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Miller认为开放卖空交易将引入异质信念,悲观投资者的预期通过卖空交易释放到市场中,从而缓解股票定价过高的现象.本文利用我国股票市场5次主要融资融券名单调整的数据对这一假说进行检验,发现市场中异质信念在卖空交易开放后显著增强,异质信念的引入对股票定价过高产生一定的缓解作用.此外,由于我国同时引入了融资交易和卖空交易两种机制,本文对两种交易机制进行检验,排除融资交易的影响,最终确认卖空才是引入异质信念和缓解股票定价过高的主要原因.本文研究结果表明卖空交易对提高中国股票市场质量具有促进作用.
Miller believes that open short selling will introduce heterogeneous beliefs, and pessimistic investors’ expectations will be released into the market through short sales, thus alleviating the over-pricing of stocks.In this paper, we use the data of the five major domestic securities market to adjust the list This hypothesis is tested and found that heterogeneous beliefs in the market significantly increased after the short sale, the introduction of heterogenous beliefs on the stock pricing over a certain ease.At the same time, due to the introduction of both our financing transactions and short sales This paper examines the two trading mechanisms to exclude the impact of financing transactions, and ultimately confirms the short sale is the main reason for the introduction of heterogeneous beliefs and to ease the over-pricing of the stock.The results of this study show that short selling to improve China The quality of the stock market has a catalytic role.