作　者：于瑞安 吴秋实
关键词：卖空机制；定价效率；融资融券；股指期货；股票期权
摘　要：

我国证券市场作为新兴市场，经历了卖空市场逐渐稳步发展的十年历程，卖空机制从无到有，可卖空标的股票由少到多。我国证券市场希望通过引入卖空机制起到稳定市场价格与提高市场效率的作用，但卖空机制也可能被投机者利用为“追涨杀跌”的工具。我国目前的卖空机制有三种创新型交易形式，它们为融资融券交易、股指期货交易和股票期权交易，这三种创新型交易形式均可提高我国股票市场定价效率。卖空机制标的股票数量有限、卖空市场交易不够活跃等因素会导致卖空机制对股票市场定价效率的提高程度有限。我国股票市场状态会对卖空机制的价格发现功能产生影响，在极端市场行情下，股指期货与股票期权交易仍具有提高股票市场定价效率的功能，但限制性的股指期货与股票期权交易会弱化价格发现功能，融资融券交易不具有提高股票市场定价效率的功能，融资交易与融券交易的极度失衡导致融资融券交易的价格发现功能丧失，并成为股市暴涨暴跌的“助推手”。

 

Chinese Short Selling Mechanisms and Market Pricing Efficiency

Yu Ruian（Hubei University of Technology） Wu Qiushi（Hubei University）

Abstract As an emerging market, Chinese securities market has experienced the development of short selling mechanism from nothing to existence, with the number of short selling underlying assets changing from less to more and with a steady development of short selling market in the past ten years. Chinese securities market hopes to stabilize market prices and improve market efficiency through the introduction of short selling mechanism. However, the short selling mechanism may also be used by speculators as a tool to "buying the winners". In Chinese securities market, margin trading, stock index futures trading and stock index options trading are three innovative trading forms in short selling mechanism. All the three innovative trading forms have increased the pricing efficiency of stock market. However, the increment of stock market pricing efficiency is limited due to the limited number of underlying stocks and the inactivity of short selling market. The state of Chinese stock market has an impact on the price discovery function of short selling mechanism. During the stock market crash, the stock index futures and stock index options still have the function of in‐ creasing the efficiency of stock market pricing, but the restricted trading of stock index futures and stock index options weakens the price discovery function. However, during the stock market crash, the margin trading mechanism has no function of increasing the stock market pricing efficiency, the extreme imbalance be‐ tween margin trading and short selling trading leads to the loss of price discovery function of margin trading mechanism, and becomes the "booster" of stock market boom and slump.

Key words      short selling mechanism; pricing efficiency; margin trading; stock index futures; stock index options

 

■    作者简介 于瑞安，经济学博士，湖北工业大学经济与管理学院讲师；湖北 武汉 430068；吴秋实，经济学博士，湖北大学商学院教授；湖北 武汉 430062。

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