北京航空航天大学学报(社会科学版) ›› 2018, Vol. 31 ›› Issue (1): 75-83.DOI: 10.13766/j.bhsk.1008-2204.2016.0163

• 经济与管理 • 上一篇    下一篇

卖空限制对证券市场错误定价的影响

王宇, 何婧, 臧日宏   

  1. 中国农业大学 经济管理学院, 北京 100083
  • 收稿日期:2016-05-09 出版日期:2018-01-25 发布日期:2018-01-31
  • 作者简介:王宇(1992-),女,黑龙江绥化人,博士研究生,研究方向为金融理论与实践、公司金融.
  • 基金资助:

    教育部人文社科青年项目(12YJC90023)

Impact of Short Selling Constraints on Mispricing Degree

WANG Yu, HE Jing, ZANG Rihong   

  1. College of Economics and Management, China Agricultural University, Beijing 100083, China
  • Received:2016-05-09 Online:2018-01-25 Published:2018-01-31

摘要:

关于放松卖空限制是否能够降低证券市场错误定价以及影响程度的问题,结论尚不明确。融资融券的推出为本问题的研究构建了一个良好的自然实验过程。检验了事件前后股票市场错误定价程度的差异,论证卖空限制是否影响错误定价、卖空限制比例对错误定价程度的影响程度,及其影响卖空限制与错误定价敏感度的因素。结论表明,放松卖空限制能显著降低错误定价程度,但融券比例对错误定价程度的影响呈现非线性关系,当融券比例在适度范围内(4%~14%)时,融券比例越高,其错误定价程度越低,但是当融券比例低于4%或高于14%时,融资融券比例越高,其错误定价程度反而会越高,推动错误定价。同时,机构持股比例越高,放松卖空限制与降低错误定价程度之间的关系显著。

关键词: 卖空限制, 错误定价, 融资融券, 证券市场, 机构投资者

Abstract:

There is not a certain conclusion about whether relaxing short selling constraints can reduce the degree of security market's mispricing. However, the margin trading system established in China provides an excellent experiment process for this problem. We test the differences of the mispricing degree between the before and after the event, then verify whether short selling can affect the degree of mispricing, how much will the short selling ratio affect the degree of mispricing, and explore what factors can have an effect on the sensitivity between short selling constraints and mispricing. The conclusions show that short selling can significantly reduce the degree of mispricing, but there exists a nonlinear relationship between short selling ratio and mispricing, when the short selling ratio is in the range of 4%~14%, as the ratio increases, the degree of mispricing reduces, however, when the ratio is below 4% or above 14%, the affect has inverse performances. At the same time, the more stocks that can be shortsaled institution investors have, the more sensitive the relation between short selling constraints and mispricing will be.

Key words: short selling constraints, mispricing, margin tradin, stock market, corporate investor

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