融资融券约束与股市波动

doi:10.16381/j.cnki.issn1003-207x.2019.0216

摘要/Abstract

摘要： 本文从融资约束和融券约束的视角出发，研究我国股票市场融资机制和融券机制对标的股票波动率的影响。相比于融资融券交易量，约束可以更好地识别融资融券机制的作用，因为它可以从交易渠道、信息渠道、公司治理渠道对股价产生影响。我们利用融资融券机制推进过程中标的证券名单的变化识别融资融券约束放松后的总体效果，然后合理构造子样本识别融资约束的作用，最后利用转融通的实施识别融券约束的作用。研究结果显示融资约束和融券约束的放松显著降低了标的股票的波动率，表明融资融券机制可以发挥稳定股票市场的作用。

关键词: 融资融券约束；波动率；转融通

Abstract: Although a large number of classical theories and empirical literature prove that with the relaxation of short-selling constraints, stock prices are more likely to approach theirfundamental values.The positive effect of the short-selling mechanism has always been controversial.Regardless of the 2008 global financial crisis or the 2015 China stock market crash, governments all over the world imposed different degrees of restrictions on short-selling transactions in order to curb the stock price plummet during market panic. Even when the market is operating smoothly, governments have imposed different degrees of restrictions on short sales, thereby reducing potential risks.

Key words: constraints of margin trading and short selling; volatility; margin financing loan

中图分类号:

朱光伟, 杨涛, 杜在超. 融资融券约束与股市波动[J]. 中国管理科学, 2022, 30(4): 13-29.

ZHU Guang-wei, YANG Tao, DU Zai-chao. Margin Trading, Short Selling Constraints and Stock Market Volatility[J]. Chinese Journal of Management Science, 2022, 30(4): 13-29.

