本文關(guān)鍵詞： 融資融券 賣(mài)空摩擦 股價(jià)同步性 定價(jià)效率　出處：《統(tǒng)計(jì)研究》2017年01期 　論文類(lèi)型：期刊論文

【摘要】：我國(guó)融資融券制度不同于國(guó)外成熟市場(chǎng)的一個(gè)重要特征是存在較大的賣(mài)空摩擦,但這一賣(mài)空摩擦對(duì)市場(chǎng)定價(jià)效率的影響及其作用機(jī)制尚未被研究揭示。本文運(yùn)用雙重差分固定效應(yīng)模型、處理效應(yīng)模型和傾向性匹配雙重差分模型,研究了融資融券制度中的賣(mài)空摩擦對(duì)市場(chǎng)定價(jià)效率的影響及其內(nèi)在機(jī)制。實(shí)證結(jié)果表明,融資融券制度中的賣(mài)空摩擦抑制了市場(chǎng)參與者對(duì)公司特質(zhì)信息的充分挖掘,促使其過(guò)度利用市場(chǎng)或行業(yè)信息進(jìn)行交易,從而延緩了公司特質(zhì)信息融入股價(jià),加速了市場(chǎng)或行業(yè)信息融入股價(jià),最終加劇了股價(jià)同漲同跌現(xiàn)象,不利于市場(chǎng)定價(jià)效率的提高。本文研究結(jié)論為監(jiān)管部門(mén)合理擴(kuò)大融資融券標(biāo)的范圍、降低交易成本和交易門(mén)檻,營(yíng)造高效的市場(chǎng)環(huán)境提供了依據(jù)和思路。
[Abstract]:One of the important characteristics of China's margin financing and short selling system differs from that of foreign mature markets is the existence of greater friction between short selling and short selling. However, the effect of this short-selling friction on the market pricing efficiency and its mechanism have not been studied. In this paper, the double difference fixed effect model is used to deal with the effect model and the tendentiousness matching double difference model. This paper studies the effect of short selling friction on market pricing efficiency and its internal mechanism. The empirical results show that short selling friction in short selling system inhibits market participants from fully mining the information of company characteristics. They overuse market or industry information for trading, thus delaying the incorporation of company trait information into stock prices, accelerating the integration of market or industry information into stock prices, and eventually exacerbating the rise and fall of share prices. The conclusion of this paper provides a basis and train of thought for the regulatory authorities to expand the scope of margin margin reasonably, reduce transaction costs and barriers, and create an efficient market environment.
【作者單位】： 上海財(cái)經(jīng)大學(xué);
【分類(lèi)號(hào)】：F832.51

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本文編號(hào)：1514120