经济管理学刊（中英文版）

融资融券交易是否提高了资本市场的信息效率？— 来自中国的证据

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作者：Yike Wang

摘要：

On March 31, 2010, China formally introduced a margin trading system, which announced that China's capital market has completed the transformation from a unilateral transaction model to a bilateral transaction model with a short-selling mechanism. However, the current development of China's margin trading and securities lending businesses is seriously unbalanced, and the scale of financing far exceeds the scale of securities lending. The short selling effect of securities lending exchanges is extremely limited, which to some extent violates the original intention of introducing the system. In order to help margin trading and securities lending to correct a healthy and sustainable development path, this article uses stock price synchronicity as a proxy indicator to measure the information efficiency of the capital market, explores the impact of the margin trading system on the information efficiency of the capital market, and study the detailed characteristics and economic consequences of the margin trading system. Aiming at this topic, this article analyzes the relationship between margin financing and securities lending and stock price synchronicity. Finally, it analyzes the influence of margin financing and securities lending system on stock price synchronicity from three dimensions of corporate governance, external supervision, and institutional environment mechanism. In terms of empirical research, this article takes advantage of the “quasi-natural experiment” provided by the gradual opening of margin trading and securities lending in China’s securities market, and selects listed companies on the Shanghai and Shenzhen stock exchanges from 2007 to 2019 as the research objects, starting from the perspective of stock price synchronicity, and passing The DID-FE model studies the impact of the margin trading and securities lending system on the information efficiency of the capital market. It uses three methods: parallel trend and dynamic testing, PSM-DID analysis, and placebo testing for robustness testing to solve the endogeneity problem of the experiment. This article also conducts deeper research on the subject based on the two dimensions of the impact mechanism of margin financing and securities lending and the size of the company, and finally discusses the economic impact of margin financing and securities lending on the level of company innovation.

关键词：Margin Trading; Stock Price Synchronicity; Capital Market Information Efficiency

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