转融券制度、卖空约束与市场稳定性

The debate on the effect of short-sale constraints on liquidity, price discovery and market stability has been ongoing among academic researchers, practitioners and regulatory authorities. However, extant research usually does not separate the demand- and supply-side factors affecting short sales. Thus, the endogeneity problem between stock prices and measures of short-sale constraint persists. To address the endogeneity problem, this project proposes to make use of a natural experiment based on Qualified Securities for Short-Sale Refinancing (QSSR), which is a unique trading mechanism that only affects the supply of securities available for short sales in Chinese capital markets. First, the project identifies changes to the QSSR list by the China Securities Finance Corporation. Then, for each stock added to the QSSR list (the treatment group), this project finds a short-sale eligible non-QSSR stock with similar firm characteristics (the control group) based on propensity score matching technique. As a result, both treatment group and control group consist of securities available for short sales and with similar firm attributes. Finally, using difference-in-difference methodology, this project investigates whether and to what extent changes in the QSSR list lead to exogenous increases in short-sale activities which in turn affect liquidity, return volatilities, stock overvaluation, asymmetric characteristics of return distribution and crash risk. It is expected that the theoretical and empirical knowledge generated from this project will shed new light on understanding the economic effects of short sale, improving the reform of trading rules, and building a solid foundation in capital markets for attaining the national strategy of “mass entrepreneurship and innovation”.

有关卖空约束对流动性、价格发现和市场稳定性的影响，学界、实业界和监管部门一直不断予以研究和探讨。但是，已有文献通常未对影响证券借贷市场供给面与需求面的因素加以分离，导致卖空约束指标与体现资产供求均衡关系的股价之间产生相互作用的内生关系，因而研究结论存在较大争议。为此，本项目以我国资本市场独特的转融券制度为外生变量，以转融券扩容为公共事件，首次真正实现从供给面衡量卖空约束并构造自然实验，在此基础上通过倾向评分匹配法给每只新增转融券股配置相应的非转融券股，形成处理组和控制组并保证两组标的均为可融券股，然后运用双重差分计量方法，研究转融券扩容后卖空资产供给外生增加对股票流动性、收益率分布、股价高估程度、收益率风险特征非对称性和股价崩盘风险的影响。预计本项目对理解卖空交易的经济后果、改革与完善交易制度、掌握资本市场的运行规律并以此推动“大众创业、万众创新”的国家战略均具有重要的理论价值和现实意义。

有关我国股市卖空约束与股价变动的研究，已有文献主要集中在考察融资融券制度下两融标的增加对股价的影响。例如，许红伟和陈欣（2012）发现两融业务无法显著改善定价效率，但有助于降低高市值、低换手率和低市盈率股票的偏度并减少股价暴跌的概率；Zhao et al. (2014) 发现，两融标的扩容后，新增两融股收益率的波幅、偏度和极端值均减少；李志生等（2015）发现两融标的推出后，股价的发现效率显著改善，而且融券交易量与定价效率之间呈正相关关系。本项目认为，从融资融券制度的视角考察卖空约束与股价变动存在三个问题。首先，融资与融券业务性质不同，两者对股价、市场质量和收益风险特征的影响明显有别。其次，融券交易量变动既可能源自供给面因素（如卖空约束减少），也可能源自需求面因素（如市场负面信息增加），因此仍然无法规避卖空交易与股价变动之间互为内生的问题。最后，监管部门新增或剔除两融标的时，通常以规模、流动性、波动性和股价等公司层面指标为决策依据，导致股价变动可进一步影响个股能否成为两融标的。换言之，两融标的扩容很难作为研究卖空约束的纯外生事件。为此，本项目以我国资本市场独特的转融券扩容为外生事件构造自然实验，运用双重差分计量方法研究卖空资产供给增加对收益率变动、股价高估程度和收益率风险特征非对称性的影响，发现卖空约束减少后，股价波动性和极端负收益的发生频率均上升，同时，转融券股的日均异常收益和累计异常收益均显著低于非转融券股，而且投资者信念的异质性程度越高，转融券股累计异常收益低于非转融券股的幅度就越大，另外，市场下跌时转融券股的β系数上升而上涨时β系数则下降。结果表明，卖空交易既可抑制资产价格泡沫、减小市场风险的非对称性、完善价格发现功能并增强市场稳定性，也可扩大股价波幅、加剧市场暴跌并诱发市场危机，因此监管部门只有不断完善交易制度并严格执法，才能为推动“大众创业、万众创新”的国家战略奠定坚实的资本市场基础。