融资融券制度对股票特征组合情绪β的影响
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摘要
融资融券制度的推出为理性交易者提供了套利的工具,但其杠杆效应可能引致情绪交易者更多的投机行为,从而对股票的套利难度和投机程度产生双向作用,影响情绪对其股价的作用.本文以试点期融资融券标的及前四次扩容新增标的为研究对象构建了四类股票特征组合,并利用情绪β来测度情绪对股价的影响程度,考察了各特征组合在允许融资融券交易前后的整体情绪β以及高、低情绪期情绪β的变化.结果表明,融资融券制度对各特征组合的整体情绪β几乎没有影响.但将市场划分为高、低情绪期后,融资融券制度显著降低了各特征组合的低情绪期情绪β,而对高情绪期情绪β大多没有影响.进一步分析表明,尽管本文提供了一些情绪横截面效应的证据,然而融资融券的影响并不存在明显的横截面差异.此外,本文还发现,无论是在股票被纳入融资融券标的之前还是之后的时期,各特征组合的情绪β在高、低情绪期本身就存在明显差别.
The introduction of short-selling and margin-trading program, which plays a role in the difficulty of arbitrage and speculative appeal of stocks mutually, provided an arbitrage tool for the rational arbitrageurs, but it may incur more speculative activities of the noise trades, affecting the impact of investor sentiment on the share price. Based on the pilot stocks and the four expansions of new shares,we formed four kinds of characteristics-based portfolios, through which we examined the changes of the overall sentiment betas and the high-sentiment betas as well as low-sentiment betas since margin trading began by using the sentiment beta to measure the impact of sentiment on the stock price. Results showed that short-selling and margin-trading program has little effect on the overall sentiment beta. However,after dividing the market into a high and low sentiment period, the short-selling and margin-trading program significantly reduced the low-sentiment betas of the characteristics-based portfolios, while most of the high-sentiment betas were not affected. Further analysis indicated that there is no significant crosssectional impact of margin trading, although the results provided some evidences that a broad-based wave of sentiment has cross-sectional effects. In addition, we also noticed that, whether or not the stocks were allowed for margin trading, the sentiment betas of the characteristics-based portfolios were significantly different in the high-sentiment and low sentiment periods.
The introduction of short-selling and margin-trading program, which plays a role in the difficulty of arbitrage and speculative appeal of stocks mutually, provided an arbitrage tool for the rational arbitrageurs, but it may incur more speculative activities of the noise trades, affecting the impact of investor sentiment on the share price. Based on the pilot stocks and the four expansions of new shares,we formed four kinds of characteristics-based portfolios, through which we examined the changes of the overall sentiment betas and the high-sentiment betas as well as low-sentiment betas since margin trading began by using the sentiment beta to measure the impact of sentiment on the stock price. Results showed that short-selling and margin-trading program has little effect on the overall sentiment beta. However,after dividing the market into a high and low sentiment period, the short-selling and margin-trading program significantly reduced the low-sentiment betas of the characteristics-based portfolios, while most of the high-sentiment betas were not affected. Further analysis indicated that there is no significant crosssectional impact of margin trading, although the results provided some evidences that a broad-based wave of sentiment has cross-sectional effects. In addition, we also noticed that, whether or not the stocks were allowed for margin trading, the sentiment betas of the characteristics-based portfolios were significantly different in the high-sentiment and low sentiment periods.
引文
[1]Baker M, Wurgler J. Investor sentiment and the cross-section of stock returns[J]. Journal of Finance, 2006, 61(4):1645-1680.
[2]Hribar P, McInnis J. Investor sentiment and analysts'earnings forecast errors[J]. Management Science, 2012,58(2):293-307.
[3]Ben-Rephael A, Kandel S, Wohl A. Measuring investor sentiment with mutual fund flows[J]. Journal of Financial Economics, 2012, 104(2):363-382.
[4]Mian G M, Sankaraguruswamy S. Investor sentiment and stock market response to earnings news[J]. Accounting Review, 2012, 87(4):1357-1384.
[5]Baker M, Wurgler J. Investor sentiment in the stock market[J]. Journal of Economic Perspectives, 2007, 21(2):129-151.
[6]Glushkov D. Sentiment beta[R]. Working Papers, 2006.
[7]Schmeling M. Investor sentiment and stock returns:Some international evidence[J]. Journal of Empirical Finance,2009, 16(3):394-408.
[8]许红伟,陈欣.我国推出融资融券交易促进了标的股票的定价效率吗?——基于双重差分模型的实证研究[J].管理世界,2012(5):52-61.
