卖空行为处置效应的影响因素研究——来自我国A股市场的证据

Research on Influencing Factors of Short-Selling Behavior in Disposition Effect—Evidence from China’s A-Share Market

摘要: 随着我国资本市场的不断发展和完善，卖空机制作为市场的重要组成部分，其运行效率与投资者行为特征日益受到关注。本文以我国A股投资者的卖空行为为研究对象，实证研究了我国A股卖空行为处置效应的影响因素。研究发现，首先，我国A股投资者的卖空行为具有处置效应；其次，信息不对称会增强我国A股投资者卖空行为的处置效应；最后在异质性检验中，公司规模越大、卖空高机构持股比例的股票以及在牛市时，我国A股投资者卖空行为的处置效应将会减弱。本文不仅揭示了我国A股投资者卖空行为处置效应的存在及其影响因素，还为理解市场行为、优化投资策略以及制定监管政策提供了重要的参考依据。

Abstract: With the continuous development and improvement of China’s capital market, short-selling mechanism, as an important part of the market, has attracted more and more attention for its operating efficiency and investor behavior characteristics. This paper takes the short-selling behavior of A-share investors in China as the research object, and empirically studies the influencing factors of disposition effect of A-share short-selling behavior in China. It is found that, firstly, the short-selling behavior of A-share investors in China has disposition effect; Secondly, information asymmetry will enhance the disposition effect of short-selling behavior of A-share investors in China; Finally, in the heterogeneity test, the bigger the company is, the shorter the stocks with high institutional shareholding ratio, and in the bull market, the disposition effect of short-selling behavior of A-share investors in China will be weakened. This paper not only reveals the existence and influencing factors of short-selling behavior of A-share investors in China, but also provides an important reference basis for understanding market behavior, optimizing investment strategies and formulating regulatory policies.