参考文献

［1］ Miller E M. Risk, uncertainty, and divergence of opinion［J］. The Journal of Finance,1977, 32(4): 1151-1168.
［2］ Figlewski S. The informational effects of restrictions on short sales: Some empirical evidence［J］. Journal of Financial and Quantitative Analysis, 1981, 16(4): 463-476.
［3］ Chen J, Hong H, Stein J C. Breadth of ownership and stock returns［J］. Journal of Financial Economics, 2002, 66(2): 171-205.
［4］ Autore D M, Billingsley R S, Kovacs T. The 2008 short sale ban: Liquidity, dispersion of opinion, and the cross-section of returns of US financial stocks［J］. Journal of Banking and Finance, 2011, 35(9): 2252-2266.
［5］ Beber A, Pagano M. Short-selling bans around the world: Evidence from the 2007-09 crisis［J］. The Journal of Finance, 2013, 68(1): 343-381.
［6］ Boehmer E, Jones C M, Zhang X. Shackling short sellers: The 2008 shorting ban［J］. Review of Financial Studies, 2013, 26(6): 1363-1400.
［7］ Bernardo A E, Welch I. Liquidity and financial market runs［J］. The Quarterly Journal of Economics, 2004, 119(1): 135-158.
［8］ Félix L, Krussl R, Stork P. The 2011 European short sale ban: A cure or a curse?［J］. Journal of Financial Stability, 2016, 25: 115-131.
［9］ Chang E C, Cheng J W, Yu Y. Short-sales constraints and price discovery: Evidence from the Hong Kong market［J］. The Journal of Finance, 2007, 62(5): 2097-2121.
［10］陈国进, 张贻军. 异质信念、卖空限制与我国股市的暴跌现象研究［J］. 金融研究, 2009(4): 80-91.Chen Guojin, Zhang Yijun. Heterogeneous beliefs, short sale restriction and stock price crash in China’s stock market［J］. Journal of Financial Research, 2009(4): 80-91.
［11］许红伟, 陈欣. 我国推出融资融券交易促进了标的股票的定价效率吗?——基于双重差分模型的实证研究［J］. 管理世界, 2012(5): 52-61.Xu Hongwei, Chen Xin. Does the introduction of margin trading and short sellingin China promote the pricing efficiency of the underlying stocks? An empirical study based on the difference-in-difference model［J］. Journal of Management World, 2012(5): 52-61.
［12］肖浩, 孔爱国. 融资融券对股价特质性波动的影响机理研究:基于双重差分模型的检验［J］. 管理世界, 2014(8): 30-43+187-188.Xiao Hao, Kong Aiguo. A Study on the mechanism of the impact of the securities margin trading on the fluctuations of the special nature of the stock price: A test based on the difference-in-difference model［J］. Journal of Management World, 2014(8): 30-43+187-188.
［13］陈海强, 范云菲. 融资融券交易制度对中国股市波动率的影响——基于面板数据政策评估方法的分析［J］. 金融研究, 2015(6): 159-172.Chen Haiqiang, Fan Yunfei. The impact of the launch of margin trading and short selling on Chinese stock market volatility: Evidence from a panel-data policy evaluation approach［J］. Journal of Financial Research, 2015(6): 159-172.
［14］李志生, 陈晨, 林秉旋. 卖空机制提高了中国股票市场的定价效率吗?——基于自然实验的证据［J］. 经济研究, 2015, 50(4): 165-177.Li Zhisheng, Chen Chen, Lin Bingxuan. Does short selling improve price efficiency in the Chinese stock market? Evidence from natural experiments［J］. Economic Research Journal, 2015, 50(4): 165-177.
［15］李志生, 杜爽, 林秉旋. 卖空交易与股票价格稳定性——来自中国融资融券市场的自然实验［J］. 金融研究, 2015(6): 173-188.Li Zhisheng, Du Shuang, Lin Bingxuan. Short selling and stock-price stability: A natural experiment from the margin trading market of China［J］. Journal of Financial Research, 2015(6): 173-188.
［16］褚剑, 方军雄. 中国式融资融券制度安排与股价崩盘风险的恶化［J］. 经济研究, 2016, 51(5): 143-158.Chu Jian, Fang Junxiong. Margin-trading, short-selling and the deterioration of crash risk［J］. Economic Research Journal, 2016, 51(5): 143-158.
［17］刘烨, 方立兵, 李冬昕, 等. 融资融券交易与市场稳定性:基于动态视角的证据［J］. 管理科学学报, 2016, 19(1): 102-116.Liu Ye, Fang Libing, Li Dongxin, et al. Margin trading and the stability of stock market: A dynamic perspective［J］. Journal of Management Sciences in China, 2016, 19(1): 102-116.
