中国式融资融券与企业金融化——基于分批扩容的准自然实验

Margin Trading, Short Selling and Firm Financialization: Based on a Quasi-natural Experiment of Batch Expansion

本文聚焦于中国经济“脱实向虚”背景下非金融企业金融化问题,将分批次放开融资融券限制作为准自然实验,构造双重差分模型,探究融资融券机制对企业金融化行为的影响。研究发现,融资融券机制的实施总体上会显著地促进企业金融化。这种促进作用主要源于实际交易中占主导地位的融资机制。虽然融券机制对企业金融化有一定的抑制作用,但在融资交易与融券交易高度不对称的情形下,活跃的融资交易加剧了企业配置金融资产的短期投机套利行为。金融资产与经营资产的收益率差距和股价下跌风险是企业调整投资策略的两个关键因素。进一步研究发现,融资融券对企业金融化的影响只存在于管理层持股和机构持股比例较高、产品市场竞争较弱和处于牛市行情等情形中。本文有助于理解中国式融资融券的经济后果,也从制度环境层面为厘清非金融企业“脱实向虚”的内在机制提供了一个新视角。

This paper focuses on the issue of firm financialization.Based on a quasi-natural experiment of batch expansion in China s stock market and using the DID model,this paper studies the impact of margin-trading and short-selling program in China on the financialization of non-financial corporations,and finds that the program on the whole significantly promotes the latter,mainly due to margin trading which is dominant in actual transactions.Although the short selling mechanism can curb corporate financialization to some extent,given the high asymmetry between margin trading and short selling,active financing transactions aggravate the short-term speculative arbitrage behaviors of non-financial firms in allocating financial assets.The yield gap between financial assets and operating assets and the risk of stock price decline are two key factors for firms to adjust their investment strategies.Further research finds that the impact only exists in such situations as a high proportion of managerial ownership and institutional ownership,weak market competition and bull market.This paper is helpful to understand the impact of the deregulation on margin trading and short selling.It also provides a new perspective for clarifying these companies internal mechanism of“shift from real economy to virtual economy”in the institutional environment.