放松卖空管制与机构投资者持股偏好

Deregulation on Short Selling Constraint and Share Holding Preference of Institutional Investors

本文在融资融券政策实行的背景下,探讨了我国引入卖空机制对机构投资者持股偏好的影响机理,并基于我国证券市场实施融资融券制度所带来的准自然实验研究机会,采用双重差分模型,分别检验实验组和控制组对此政策实施后的不同机构投资者持股变化程度。本文发现,与不允许卖空的企业相比,允许卖空的企业总体机构投资者的持股数量和独立性机构投资者的持股比例显著上升,而总体换手率下降。这表明实施融资融券制度改变了机构投资者的持股偏好以及交易频率,提高了机构投资者的股东稳定性。

Under the background of the implementation of margin trading program, this paper discusses the influence of the introduction of short selling mechanism to institutional investors’ share holding preference in our country and takes the opportunity of quasi-natural experiment research which is brought by the implementation of this mechanism to use the difference-in-difference model in order to test the different institutional investors’ share holding variation degree of experiment group and control group after this policy is issued. This study finds that, compared with the enterprises cannot be sold short, those allowed short selling enterprises’ stock holding ratio of both total institutional investors and independent institutional investors raises significantly whereas the turnover rate decreases. It illustrates that implementation of margin trading changes the institutional investors’ share holding preference and transaction frequency which makes institutional investors more stability.