrictions in each subdivision dimension and mispricing is opposite to that in the case of overvaluation,presenting a significant asymmetric relationship.Arbitrage restrictions in each subdivision dimension lead to the above results by changing investors’trading behavior.This paper is the first to explore the impact of arbitrage restrictions of various dimensions on mispricing.It includes the arbitrage restrictions caused by the T+1trading mechanism into the research scope,providing relevant suggestions for arbitrage activities and reforming the basic system of China’s capital market.

关 键 词：套利限制 错误定价 多维度分析 T+1交易制度 

分 类 号：F830.91[经济管理—金融学]