摘要
Miller认为开放卖空交易将引入异质信念,悲观投资者的预期通过卖空交易释放到市场中,从而缓解股票定价过高的现象.本文利用我国股票市场5次主要融资融券名单调整的数据对这一假说进行检验,发现市场中异质信念在卖空交易开放后显著增强,异质信念的引入对股票定价过高产生一定的缓解作用.此外,由于我国同时引入了融资交易和卖空交易两种机制,本文对两种交易机制进行检验,排除融资交易的影响,最终确认卖空才是引入异质信念和缓解股票定价过高的主要原因.本文研究结果表明卖空交易对提高中国股票市场质量具有促进作用.
Miller theorizes that without short-sale constraints, security price reflects more pessimistic opinions and thus alleviates stock overvaluation. By analyzing the data of 5 main revisions of short sale list in China stock market, we find that short-sale policies bring more heterogeneous beliefs and lower stock overvaluation. Moreover, in China stock market, margin trading and short selling are introduced at the same time, it is necessary to exclude the impact of margin trading. Using trading data of these two mechanisms, we find short-sale is the main reason of these phenomena. The results of this study show that short sale has a positive effect on improving the quality of China stock market.
出处
《系统工程理论与实践》
EI
CSSCI
CSCD
北大核心
2017年第8期1937-1948,共12页
Systems Engineering-Theory & Practice
基金
国家自然科学基金(71532009
71320107003
71401121)
天津市教委社会科学重大项目(2016JWZD08)~~
关键词
中国市场
股价调整
卖空交易
异质信念
China stock market
stock price adjustment
short sale
heterogeneous beliefs