［18］朱宏泉, 余江, 陈林. 异质信念、卖空限制与股票收益——基于中国证券市场的分析［J］. 管理科学学报, 2016, 19(7): 115-126.Zhu Hongquan, Yu Jiang, Chen Lin. Heterogeneous beliefs, short-sale constraints and stock returns: Evidence from China［J］. Journal of Management Sciences in China, 2016, 19(7): 115-126.
［19］肖琳,赵大萍,房勇.中国融资融券业务处置效应的实证分析［J］.中国管理科学,2018,26(9):41-51.Xiao Lin, Zhao Daping, Fang Yong. An empirical analysis on disposition effect of Chinese margin trading［J］. Chinese Journal of Management Science, 2018,26(9):41-51.
［20］胡伦超,余乐安,汤铃.融资融券背景下证券配对交易策略研究——基于协整和距离的两阶段方法［J］.中国管理科学,2016,24(4):1-9.Hu Lunchao, Yu Le’an, Tang Ling. Pairs trading strategy research considering short selling and margin trading: A two-stage approach based on cointegration and distance methods［J］. Chinese Journal of Management Science, 2016,24(4):1-9.
［21］李锋森.我国融资融券助涨助跌了吗?--基于波动非对称性视角［J］.金融研究,2017(2):147-162.Li Fengsen. Does margin trading aggravate stock market fluctuation? From the perspective of asymmetric volatility［J］. Journal of Financial Research, 2017(2):147-162.
［22］陈康,刘琦.股价信息含量与投资-股价敏感性——基于融资融券的准自然实验［J］.金融研究,2018(9):126-142.Chen Kang, Liu Qi. Stock price informativeness and investment-price sensitivity: Evidence from a natural experiment of margin trading［J］. Journal of Financial Research, 2018(9):126-142.
［23］郭彪,刘普阳,姜圆.卖空限制与收益可预测性——A股融资融券制度的证据［J］.金融研究,2020(8):169-187.Guo Biao, Liu Puyang, Jiang Yuan. Short selling restriction and return predictability: Evidence from China’s A-share margin trading and short selling［J］. Journal of Financial Research, 2020(8):169-187.
［24］朱光伟,蒋军,王擎.信用账户杠杆、投资者行为与股市稳定［J］.经济研究,2020,55(2):84-100.Zhu Guangwei, Jiang Jun, Wang Qing. Margin account leverage, investor behavior and stock market stability［J］. Economic Research Journal, 2020, 55(2):84-100.
［25］李科, 徐龙炳, 朱伟骅. 卖空限制与股票错误定价——融资融券制度的证据［J］. 经济研究, 2014, 49(10): 165-178.Li Ke, Xu Longbing, Zhu Weihua. Short-sale constraints and stock mispricing: The evidences from the margin transactions institution［J］. Economic Research Journal, 2014, 49(10): 165-178.
［26］苏冬蔚, 倪博. 转融券制度、卖空约束与股价变动［J］. 经济研究, 2018, 53(3): 110-125.Su Dongwei, Ni Bo. Qualified securities for short-sale refinancing, short-sale constraints and stock prices［J］.Economic Research Journal, 2018, 53(3): 110-125.
［27］朱光伟,蒋佳融,芦东.融券约束和市场定价效率——基于我国股票市场转融通的准自然实验证据［J］.经济理论与经济管理,2020(1):42-54.Zhu Guangwei, Jiang Jiarong, Lu Dong. Short sale constraint and market efficiency: Evidences from the quasi natural experiment of margin financing loan in Chinese stock market［J］. Economic Theory and Business Management,2020(1):42-54.
［28］ Shiller R J. Do stock prices move too much to be justified by subsequent changes in dividends［J］. American Economic Review, 1981, 71: 421-436.
［29］ LeRoy S F, Porter R D. The present-value relation: Tests based on implied variance bounds［J］. Econometrica, 1981, 49(3): 555-574.
［30］ Roll Richard. R2［J］. Journal of Finance, 1988, 43: 541-566.
［31］ Jones C M, Lamont O A. Short-sale constraints and stock returns［J］. Journal of Financial Economics, 2002, 66(2): 207-239.
［32］ Saffi P A, Sigurdsson K. Price efficiency and short selling［J］. Review of Financial Studies, 2011, 24(3): 821-852
［33］ Christophe S E, Ferri M G, Angel J J. Short-selling prior to earnings announcements［J］. The Journal of Finance, 2004, 59(4): 1845-1876.
［34］ Christophe S E, Ferri M G, Hsieh J. Informed trading before analyst downgrades: Evidence from short sellers［J］. Journal of Financial Economics, 2010, 95(1): 85-106.
