融资融券制度提高还是降低了股价非同步性?

Does Securities Margin Trading Improve or Reduce the Stock Price Non-synchronization?

股价非同步性是评判资本市场定价效率的重要维度。文章借助融资融券制度分批试点这一准自然实验,采用双重差分方法 (DID)研究了其对标的公司股价非同步性的影响。基于2006-2015年A股上市公司数据的实证检验表明,相比于标的之外的公司,标的公司在融资融券制度实施以后,股价非同步性不仅没有上升反而显著下降。不过,随着融资融券制度的不断完善和标的公司的逐渐增加,这一消极影响正在减弱。考虑到融资和融券业务同时放开的特殊背景,文章进一步对融资和融券交易进行分离,结果发现,尽管融券业务能够提升股价非同步性,但规模占据主导地位的融资业务却降低了股价非同步性,由此导致融资融券制度最终表现为负面效应。此外,公司较差的初始信息环境也是融资融券制度失效的重要原因。文章的上述发现对于理解和完善融资融券制度具有一定的参考价值。

Stock price non-synchronization is an important dimension for judging the pricing efficiency of capital markets. Higher stock price non-synchronization can guide funds to exit less efficient companies and flowto more efficient companies. Beginning in 2010,China’s capital market began to introduce financing and securities lending transactions. Then,can the margin financing system improve the stock price non-synchronization? Securities margin trading has many effects on the stock price non-synchronization: first,it can play the role of leveraged investment to activate market transactions and create liquidity for the market. Second,it provides a newreverse trading mechanism for the market to realize value discovery. Third,it exerts its internal and external supervision and governance effects,which can affect both the information environment of the company and the information asymmetry between investors and enterprises. Fourth,the effectiveness of the securities margin trading is largely influenced by the company ’s initial information environment. Based on the sample data from 2006 to 2015 of A-share listed companies,this paper uses difference-in-difference model to study its impact on the stock price non-synchronization. The results showthat compared with the out of list companies,after the implementation of the securities margin trading,the list company’s stock price non-synchronization is not only not rising but falling significantly. This article also finds that the short selling can improve the stock price non-synchronization,while the financing business is opposite. As a result,the securities margin trading has a negative effect on the stock price non-synchronization. In addition, the company ’s own poor initial information environment is also an important reason for the failure of the securities margin trading system. The contributions of this paper are:(1) This article not only expands the existing literature of the securities margin trading system, but also a useful supplement to the research of the stock price non-synchronization;(2) This paper attempts to use a variety of methods to separate financing and securities lending,which provides a partial explanation for the failure of the margin financing and securities lending system to play a positive role,and also helps to understand the particularity of the Chinese-style margin financing and securities lending system;(3) The paper also finds that the securities margin trading system requires a good information environment as a prerequisite,which provides a possible direction for the improvement of the securities margin trading system. Above,the findings of this article have certain reference value for understanding and perfecting the margin financing and securities lending system.