融資融券制度與定價效率——中國A股市場之實證研究

Abstract

融資融券這項制度登陸A股已有10年，其初衷是為了引入賣空這一機制，讓股價可以反應悲觀投資者的看法，改善股票定價效率，進而提高資本市場運行效率。 本文將基於雙重差分模型（DID），以融資融券第五次擴容（2016.12.12）和第六次擴容（2019.08.19）之標的證券為原始處理組與對照組，逐年運用傾向得分匹配（PSM），構建可以解決因樣本選擇偏誤而導致的內生性問題之樣本，以個股特質性訊息含量、訊息吸收速度、股價波動性作為定價效率的三大衡量面向，為“融資融券制度的引入是否有助於改善A股股票定價效率”這一主題提供一些最新的經驗證據。同時，將十大流通股東持股率作為籌碼集中度指標（SCR），作為一個新的控制變數，納入回歸模型，考察該指標對於定價效率有何影響。 本文研究發現，對於考察的定價效率的三個面向，融資融券制度均未起到顯著的改善作用，而籌碼集中度對於定價效率中個股特質性訊息含量和股價波動性這兩大面向有正面影響，對訊息吸收速度這一面向有負面影響。 本文還將探討融資融券制度未及預期的背後成因並給出相關政策建議。

Margin trading has been in A-share market for 10 years. Its original intention was to introduce a mechanism of short selling, so that stock prices can reflect pessimistic investors' views, improving pricing efficiency of stocks, and then enhance the efficiency of capital market. This paper, based on difference-in-difference model (DID), chooses the securities of the fifth (2016.12.12) and sixth expansion (2019.08.19) of margin trading as the original treatment group and control group, then uses propensity score matching (PSM) annually to construct a set of sample data which can solve the endogenous problem caused by sample selection bias. Idiosyncratic information content of stock, velocity of information absorption, and volatility of stock prices are used as three major measurement aspects in this thesis, which can provide some new empirical evidence about the topic--'whether the launch of margin trading help improve the pricing efficiency of A shares. 'Meanwhile, the shareholding ratio of top ten circulating shareholders is defined as stock convergence rate (SCR), a new control variable, which is added into the regression model to examine how this indicator affects the pricing efficiency. The research finds that the launch of margin trading did not significantly improve the three aspects of pricing efficiency under consideration, while the stock convergence rate has positive impact on the idiosyncratic information content of stock and the volatility of stock prices. It also has negative impact on the velocity of information absorption. This thesis also discusses the reasons why margin trading didn’t play the expected role and give some relevant policy recommendations.