融券卖空对股市波动性的影响研究OA

In order to enhance the market's ability to withstand short selling and other activities,further stabilize stock price fluctuations,and assess the effectiveness of measures implemented by the China Securities Regulatory Commission,including the suspension of new additions,restrictions on intra-day turnover trading,and intensified efforts to combat violations,this study analyzed the influencing factors and impact of short selling on stock price indices,and explored effective policies to stabilize the stock market.Considering the exogenous policy shocks resulting from the implementation of Interim Measures for the Supervision and Administration of Securities Lending and Borrowing Business and Interim Rules of China Securities Finance Corporation Limited on Securities Lending and Borrowing Business(hereinafter referred to as the ″New Regulatory Rules on Securities Lending and Borrowing″),1 777 target stocks for securities lending as the treatment group and 2 344 non-target stocks as the control group were selected to construct a difference-in-differences(DID)model to analyze the policy effects.The results show that the new regulations on securities lending significantly reduced A-share volatility.The contributions of intra-day turnover trading frequency and changes in short-selling balances to volatility are 21.3%and 17.3%,respectively.The risk coefficient is highly related to corporate stock volatility,and the estimated coefficient of the new regulations on securities lending on stock volatility is-0.438,which passes the 1%significance level test.The New Regulatory Rules on Securities Lending and Borrowing can reduce asymmetric stock price fluctuations by reducing arbitrage opportunities and suppressing speculative trading.The findings provide scientific evidence and innovative perspectives for regulatory authorities to stabilize stock price fluctuations.