[9]李志生,陈晨,林秉旋.卖空机制提高了中国股票市场的定价效率吗?——基于自然实验的证据[J].经济研究,2015(4):165-177.Li Z S, Chen C, Lin B X. Does short selling improve price efficiency in the Chinese stock market? Evidence from natural experiments[J]. Economic Research Journal, 2015(4):165-177.
[10]刘烨,方立兵,李冬昕,等·融资融券交易与市场稳定性:基于动态视角的证据[J]·管理科学学报,2016, 19(1):102-116.Liu Y, Fang L B, Li D X, et al. Margin trading and the stability of stock market:A dynamic perspective[J].Journal of Management Sciences in China, 2016, 19(1):102-116.
[11]张强,杨淑娥.噪音交易、投资者情绪波动与股票收益[J].系统工程理论与实践,2009, 29(3):40-47.Zhang Q, Yang S E. Noise trading, investor sentiment volatility, and stock returns[J]. Systems Engineering—Theory&Practice, 2009, 29(3):40-47.
[12]Huang D, Jiang F, Tu J, et al. Investor sentiment aligned:A powerful predictor of stock returns[J]. The Review of Financial Studies, 2015, 28(3):791-837.
[13]文凤华,肖金利,黄创霞,等.投资者情绪特征对股票价格行为的影响研究[J].管理科学学报,2014, 17(3):60-69.Wen F H, Xiao J L, Huang C X, et al. The effects of characteristics of investor sentiment on stock price behaviors[J]. Journal of Management Sciences in China, 2014, 17(3):60-69.
[14]文凤华,杨鑫,龚旭,等.金融危机背景下中美投资者情绪的传染性分析[J].系统工程理论与实践,2015, 35(3):623-629.Wen F H, Yang X, Gong X, et al. The research on investor sentiment contagion between China and U.S. based on the background of financial crisis[J]. Systems Engineering—Theory&Practice, 2015, 35(3):623-629.
[15]李进芳.带信息的情绪资产定价研究[J].系统工程理论与实践,2016, 36(5):1156-1168.Li J F. Research on the sentiment asset pricing with information[J]. Systems Engineering—Theory&Practice,2016, 36(5):1156-1168.
[16]黄虹,张恩焕,孙红梅,等.融资融券会加大投资者情绪对股指波动的影响吗?[J].中国软科学,2016(3):151-161.Huang H, Zhang E H, Sun H M, et al. Do short selling and margin trading really increase the impacts of investors'emotion on the fluctuation of stock index?[J]. China Soft Science, 2016(3):151-161.
[17]刘晓星,张旭,顾笑贤,等.投资者行为如何影响股票市场流动性?——基于投资者情绪、信息认知和卖空约束的分析[J].管理科学学报,2016, 19(10):87-100.Liu X X, Zhang X, Gu X X, et al. How does investor behavior affect stock market liquidity? Analysis of investor sentiment, information cognition and short-sale constraints[J]. Journal of Management Sciences in China, 2016,19(10):87-100.
[18]Bordalo P, Gennaioli N, Shleifer A. Salience theory of choice under risk[J]. The Quarterly Journal of Economics,2012, 127(3):1243-1285.
[19]李科,徐龙炳,朱伟骅.卖空限制与股票错误定价——融资融券制度的证据[J]·经济研究,2014(10):165-178.Li K, Xu L B, Zhu W H, et al. Short-sale constrains and stock mispricing:The evidences from the margin transactions institution[J]. Economic Research Journal, 2014(10):165-178.
[20]李志生,杜爽,林秉旋.卖空交易与股票价格稳定性——来自中国融资融券市场的自然实验[J].金融研究,2015(6):173-188.Li Z S,Du S,Lin B X. Short selling and stock-price stability:A natural experiment from the margin trading market of China[J]. Journal of Financial Research, 2015(6):173-188.
[21]巴曙松,朱虹.融资融券、投资者情绪与市场波动[J].国际金融研究,2016, 352(8):82-96.Ba S S,Zhu H. Margin trading,short selling, investor sentiment and stock market volatility[J]. Studies ofInternational Finance, 2016, 352(8):82-96.
[22]Wang Y. Margin-trading and short-selling with asymmetric information[R]. Working Papers, 2014.
[23]Chen Z, Dong G N, Gu M. The causal effects of margin trading and short selling on earnings management:A natural experiment from China[R]. Working Papers, 2016.
