| 卖空交易与异质信念:基于中国股票市场的证据 |
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| 引用本文： | 熊熊,高雅,冯绪.卖空交易与异质信念:基于中国股票市场的证据[J].系统工程理论与实践,2017,37(8):1937-1948. |
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| 作者姓名： | 熊熊 高雅 冯绪 |
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| 作者单位： | 1. 天津大学 管理与经济学部, 天津 300072;2. 中国社会计算研究中心, 天津 300072 |
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| 基金项目： | 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） |
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| 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.
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| 关 键 词： | 中国市场 股价调整 卖空交易 异质信念 |
| 收稿时间： | 2016-12-26 |
Short-sales and heterogeneous beliefs:Evidence fromChina stock market |
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| XIONG Xiong,GAO Ya,FENG Xu.Short-sales and heterogeneous beliefs:Evidence fromChina stock market[J].Systems Engineering —Theory & Practice,2017,37(8):1937-1948. |
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| Authors: | XIONG Xiong GAO Ya FENG Xu |
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| Institution: | 1. College of Management and Economics, Tianjin University, Tianjin 300072, China;2. China Center for Social Computing and Analytics, Tianjin 300072, China |
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| Abstract: | 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. |
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| Keywords: | China stock market stock price adjustment short sale heterogeneous beliefs |
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