融资融券制度对股票特征组合情绪β的影响

融资融券制度的推出为理性交易者提供了套利的工具,但其杠杆效应可能引致情绪交易者更多的投机行为,从而对股票的套利难度和投机程度产生双向作用,影响情绪对其股价的作用.本文以试点期融资融券标的及前四次扩容新增标的为研究对象构建了四类股票特征组合,并利用情绪β来测度情绪对股价的影响程度,考察了各特征组合在允许融资融券交易前后的整体情绪β以及高、低情绪期情绪β的变化.结果表明,融资融券制度对各特征组合的整体情绪β几乎没有影响.但将市场划分为高、低情绪期后,融资融券制度显著降低了各特征组合的低情绪期情绪β,而对高情绪期情绪β大多没有影响.进一步分析表明,尽管本文提供了一些情绪横截面效应的证据,然而融资融券的影响并不存在明显的横截面差异.此外,本文还发现,无论是在股票被纳入融资融券标的之前还是之后的时期,各特征组合的情绪β在高、低情绪期本身就存在明显差别.

The impact of short-selling and margin-trading program on the sentiment Betas of characteristics-based portfolios

The introduction of short-selling and margin-trading program, which plays a role in the difficulty of arbitrage and speculative appeal of stocks mutually, provided an arbitrage tool for the rational arbitrageurs, but it may incur more speculative activities of the noise trades, affecting the impact of investor sentiment on the share price. Based on the pilot stocks and the four expansions of new shares, we formed four kinds of characteristics-based portfolios, through which we examined the changes of the overall sentiment betas and the high-sentiment betas as well as low-sentiment betas since margin trading began by using the sentiment beta to measure the impact of sentiment on the stock price. Results showed that short-selling and margin-trading program has little effect on the overall sentiment beta. However, after dividing the market into a high and low sentiment period, the short-selling and margin-trading program significantly reduced the low-sentiment betas of the characteristics-based portfolios, while most of the high-sentiment betas were not affected. Further analysis indicated that there is no significant cross-sectional impact of margin trading, although the results provided some evidences that a broad-based wave of sentiment has cross-sectional effects. In addition, we also noticed that, whether or not the stocks were allowed for margin trading, the sentiment betas of the characteristics-based portfolios were significantly different in the high-sentiment and low sentiment periods.