Abstract: We study the effect of short-selling and margin-trading on the price efficiency and stabilization of stocks on the GEM and SME Boards. Utilizing the lift of bans on short-selling and margin-trading for stocks on a designated list in September 2013, we find that short-selling is followed by short-term negative cumulative abnormal return, while margin-trading leads to short-term positive cumulative abnormal return. Moreover, price efficiency decreases after the ban, while price stabilization is enhanced. Lower price efficiency is associated with intensified margin buying and short covering. Short selling, however, increases efficiency. We also find that margin buying and short selling enhance price stabilization. Our findings are significantly different from previous studies of the Chinese Main Board market.

摘要： 本文以2013年9月16日创业板和中小板新增的融资融券标的作为研究对象，检验融资融券对这两个市场价格发现的影响，得到了与现有针对主板融资融券标的研究截然不同的结论。我们发现：（1）在融资事件日，非主板标的股票具有显著为正的异常收益率；在融券事件日，非主板标的股票具有显著为负的异常收益率；（2）融资融券的实施降低了创业板和中小板标的股票的定价效率，但增强了股价稳定性；（3）融资投资者和融券投资者的买入行为对定价效率产生负面影响，但融券投资者的卖出行为则会改善定价效率；此外，融资投资者的买入行为和融券投资者的卖出行为提高了股价稳定性。