转融通提高了股票的定价效率吗?——基于自然实验的研究

Does Refinancing Business Improve Stock Pricing Efficiency?——A Study Based on Natural Experiment

文章将转融通视为对现有融资融券交易制度的外生改善,以自然实验的方式研究了2010年1月至2015年12月A股数据,发现转融通的实施能够显著降低资产收益率对于过去市场信息的依赖程度,提高了定价效率和市场有效性。进一步分析发现,转融通的实施同时促进了融资和融券的交易;但转融通制度是通过改善卖空限制,特别是融券余额占比较低的个股,来提高定价效率的。额外的证据显示,信息中介和外部治理是卖空机制的作用渠道。研究的结论对于认识转融通的实施效果以及进一步完善融资融券交易制度提供了参考。

With the introduction of refinancing business,the number of underlying stock has been enlarging gradually,which can be deemed as an exogenous enhancement of existing margin-trading and short-selling system. Using the trading data of Ashare stocks between January 2010 and December 2015,this paper studies the effect of refinancing business implementation.The results indicate that the implementation improves asset pricing efficiency and market effectiveness. The further study shows that refinancing system boosts the transaction of both margin-trading and short-selling,but it is the function of mitigating short sales constraints that plays a more important role in pricing efficiency improvement. These results can provide references for understanding the implementation effect of refinancing business and how to further refine the system of margin-trading and short-selling.