我国融资融券政策实施效果分析:基于市场稳定性视角

Implementation Effect Assessment of Margin Trading:From the Perspective of Market Stability

关于卖空机制,在学术界和实务界目前仍在争论而未达成一致。而我国股市从完全禁止卖空到实施融资融券制度已有较长一段时间,从市场稳定性角度分析我国融资融券政策实施效果。基于面板数据模型实证检验是否允许卖空(也即是否属于融资融券标的)对股票收益率波动性、偏度以及峰度的影响。结果显示:允许卖空的股票收益率波动性和峰度会显著下降,而收益率偏度会显著增加,三个维度的检验均表明,融资融券制度的推出有助于改善市场稳定性。进一步分沪深两市和分不同行业的稳健性分析同样支持这一结论。

The debate on the short-sale mechanism has lasted for a long time in both the academic and practical fields. In China’s stock markets, short sale was totally prohibited before 2010, but now the policy of margin trading has been implemented for seven years. Therefore, this paper aims to assess its implementation effect from the perspective of market stability. Employing the panel data model, we examine whether the volatility, skewness and kurtosis of stock returns will be affected after this stock is added into the margin trading list. The empirical results indicate that, if a stock is allowed to be short sold, its volatility and kurtosis will significantly decrease and its skewness will significantly increase. This implying that, the implementation of “margin trading” policy can help to improve the stock market stability in China. This conclusion is further supported by the robust analysis separately on Shanghai and Shenzhen stock markets and on different industries. Thus, our study confirms the success of “margin trading” policy and can also encourage the regulators to continuously explore new financial innovation and perfect the transaction system in China’s stock market.