摘要
融资融券交易制度的推出对中国A股市场产生了重大影响,有研究表明融资融券交易制度在异质信念和较高交易成本的情形下,会驱赶噪声交易者,使得交易更多来自于知情交易者。然而,国内市场由于投机气氛较浓,融资融券交易也可能为投机者利用作为短线交易工具。本文通过考察国内A股上市公司在超预期与未达预期年报两种情形下异常融资融券交易的变化来研究融资融券交易的主要驱动因素。利用2011年到2014年的年报数据与分析师预测数据,我们发现融券交易与负面年报存在显著正相关关系,而融资交易与正面年报存在显著正相关关系,表明知情交易者可能通过融资融券交易利用提前获知的年报信息来牟利。我们的分样本回归结果表明,融资融券交易与市场表现密切相关,在市场交易活跃,部分融资融券交易可能由投资者的投机行为导致。
The launch of margin trading and short selling mechanism is widely believed to be able to improve the trading mechanism,market liquidity and pricing efficiency.However,some studies argue that the margin trading and short selling mechanism may bring more informed trading and then increase the degree of information asymmetry,especially in the market with serious heterogeneous beliefs and high transaction costs.In this paper,we investigate whether the recently introduced margin trading and short selling mechanism could increase informed trading in Chinese stock markets by analyzing the relationship between the abnormal change of margin trading and short selling before the announcement of annual reports.We find a significant positive correlation between the abnormal margin trading(short selling)and the positive(negative)annual report using the samples from 2011 to 2014.The results imply that there exist some informed traders who make profit from their illegal information through margin trading and short selling.However,we also find that the margin trading and short selling has a close relationship with the stock performance,implying that part of leverage trading comes from speculators.
作者
陈海强
范云菲
任珏佳
Chen Haiqiang;Fan Yunfei;Ren Juejia
出处
《金融发展》
2019年第2期1-13,共13页
Financial Development
关键词
融资融券
年报公布
知情交易
事件研究
Margin Trading and Short Selling
Annual Reports
Informed Trading
Event Study
