卖空机制对股票定价效率的影响——基于市场微观结构的视角

融资融券业务的推出,为我国证券市场提供了新的交易制度,也为研究卖空机制提供了比较完美的自然实验.两融业务发展的7年间,融资融券标的主要进行过四次调整.文章以两融标的历次调整时点为基准,整理了上交所114只股票在调整时点前后500个交易日的数据,采用了双重差分法对卖空机制和定价效率的关系进行研究,并进一步探讨了卖空机制对定价效率的影响路径.研究结果表明,融资融券的推出显著改善了标的股票的定价效率;卖空机制主要通过影响股票流动性、深度以及投资者的异质信念而间接作用于股票的定价效率.此外,结合国内两融业务的发展现状,为更好发挥卖空机制的正向作用,提出了推广转融通机制,合理推进融资融券业务市场发展的意见和建议.

Impact of Short Selling Mechanism on Stock Pricing Efficiency Based on Market Micro-structure Perspective

The implementation of securities margin trading not only has provided a new trading system on China's securities market but also has given a natural experimental environment for the research on short selling mechanism.During the seven-year development, the underlying margin trading has four adjustments.Based on the time point of each previous adjustment, this paper collects the trading data of 114 stocks in Shanghai Stock Exchange in the 500 trading days before and after the time point of adjustment to study the relationship between short selling mechanism and pricing efficiency by using Difference-in-Differences method.It makes a further probe into the influence path of short selling mechanism upon pricing efficiency.The research results indicate that the implementation of margin trading has significantly improved the pricing efficiency of the underlying stock.The short selling mechanism mainly has an indirect effect on the stock pricing efficiency by influencing the stock liquidity and depth as well as investors' heterogeneous beliefs.In addition, in view of the current situation of the domestic margin trading, in order to play a positive role of short selling mechanism, this paper further puts forward the viewpoint and suggestion to promote the refinancing mechanism and boost the development of securities margin trading business in a reasonable way.