T+0量化交易与转融券市场化费率居高不下之谜--从交易制度套利论协同改革的必要性

T+0 Quantitative Trading and the Mystery of High Market-oriented Short-sale Refinancing Rates:A Discussion on the Necessity of Collaborative Reform from the Perspective of Trading Mechanism Arbitrage

科创板在A股市场首次实行转融券费率市场化改革,旨在有效平衡多空机制,然而改革后转融券费率一直居高不下,高费率带来的卖空约束限制了股价对负面信息的反应能力。本文首次引入利用转融券进行日内回转(T+0)交易的量化交易者,拓展了转融券市场博弈模型并利用转融券分笔交易数据进行实证检验。研究发现,非基本面信息驱动的融券需求导致转融券费率升高,排挤了传统的卖空交易者,并降低了长期投资者的持股意愿。异质性分析揭示,T+0策略的融券需求越高,转融券费率对需求的敏感性越强,表明T+0策略产生的融券需求是导致市场化费率居高不下的关键因素。为识别这一因果关系,本文将科创板引入做市商制度作为准自然实验,通过双重差分方法分析发现,做市商介入有效减少了基于T+0策略的融券需求,降低了转融券费率。本研究首次揭示了在交易制度限制下,基于非基本面信息的量化融券需求可能降低市场化改革效果,而引入做市商制度能有效抑制该负面影响。因此在实施转融券市场化改革的同时,监管层应推进交易制度的协同改革,减少制度套利行为带来的市场效率损失。

The Science and Technology Innovation Board(STAR Market) initiated a market-oriented reform of the short-sale refinancing rates in the A-share market, aiming to effectively balance bullish and bearish forces. Despite these reforms, post-reform short-sale refinancing rates have remained high, which has restricted short-selling activities and diminished the market's ability to respond to negative information.This paper explores the role of quantitative traders who engage in short-sale refinancing for intraday(T+ 0) transactions, thus extending the short-sale refinancing market game theory model and providing empirical analysis based on detailed transaction data. Our findings reveal that an increase in short-sale refinancing demand, driven by non-fundamental information, leads to higher short-sale refinancing rates, displaces traditional short-sellers, and diminishes the willingness of long-term investors to maintain positions. A heterogeneity analysis shows that the increased demand from T+0 quantitative traders amplifies the short-sale refinancing rates' sensitivity to demand fluctuations, underscoring the critical role of T+0 strategy-induced demand in sustaining elevated short-sale refinancing rates. Moreover, by treating the introduction of the market maker system in the STAR Market as a quasi-natural experiment, a difference-in-differences analysis reveals that the participation of market makers significantly reduces the T+0 strategy-induced short-sale refinancing demand, thus lowering the short-sale refinancing rates.This research uniquely demonstrates that short-sale refinancing demand, driven by non-fundamental information under trading mechanism constraints, can undermine the effectiveness of market-oriented reforms. However, the implementation of a market maker system can significantly mitigate this adverse effect. Therefore, alongside the market-oriented reforms in the short-sale refinancing market, regulatory authorities should propel collaborative reforms in trading mechanism to mitigate market inefficiency caused by arbitrage activities.