限制融券卖空有助于稳定市场吗？——来自A股市场的经验证据

Do Short Sale Restrictions Help to Stabilize the Stock Market?——An Empirical Evidence from China's Stock Market

长期以来,是否应该禁止或限制卖空交易一直是个争议不断的话题。2015年A股大跌期间,我国监管当局出台措施对融券卖空进行严格限制。本文基于市场稳定视角,对融券卖空限制措施的政策效应进行分析。研究结果表明,股市大跌期间,可融券股票的成交量和波动率显著低于不可融券股票,收益率前者显著高于后者;高融券股票的成交量整体低于低融券股票,波动率前者显著低于后者,收益率前者显著高于后者。放松卖空约束和融券交易增加不是股市大跌的原因,限制融券卖空无助于稳定市场,甚至适得其反。

Whether or not short sales should be prohibited or restricted is a long controversial issue. From the viewpoint o： market stability, we analyze the policy effects of the restrictive measures imposed on short sales during the Chinese stock market crash in 2015. We find some evidence that during the market crash, the trading volumes and price volatility of marginable stocks are significantly lower than those of non-marginable stocks, and stock returns significantly higher. We also find that the trading volumes of heavily shorted stocks are collectively lower than those of lightly shorted stocks, price volatility significantly lower and stock returns significantly higher. Short sales are not the cause of the market crash. Short sale restrictions don＇ t help to stabilize the stock market, they might have made the situation even worse.