［35］ Boehme R D, Danielsen B R, Sorescu S M. Short-sale constraints, differences of opinion, and overvaluation［J］. Journal of Financial and Quantitative Analysis, 2006, 41(2): 455-487.
［36］ Boehmer E, Jones C M, Zhang X. Which shorts are informed?［J］. The Journal of Finance, 2008, 63(2): 491-527.
［37］ Diether K B, Lee K H, Werner I M. Short-sale strategies and return predictability［J］. Review of financial Studies, 2009, 22(2): 575-607.
［38］ Rapach D E, Ringgenberg M C, Zhou G. Short interest and aggregate stock returns［J］. Journal of Financial Economics, 2016, 121(1): 46-65.
［39］孟庆斌, 黄清华. 卖空机制是否降低了股价高估?——基于投资者异质信念的视角［J］. 管理科学学报, 2018,21(4): 43-66.Meng Qingbin, Huang Qinghua. Does short selling decrease stock overvaluation: A perspective of heterogeneous beliefs［J］. Journal of Management Sciences in China, 2018,21(4): 43-66.
［40］俞红海, 陈百助, 蒋振凯, 等. 融资融券交易行为及其收益可预测性研究［J］. 管理科学学报, 2018, 21(1): 72-87.Yu Honghai, Chen Baizhu, Jiang Zhenkai, et al. Margin trading and stock return predictability［J］. Journal of Management Sciences in China, 2018, 21(1): 72-87.
［41］ Chang E C, Luo Y, Ren J. Short-selling, margin-trading, and price efficiency: Evidence from the Chinese market［J］. Journal of Banking & Finance, 2014, 48: 411-424.
［42］许静霞,王苏生,熊云.我国股票市场中的知情卖空交易现象研究［J］.中国管理科学,2016,24(S1):373-382.Xu Jingxia, Wang Susheng, Xiong Yun. Informed short selling phenomenon in China’s stock market［J］. Chinese Journal of Management Science, 2016,24(S1):373-382.
［43］ Boehmer E, Huszar Z R, Jordan B D. The good news in short interest［J］. Journal of Financial Economics, 2010, 96(1): 80-97.
［44］ Karpoff J M, Lou X. Short sellers and financial misconduct［J］. The Journal of Finance, 2010, 65(5): 1879-1913.
［45］ Massa M, Zhang B, Zhang H. The invisible hand of short selling: Does short selling discipline earnings management?［J］. Review of Financial Studies, 2015, 28(6): 1701-1736.
［46］ Fang V W, Huang A H, Karpoff J M. Short selling and earnings management: A controlled experiment［J］. The Journal of Finance, 2016, 71(3): 1251-1294
［47］陈晖丽, 刘峰. 融资融券的治理效应研究——基于公司盈余管理的视角［J］. 会计研究, 2014(9): 45-52+96.Chen Huili, Liu Feng. The governance roles of margin trading: A perspective of earnings management［J］. Accounting Research, 2014(9): 45-52+96.
［48］李志生, 李好, 马伟力, 等. 融资融券交易的信息治理效应［J］. 经济研究, 2017, 52(11): 150-164.Li Zhisheng, Li Hao, Ma Weili, et al. Information governance effects of short selling and margin trading［J］. Economic Research Journal, 2017, 52(11): 150-164.
［49］李春涛, 刘贝贝, 周鹏. 卖空与信息披露:融券准自然实验的证据［J］. 金融研究, 2017(9): 130-145.Li Chuntao, Liu Beibei, Zhou Peng. Short selling and corporate information disclosure: Evidence from a quasi-nature experiment on margin trading in China［J］. Journal of Financial Research, 2017(9): 130-145.
［50］陈胜蓝, 卢锐. 卖空压力与控股股东私利侵占——来自卖空管制放松的准自然实验证据［J］. 管理科学学报, 2018, 21(4): 67-85.Chen Shenglan, Lu Rui. Short selling pressure and controlling shareholder’s exploitation: Evidence from a quasi-natural experiment［J］. Journal of Management Sciences in China, 2018, 21(4): 67-85.
［51］陆瑶,彭章,冯佳琪.融资融券对上市公司治理影响的研究［J］.管理科学学报,2018,21(11):92-111.Lu Yao, Peng Zhang, Feng Jiaqi. Impacts of margin trading and short selling on Chinese listed firms’ corporate governance［J］. Journal of Management Sciences in China, 2018, 21(11): 92-111.
［52］ Hsiao C, Steve Ching H, Ki Wan S. A panel data approach for program evaluation: Measuring the benefits of political and economic integration of Hong Kong with mainland China, Journal of Applied Econometrics, 2012, 27(5): 705-740.
［53］ Garman M B, Klass M J. On the estimation of security price volatilities from historical data［J］. Journal of business, 1980, 53(1): 67-78.