关键词: 融资融券, 卖空摩擦, 股价同步性, 定价效率

Abstract: One of the most important characteristics of China’s margin trading institution is the short-sale frictions. How do these short-sale frictions affect the market pricing efficiency has not yet been studied. This paper uses the DID-FE model, the treatment effect model and the PSM-DID model to study the impact of short-sale frictions in margin trading on the market pricing efficiency and its mechanism. Empirical analysis shows that short-sale frictions hinder traders from exploring firm-specific information, and encourages them to trade on market or industry information to excess. This delays firm-specific information being included into stock prices, and accelerates the market or industry information being included into stock prices, which eventually increases stock price synchronicity and hinders the improvement of market pricing efficiency. The conclusions of this paper provide an important reference for regulators to reasonably increase the number of stocks eligible for margin trading and reduce the transaction cost and participation threshold. This will help to construct the efficient market environment.

Key words: Margin Trading, Short-sale Friction, Stock Price Synchronicity, Price Efficiency