融券卖空与价格发现——来自A股市场的经验证据

Short Selling and Price Discovery Empirical Evidence of A-share Stock Market

融券卖空对于股市的影响一直富有争议。本文利用沪深A股数据检验融券卖空的价格发现效应,研究结果表明:基于市场模型的实证结果与Miller(1977)所提出的卖空限制会导致股票价值高估理论基本相符,并且基于市场调整模型的实证结果在统计上更加显著;融券卖空实施后异质信念程度与股票收益并未呈现负相关,与Miller(1977)所提出的理论不符。此外,本文还实证检验了融券卖空对个股收益率分布的影响,结果显示:融券卖空后股票日收益率分布的负偏程度和个股日收益率的波动性都显著降低,股价崩盘的概率也显著下降。

The issue of how short selling impacts capital market is highly controversial. By analyzing the price effects of short selling in Shanghai and Shenzhen stock markets, we find that the results based on market model are significantly negative, which are consistent with Miller＇s （1977） theory, and the empirical results based on market-adjusted model are more statistical significant. The degree of divergence of opinions and stock returns after short sales did not show a negative correlation, which don＇t support Miller＇s （1977） theory. We also document lower volatility, less negative skewness of individual stocks daily return and lower frequency of extreme negative daily returns when short sales are allowed.