我国股票市场融券卖空交易影响因素研究

Study of Influence Factors of Short Selling in China's Stock Market

基于采用系统广义矩估计的动态面板数据模型,以2012年7月1日至2013年7月31日我国股票市场上175家企业标的股为研究对象,系统分析了影响我国股票市场融券交易的各种因素。研究发现,在我国股票市场上,融券交易的动机主要是对冲、套利和投机;融券者基本是逆势交易者,相对来说较为理性;融券者在进行卖空时主要考虑公司beta值、投资者意见分歧、公司基本面情况、融券交易成本及个股、市场收益情况等。这些结论为我国投资者、上市公司、券商和金融监管当局在融券交易、经营管理、风险防范和活跃市场等方面提供了有益借鉴。

This article investigates the influence factors of short selling in China's stock market.By dynamic panel data model and system generalized method of moments(SYS-GMM),using the data from July 1,2012 to July 31,2013 of 175listing corporations,the authors empirically analyze various influence factors on short selling in China's stock market.The result shows that hedging,arbitrage and speculation are main motivations to short selling in China's stock market.Short sellers are contrarian traders that will take companies' beta value,investors' disagreement,company fundamentals,trading cost and stock market returns in consideration.The conclusions provide useful references for investors,listing corporations,brokerage and financial regulatory authorities in the aspects of trading,business management,risk prevention and market inspiration.