卖空机制与中国股市的持续性过度反应——基于融券制度的准自然实验分析

Short Selling and the Continuous Overreaction in Chinese Stock Market——Based on the Natural Experiment of Margin Trading

以中国1997—2016年A股上市公司为样本,实证研究了卖空机制对股票市场持续性过度反应的影响,以及这种影响产生的机制。结果发现,持续性过度反应指标呈现出短期动量、长期反转的特征。进一步考虑融券制度后发现,卖空机制可以降低持续性过度反应,但这种影响具有不对称性,极端情绪条件下持续性过度反应反而会显著上升。

Using the samples of A-share listed companies from 1997-2016 and DID Method, this paper empirically investigates the impact and its action mechanism of short selling on the continuous overreaction of stock market. The study finds that the continuous overreaction（CO） presents the short-term momentum and long-term reversal anomalies in Chinese stock market. And short selling could decrease the continuous overreaction, where the impact is asymmetric. Moreover, the continuous overreaction will rise dramatically in extreme emotional conditions.