【作者】 许静霞； 王苏生； 熊云；

【Author】 XU Jing-xia;WANG Su-sheng;XIONG Yun;Shenzhen Graduate School,Harbin Institute of Technology;Agricultural Bank of China Dongguan Branch;

【机构】 哈尔滨工业大学深圳研究生院； 中国农业银行东莞分行；

【摘要】 融券卖空交易是目前我国股票市场中唯一的针对特定股票的卖空交易方式,由于其保证金杠杆交易的特性,对知情交易者有较大的吸引力。本文采用事件研究法选择样本股票,从融券卖空角度对我国股票市场中的知情卖空交易现象进行研究,基于单因素和多因素模型,通过分析利空消息披露前后融券卖空量的变化、提前卖空量与股价相关变量之间的关系情况等来对本文提出的假设进行实证检验,结果证实了在利空消息发生前知情交易者就已经获悉了利空消息的利空程度并且基于利空程度的大小提前进行了卖空交易。同时本文还基于利空事件的类型及股票的外部特征,通过分组回归的方式对易于发生知情卖空交易的股票特征进行了筛选分析,为证券监管者监控知情交易提供参考。更多还原

【Abstract】 Securities lending transaction is the only way of shorting stocks in China s stock market.Because of its margin trading feature,it has great appeal to informed traders.By using the event study method on account of certain regulations to choose our sample stocks during the period of 2012 — 2015,we did an empirical study on informed trading in securities lending transaction.Based on univariate analysis and multifactor model,we analyzed the change of abnormal volume,the relationship among pre-announcement abnormal short-selling and share price variables before and after bad news were disclosed,to verify our hypothesis.We conformed that informed traders had learned the content of bad news and shorted based on the content before bad news were disclosed.Through group regression,we also summarized the external characteristics of listed company which is prone to be informed shorted.We hope our research would provide references for securities regulators monitoring informed trading.更多还原