[24]Miller E M. Risk,uncertainty,and divergence of opinion[J]. Journal of Finance, 1977, 32(4):1151-1168.
[25]Stambaugh R F, Yu J, Yuan Y. The short of it:Investor sentiment and anomalies[J]. Journal of Financial Economics, 2012, 104(2):288-302.
[26]Aitken M J, Frino A, McCorry M S,et al. Short sales are almost instantaneously bad news:Evidence from the Australian Stock Exchange[J]. Journal of Finance, 1998, 53(6):2205-2223.
[27]陈海强,范云菲.融资融券交易制度对中国股市波动率的影响——基于面板数据政策评估方法的分析[J].金融研究,2015(6):159-172.Chen H Q, Fan Y F. The impact of the launch of margin trading and short selling on Chinese stock market volatility:Evidence from a panel-data policy evaluation approach[J]. Journal of Financial Research, 2015(6):159-172.
[28]Aitken M, Frino A. The accuracy of the tick test:Evidence from the Australian stock exchange[J]. Journal of Banking&Finance, 1996, 20(10):1715-1729.
[29]Chang E C. Short-sales constraints and price discovery:Evidence from the Hong Kong market[J]. Journal of Finance, 2007, 62(5):2097-2121.
[30]Henry O T, McKenzie M. The impact of short selling on the price-volume relationship:Evidence from Hong Kong[J]. Journal of Business, 2006, 79(2):671-691.
[31]褚剑,方军雄.中国式融资融券制度安排与股价崩盘风险的恶化[J].经济研究,2016(5):143-158.Chu J, Fang J X. Margin-trading, short-selling and the deterioration of crash risk[J]. Economic Research Journal,2016(5):143-158.
[32]Yu J, Yuan Y. Investor sentiment and the mean-variance relation[J], Journal of Financial Economics, 2011,100(2):367-381.
[33]Shen J, Yu J, Zhao S. Investor sentiment and economic forces[J]. Journal of Monetary Economics, 2017, 86:1-21.
[34]Kurov A. Investor sentiment and the stock market's reaction to monetary policy[J]. Journal of Banking&Finance,2010, 34(1):139-149.
[35]Massa M, Yadav V. Investor sentiment and mutual fund strategies[J]. Journal of Financial&Quantitative Analysis, 2015, 50(4):699-727.
[36]Coulton J J, Dinh T, Jackson A B. The impact of sentiment on price discovery[J]. Accounting&Finance, 2016,56(3):669-694.
[37]宋泽芳,李元.投资者情绪与股票特征关系[J]·系统工程理论与实践,2012, 32(1):27-33.Song Z F, Li Y. Relationship between investor sentiment and stock characteristic[J]. Systems Engineering—Theory&Practice, 2012,32(1):27-33.
[38]刘维奇,刘新新.个人和机构投资者情绪与股票收益——基于上证A股市场的研究[J].管理科学学报,2014, 17(3):70-87.Liu W Q, Liu X X. Individual/institutional investor sentiment and stock returns:Study based on Shanghai A-share market[J]. Journal of Management Sciences in China, 2014,17(3):70-87.
[39]蒋玉梅,王明照.投资者情绪、盈余公告与市场反应[J].管理科学,2010, 23(3):70-78.Jiang Y M, Wang M Z. Investor sentiment, earnings announcement and market response[J]. Journal of Management Science, 2010, 23(3):70-78.
[40]易志高,茅宁.中国股市投资者情绪测量研究:CICSI的构建[J].金融研究,2009(11):174-184.Yi Z G, Mao N. Study on emotional measurement of China investors:The construction of CICSI[J]. Journal of Financial Research, 2009(11):174-184.
[41]Carhart M M. On persistence in mutual fund performance[J]. Journal of Finance, 1997, 52(1):57-82.
1.事实上,在未报告的表格中,我们同样使用模型(3)进行了估计,β_2的估计结果与表5、表6基本一致,只是β_4会由于高情绪期样本分布问题,在许多样本中出现共线性而无法估计.
[2]Hribar P, McInnis J. Investor sentiment and analysts'earnings forecast errors[J]. Management Science, 2012,58(2):293-307.
[3]Ben-Rephael A, Kandel S, Wohl A. Measuring investor sentiment with mutual fund flows[J]. Journal of Financial Economics, 2012, 104(2):363-382.
[4]Mian G M, Sankaraguruswamy S. Investor sentiment and stock market response to earnings news[J]. Accounting Review, 2012, 87(4):1357-1384.
