经济与管理研究2018，Vol.39Issue(5)：38-50,13.DOI:10.13502/j.cnki.issn1000-7636.2018.05.004
融资交易与融券交易对中国股票定价效率的影响一致吗?
Is the Effects of Short Selling and Margin Trading on China's Stock Pricing Efficiency Consistent?
摘要
Abstract
China introduced the mechanisms off margin trading and short selling to develop stock markets in 2010. However,whether the two mechanisms improved pricing efficiency have aroused a great deal of debate among the financial professionals.Moreover,the academic researches mainly focus on the effect of short selling,but few on the effect of margin trading.Thus,this paper investigates the effects of both mechanisms on the pricing efficiency,especially the different effects between them.It is found that pricing efficiency is improved after the implementation of short selling and margin trading in 2010.However,the short selling and margin trading have different effects on the pricing efficiency.More specifically,the short selling improved the pricing efficiency,but margin trading worsened the pricing efficiency. Moreover,compared to stocks with lower pricing error,the pricing efficiency of stocks with higher pricing error can improve more by the short selling mechanism,while the margin trading exerts no different effects on the pricing efficiency between the stocks with higher and lower pricing errors.关键词
融资融券/卖空/杠杆交易/定价效率/价格延迟Key words
margin trading and securities lending/short selling/leverage trding/price efficiency/price delay分类
管理科学引用本文复制引用
吕大永,吴文锋..融资交易与融券交易对中国股票定价效率的影响一致吗?[J].经济与管理研究,2018,39(5):38-50,13.基金项目
国家自然科学基金项目"中国证券投资基金公司治理结构变革对其业绩和投资行为的影响研究"(71772121) （71772121）
国家自然科学基金优秀青年基金项目"公司金融与公司治理"(71222203) （71222203）
