股市异常波动期间限制卖空机制的效果研究——基于2015年A股市场的自然实验

The Effect of Restrictions on Short Selling during An Abnormally Fluctuating Period in Stock Market——A Natural Experiment in China’s A-Share Stock Market in 2015

2015年6-8月我国股市异常波动期间,监管当局出台了一系列措施对融券交易进行严格限制。本文以此开展自然检验,实证检验这些限制措施是否取得了维护市场稳定的预期目标。研究结果表明:与不可融券股票相比,可融券股票在大跌期间面临的抛售压力显著更小、异常收益率显著更高、收益波动率显著更低;与低融券股票相比,高融券股票的抛售压力显著更小、异常收益率显著更高、收益波动率显著更低。另一方面,限制卖空加大了可融券股票的价格下行压力,显著降低了其稳定性。由此可见,股市异常波动期间限制卖空,无助于维护股市稳定,甚至适得其反。因此,今后再出台卖空限制措施时应十分谨慎。同时,应继续支持和鼓励证券公司发展融券业务,充分发挥融券机制在提高市场定价效率、平抑股市波动方面的作用,推动我国股市长期健康发展。

During China’s stock market crash in June to August 2015, regulatory authorities imposed restrictions upon short selling. This paper takes it as a natural experiment and empirically examines whether these measures had achieved the desired goal of maintaining market stability. The empirical analyses show that, compared with short-sale-ineligible stocks, downward pressures faced by short-sale-eligible stocks during the market crash were significantly smaller, abnormal yields significantly higher, and price volatilities significantly lower;compared with stocks with small short sales, downward pressures faced by stocks with large short sales were significantly less, abnormal yields significantly higher, and price volatilities significantly lower. Short selling restrictions exacerbated short-sale-eligible stocks’ downward pressures and significantly impaired their stabilities. The conclusion is that short selling restrictions in a crash are not helpful or even harmful to market stability, and regulatory authorities should be very cautious to introduce such policies in the future. Moreover, short sales should be encouraged to have a full play in their roles of improving market efficiency, curbing market volatilities, and contributing to long-term healthy development of China’s stock market.