[5]Baker M, Wurgler J. Investor sentiment in the stock market[J]. Journal of Economic Perspectives, 2007, 21(2):129-151.
[6]Glushkov D. Sentiment beta[R]. Working Papers, 2006.
[7]Schmeling M. Investor sentiment and stock returns:Some international evidence[J]. Journal of Empirical Finance,2009, 16(3):394-408.
[8]许红伟,陈欣.我国推出融资融券交易促进了标的股票的定价效率吗?——基于双重差分模型的实证研究[J].管理世界,2012(5):52-61.
[9]李志生,陈晨,林秉旋.卖空机制提高了中国股票市场的定价效率吗?——基于自然实验的证据[J].经济研究,2015(4):165-177.Li Z S, Chen C, Lin B X. Does short selling improve price efficiency in the Chinese stock market? Evidence from natural experiments[J]. Economic Research Journal, 2015(4):165-177.
[10]刘烨,方立兵,李冬昕,等·融资融券交易与市场稳定性:基于动态视角的证据[J]·管理科学学报,2016, 19(1):102-116.Liu Y, Fang L B, Li D X, et al. Margin trading and the stability of stock market:A dynamic perspective[J].Journal of Management Sciences in China, 2016, 19(1):102-116.
[11]张强,杨淑娥.噪音交易、投资者情绪波动与股票收益[J].系统工程理论与实践,2009, 29(3):40-47.Zhang Q, Yang S E. Noise trading, investor sentiment volatility, and stock returns[J]. Systems Engineering—Theory&Practice, 2009, 29(3):40-47.
[12]Huang D, Jiang F, Tu J, et al. Investor sentiment aligned:A powerful predictor of stock returns[J]. The Review of Financial Studies, 2015, 28(3):791-837.
[13]文凤华,肖金利,黄创霞,等.投资者情绪特征对股票价格行为的影响研究[J].管理科学学报,2014, 17(3):60-69.Wen F H, Xiao J L, Huang C X, et al. The effects of characteristics of investor sentiment on stock price behaviors[J]. Journal of Management Sciences in China, 2014, 17(3):60-69.
[14]文凤华,杨鑫,龚旭,等.金融危机背景下中美投资者情绪的传染性分析[J].系统工程理论与实践,2015, 35(3):623-629.Wen F H, Yang X, Gong X, et al. The research on investor sentiment contagion between China and U.S. based on the background of financial crisis[J]. Systems Engineering—Theory&Practice, 2015, 35(3):623-629.
[15]李进芳.带信息的情绪资产定价研究[J].系统工程理论与实践,2016, 36(5):1156-1168.Li J F. Research on the sentiment asset pricing with information[J]. Systems Engineering—Theory&Practice,2016, 36(5):1156-1168.
[16]黄虹,张恩焕,孙红梅,等.融资融券会加大投资者情绪对股指波动的影响吗?[J].中国软科学,2016(3):151-161.Huang H, Zhang E H, Sun H M, et al. Do short selling and margin trading really increase the impacts of investors'emotion on the fluctuation of stock index?[J]. China Soft Science, 2016(3):151-161.
[17]刘晓星,张旭,顾笑贤,等.投资者行为如何影响股票市场流动性?——基于投资者情绪、信息认知和卖空约束的分析[J].管理科学学报,2016, 19(10):87-100.Liu X X, Zhang X, Gu X X, et al. How does investor behavior affect stock market liquidity? Analysis of investor sentiment, information cognition and short-sale constraints[J]. Journal of Management Sciences in China, 2016,19(10):87-100.
[18]Bordalo P, Gennaioli N, Shleifer A. Salience theory of choice under risk[J]. The Quarterly Journal of Economics,2012, 127(3):1243-1285.
[19]李科,徐龙炳,朱伟骅.卖空限制与股票错误定价——融资融券制度的证据[J]·经济研究,2014(10):165-178.Li K, Xu L B, Zhu W H, et al. Short-sale constrains and stock mispricing:The evidences from the margin transactions institution[J]. Economic Research Journal, 2014(10):165-178.
[20]李志生,杜爽,林秉旋.卖空交易与股票价格稳定性——来自中国融资融券市场的自然实验[J].金融研究,2015(6):173-188.Li Z S,Du S,Lin B X. Short selling and stock-price stability:A natural experiment from the margin trading market of China[J]. Journal of Financial Research, 2015(6):173-188.
