卖空机制、股价信息含量与暴跌风险--基于融资融券交易的经验证据

摘要

This paper makes use of the natural experimental opportunity that China has gradually introduced margin trading in stock market,and investigates the effect of short selling on stock pricing efficiency in reflecting negative information by using a difference-in-difference research design.Using the data from 2007 to 2012,it concludes that compared with non-target stocks,after the stocks become the underlying assets of securities margin trading,their stock prices react more timely to downward market volatility,thus reducing the asymmetric stock price reaction between positive and negative market information, which means that prices for underlying stocks of securities margin trading embed bad news of corporate values more timely and fully.At the same time,compared with non-target stocks,after the stocks become the underlying assets of securities margin trading,the probability of stock price crashes is significantly reduced.These results suggest that short selling improves the stock pricing efficiency in reflecting negative information after China introduces the securities margin trading.%文章利用我国逐步推出融资融券交易的自然实验机会，运用双重差分的研究设计，考察了卖空机制对股价反映负面消息效率的影响。文章以2007-2012年的数据为样本研究发现：相对于非标的股票，融资融券标的股票在成为标的之后，其股价对市场的向下波动及时做出了调整，使得股价对市场正负向波动反应之间的不对称性显著降低，表明标的股票更加及时和充分地吸收了有关公司价值的负面信息；同时，相对于非标的股票，融资融券标的标的股票在成为标的之后，其股价暴跌风险显著降低。文章结果表明，我国股市推出融资融券交易后，卖空机制提高了市场对标的股票负面消息的定价效率。