Short Selling And Stock Price Information Content

In 2010,our country officially launched a trading trial for margin trading and securities lending,and the emergence of securities lending has finally filled the lack of short-selling tools in our country’s securities market for more than a decade.The purpose of the margin trading and securities lending policy is to enhance the distribution of resource in the stock market and activate market transactions.With the continuous expansion of the scope of margin trading and securities lending,the trading position of margin trading and securities lending in our country’s securities market has become more and more prominent.But at the same time,the defects of margin financing and securities lending are magnified.Since the introduction of the two financing policies,the scale of securities lending has lagged far behind the scale of margin trading.Meanwhile,due to the features of our country’s stock market retail investors who like to follow the trend and the strong driving effect of national policy,short-selling transactions have basically failed to perform as they should.Then,whether short-selling in our country has improved the informativeness of stock price? As the policy continues to advance,has the original purpose of the policy been achieved? And how does short-selling affect the informativeness of stock price?In this regard,this article uses the stock price synchronization as an indicator to measure the informativeness of stock price,and empirically analyzes the influence of the short-selling policy on the information content of share price.This paper selects listed companies in A shares from 1996 to 2009 as the research object,and uses the PSM-DID fixed-effect panel model as the benchmark regression model to analyze the impact of short-selling policies on the informativeness of stock price.To guarantee the dependability of the consequnences,the parallel trend hypothesis test and the control test of the Shanghai and Shenzhen 300 stock index futures are used to analyze the dependability of the consequnences.For exploring the mediating effect of corporate asset financialization degree in the process of short-selling affects the information content of share price,we used the mediating effect model.Finally,the Sobel test and Bootstrap test are used to further test the mediating effect of corporate asset financialization.Pass the above-mentioned empirical test.The empirical results show that the emergence of the short-selling trading system did not achieve the expected purpose,but significantly improved the synchronization of stock prices and reduced the informativeness of stock price.Excluding the influence of short-selling stock index futures,the empirical results are still significant.In addition,the expansion of the scope of securities lending also means the expansion of the scope of financing.Due to the huge difference between the scale of securities lending and the scale of financing,as well as the style of our country’s retail investors’ preference of selling into corrections,the negative effect of the securities lending policy and the informativeness of stock price has also increased significantly.Under such a background,a large amount of industry and market overall information is quickly integrated into stock prices,which has seriously hindered the market’s mining and reflection of company’s heterogeneous information.Therefore,the role of short-selling in promoting the integration of individual stock information into stock prices has been severely inhibited.The empirical results of the intermediary effect model prove that short selling can further improve the synchronization of share prices and reduce the information content of share price by improving the financialization of corporate assets.Sobel test and Bootstrap test also provide more robust support results for the results of the mediation effect model.The emergence of the short-selling system for short-selling securities can easily prompt company management to make investment decisions to reduce physical R&D projects and increase financial assets in order to stabilize the company’s market value,which inhibits investors’ access to heterogeneous company information and weakened the company information into the share price,reduce the information content of share price.According to the conclusion,this article makes the following recommendations:increase the proportion of securities lending to the total scale,improve the refinancing system,improve the efficiency of company information disclosure,and strengthen the education of retail investors.Various entities in the market should coordinate and cooperate to improve the details of the short-selling system so that the short-selling role of securities lending can be fully brought into play.