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融券卖空机制 、转融券扩容与正反馈交易行为——基于 A 股市场基金的分析 |
Short selling Mechanism of Securities Lending, Expansion of Securities Refinancing and Positive Feedback Trading Behavior Based on the Analysis of A share Market Funds |
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DOI: |
中文关键词: 融券卖空机制;自然实验;正反馈交易行为;转融券扩容 |
英文关键词: Short selling mechanism of securities lending; natural experiment; positive feedback trading behavior; refinancing bonds expansion |
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中文摘要: |
论文基于当前融券交易制度逐渐开展的特殊条件,使用MT指标度量基金正反馈交易的强度,探究融券卖空机制对A股市场基金正反馈交易行为是否具有抑制作用。研究发现:融券卖空机制对基金正反馈交易行为具有显著抑制作用,在波动率越高或市值越大的股票中作用越强,但是市值影响边际递减。在融券与转融券有序扩容中,监管部门应加强信息披露监管,防止卖空滥用;同时稳步扩大融券标的范围和转融券规模,降低融券交易费用和参与门槛,提高股票市场的信息效率。 |
英文摘要: |
Based on the special conditions of the gradual development of the current securities lending trading system, this paper uses MT index to measure the strength of positive feedback trading of funds and explores whether the short selling mechanism of securities lending exerts an inhibitory effect on the positive feedback trading behavior of the A share market funds. The results show that the short selling mechanism has an inhibitory effect on the positive feedback trading behavior of funds, and it has a stronger effect on the stocks with higher volatility or greater market value, but the marginal effect of market value is diminishing. In the orderly expansion of securities lending and refinancing, the supervision of information disclosure should be strengthened to prevent short selling abuse. At the same time, we should steadily expand the scope of margin trading and the scale of securities lending, reduce the transaction costs, lower the threshold of participation, and improve the information efficiency of the stock market. |
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