融券卖空对股市波动性的影响研究

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中图分类号：F830.91 文献标识码：A DOI： 10. 7535/hbgykj. 2026yx01010

Abstract：Inorderto enhancethe market'sabity to withstandshort seling and otheractivities，further stabilize stock price fluctuations，andassesstheeffectivenessof measures implementedbytheChina SecuritiesRegulatoryCommisson，ncluding thesuspensionofnewadditions，restrictionsonintra-dayturnovertrading，andintensifiedefortstocombatviolatios，this studyanalyzed the influencing factors and impactof shortsellingonstock price indices，andexploredeffective policiesto stabilize thestock market.Considering theexogenous policyshocks resultingfromtheimplementationof Interim Measures for the Superuision and Administration of Securities Lending and Borowing Businessand Interim Rules of China Securities Finance Corporation Limited on Securities Lending and Borrowing Business （hereinafter referred to as the"New Regulatory Rules onSecuritiesLending andBorrowing"），1777target stocksforsecurities lending asthetreatment groupand2344non-target stocksasthecontrolgroupwereselectedtoconstructadiferecein-diffrences（DD）modeltoaalyzethepolcyefectsTeresults showthatthenewregulationsonsecuritieslendingsignificantlyreducedA-sharevolatlity.Thecontributionsofintra-daytuover trading frequency and changes in short-selling balances to volatility are 21.3% and 17.3% ，respectively. The risk coefficient is highly relatedtocorporatestockvolatity，andtheestimatedcoeficientofthenewregulationsonsecurities lendingonstockvolatlityis -0.438 ，which passes the 1% significance level test. The New Regulatory Rules on Securities Lending and Borrowing can reduce asymmetricstock pricefluctuations byreducingarbitrage opportunitiesandsuppressngspeculativetrading.Thefindingsprovide scientific evidence and innovative perspectives for regulatory authorities to stabilize stock price fluctuations.

Keywords：financial market；securities lending；securities lending transactions；A-share volatility；difference-in-diferences （DID）model

融资融券机制已实施十余年，A股市场的高波动性问题仍未得到根本性缓解。（剩余15044字）