卖空制度、流动性与信息不对称问题研究——香港市场的个案

Short-sale constraints,liquidity and information asymmetry:Evidence from Hong Kong Stock Market

应用香港市场的案例,研究了引入卖空制度后个股的交易活跃程度、流动性、波动性与信息不对称的变化,提出了噪声交易者假说,即引入卖空制度后重要的变化是噪声交易者会出于对更高亏损可能的担心而退出交易或变得谨慎.实证结果发现:引入卖空制度会带来交易活跃程度下降、流动性下降以及信息不对称水平升高.同时,通过对知情交易概率(PIN)的分析发现,在引入卖空制度后,PIN值确实呈现出显著升高的趋势,而使其升高的因素就是噪声交易者参与程度降低.噪声交易者假说较好地解释了上述现象.

We use a natural experiment occurring on Hong Kong stock market to examine the effects of removing short sales constraints on several trading characteristics of underlying stocks. We find that the trading of underlying stocks become less active after the lift of short sales constraints ; Meanwhile the liquidity of underlying stocks is tightened and the information asymmetry among the investors aggravates. But we fall to find any evidence indicating that the lift of short sales constraints seriously destabilizes the market. We further provide a story of noise traders to explain these empirical findings.