Economic Theory and Business Management

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SHORT SALE CONSTRAINT AND MARKET EFFICIENCY——Evidences from the Quasi Natural Experiment of Margin Financing Loan in Chinese Stock Market

ZHU Guangwei1,JIANG Jiarong2,LU Dong3   

  1. 1. Institute of Chinese Financial Studies, Southwestern University of Finance and Economics;
    2. Insurance School, Southwestern University of Finance and Economics;
    3. School of Finance, Renmin University of China
  • Online:2020-01-14 Published:2020-01-16

融券约束和市场定价效率*——基于我国股票市场转融通的准自然实验证据

朱光伟1,蒋佳融2,芦东3   

  1. 朱光伟，西南财经大学中国金融研究中心；蒋佳融，西南财经大学保险学院；芦东，中国人民大学财政金融学院
  • 基金资助:
    本文得到国家自然科学基金项目（71903191）、中国人民大学双一流资金项目（KYGJE2019001）、中央高校基本科研业务费专项资金项目（JBK1805003、JBK1901058）的资助。

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Abstract:

 This paper studies the impact of short selling on the stock price discovery from the aspect of short sale constraints. Constraints reflect the impact of short selling
in a more comprehensive way than the volume of transactions. Because the constraints affect the market not only by affecting the trading volume directly, but also through the information channel and improving the quality of firms' financial reports indirectly. We find as follows: First, after the short constraint decreases, the stock price has more common trend when market return is negative, which means stock price contains less idiosyncratic information. Second, the price adjustment speed becomes faster. Third, the stock price is closer to a random walk, which means the predictability of stock price decreases. The policy implications of this paper are that appropriate reduction of short constraints, expansion of institutional investors, maintaining a higher threshold for short sales, and strengthening investor education can promote the positive role of the short selling mechanism.

Key words: short sale constraint , margin financing loan , price common trend , price delay, variance ratio

摘要：

本文从融券约束的视角出发，研究我国股票市场融券机制对标的股票价格发现效率的影响。相比于融券交易量，融券约束可以更好地识别融券机制的作用。因为它可以从交易渠道、信息渠道、外部监管渠道对股价产生影响。笔者利用转融通的实施作为准自然实验，识别出了融券约束放松后标的股票价格发现效率的变化。实证结果显示融券约束放松后：（1）在市场下跌的情况下股价的共同趋势增强，意味着此时股价中包含的个股特质性信息含量降低，而市场上涨时则不存在这种效应；（2）股价对市场信息的反应速度增快；（3）股价更加接近随机游走，即股价的可预测性降低。本文的政策启示是，适当降低融券约束、扩大机构投资者比例、保持较高的融券交易准入门槛以及加强投资者教育可以促进融券机制发挥积极作用。

关键词: 融券约束 , 转融通 , 股价共同趋势 , 股价延迟指标 , 方差比率