[21]巴曙松,朱虹.融资融券、投资者情绪与市场波动[J].国际金融研究,2016, 352(8):82-96.Ba S S,Zhu H. Margin trading,short selling, investor sentiment and stock market volatility[J]. Studies ofInternational Finance, 2016, 352(8):82-96.
[22]Wang Y. Margin-trading and short-selling with asymmetric information[R]. Working Papers, 2014.
[23]Chen Z, Dong G N, Gu M. The causal effects of margin trading and short selling on earnings management:A natural experiment from China[R]. Working Papers, 2016.
[24]Miller E M. Risk,uncertainty,and divergence of opinion[J]. Journal of Finance, 1977, 32(4):1151-1168.
[25]Stambaugh R F, Yu J, Yuan Y. The short of it:Investor sentiment and anomalies[J]. Journal of Financial Economics, 2012, 104(2):288-302.
[26]Aitken M J, Frino A, McCorry M S,et al. Short sales are almost instantaneously bad news:Evidence from the Australian Stock Exchange[J]. Journal of Finance, 1998, 53(6):2205-2223.
[27]陈海强,范云菲.融资融券交易制度对中国股市波动率的影响——基于面板数据政策评估方法的分析[J].金融研究,2015(6):159-172.Chen H Q, Fan Y F. The impact of the launch of margin trading and short selling on Chinese stock market volatility:Evidence from a panel-data policy evaluation approach[J]. Journal of Financial Research, 2015(6):159-172.
[28]Aitken M, Frino A. The accuracy of the tick test:Evidence from the Australian stock exchange[J]. Journal of Banking&Finance, 1996, 20(10):1715-1729.
[29]Chang E C. Short-sales constraints and price discovery:Evidence from the Hong Kong market[J]. Journal of Finance, 2007, 62(5):2097-2121.
[30]Henry O T, McKenzie M. The impact of short selling on the price-volume relationship:Evidence from Hong Kong[J]. Journal of Business, 2006, 79(2):671-691.
[31]褚剑,方军雄.中国式融资融券制度安排与股价崩盘风险的恶化[J].经济研究,2016(5):143-158.Chu J, Fang J X. Margin-trading, short-selling and the deterioration of crash risk[J]. Economic Research Journal,2016(5):143-158.
[32]Yu J, Yuan Y. Investor sentiment and the mean-variance relation[J], Journal of Financial Economics, 2011,100(2):367-381.
[33]Shen J, Yu J, Zhao S. Investor sentiment and economic forces[J]. Journal of Monetary Economics, 2017, 86:1-21.
[34]Kurov A. Investor sentiment and the stock market's reaction to monetary policy[J]. Journal of Banking&Finance,2010, 34(1):139-149.
[35]Massa M, Yadav V. Investor sentiment and mutual fund strategies[J]. Journal of Financial&Quantitative Analysis, 2015, 50(4):699-727.
[36]Coulton J J, Dinh T, Jackson A B. The impact of sentiment on price discovery[J]. Accounting&Finance, 2016,56(3):669-694.
[37]宋泽芳,李元.投资者情绪与股票特征关系[J]·系统工程理论与实践,2012, 32(1):27-33.Song Z F, Li Y. Relationship between investor sentiment and stock characteristic[J]. Systems Engineering—Theory&Practice, 2012,32(1):27-33.
[38]刘维奇,刘新新.个人和机构投资者情绪与股票收益——基于上证A股市场的研究[J].管理科学学报,2014, 17(3):70-87.Liu W Q, Liu X X. Individual/institutional investor sentiment and stock returns:Study based on Shanghai A-share market[J]. Journal of Management Sciences in China, 2014,17(3):70-87.
[39]蒋玉梅,王明照.投资者情绪、盈余公告与市场反应[J].管理科学,2010, 23(3):70-78.Jiang Y M, Wang M Z. Investor sentiment, earnings announcement and market response[J]. Journal of Management Science, 2010, 23(3):70-78.
[40]易志高,茅宁.中国股市投资者情绪测量研究:CICSI的构建[J].金融研究,2009(11):174-184.Yi Z G, Mao N. Study on emotional measurement of China investors:The construction of CICSI[J]. Journal of Financial Research, 2009(11):174-184.
[41]Carhart M M. On persistence in mutual fund performance[J]. Journal of Finance, 1997, 52(1):57-82.
1.事实上,在未报告的表格中,我们同样使用模型(3)进行了估计,β_2的估计结果与表5、表6基本一致,只是β_4会由于高情绪期样本分布问题,在许多样本中出现共线性而无法估计.