Short Selling And Stock Price Synchronicity

With the background of securities margin trading policy opened on March 31,2010 and its sixth expansion until now in the a-share market,this paper takes the stocks from the fifth expansion in 2016 and the sixth expansion in 2019 as samples.And then using the double difference model(DID)to make an empirical test on China's securities short selling mchanism can affect stock price synchronicity.The research shows that short selling can reduce the synchronicity of stock price,increase the content of stock information and effectively reflect the negative information of the company.After the above model was tested for robustness with placebo test,the results were still robust.In addition,we divided the stock price synchronicity into two parts: market synchronicity and industry synchronicity,discussed which part was more influenced by the short selling trading to find the short selling motivation of short selling traders.Empirical evidence shows that short selling can more obviously reduce industry synchronicity,which reflects the implementation of securities margin trading policy,making it possible for the sophisticated investors who have strong industry information resolution,more motivation and experience to enter the market,identify a negative information of the firms differ from industry of listed companies.Finally,the negative information reflected in stock prices.At the same time,considering that securities analysts can reduce information asymmetry,further research found that,for the stocks that analysts pay more attention to,short-selling can reduce more stock price synchronicity.It affirms the role of analysts and also shows that short selling mechanism can make full use of market information and improve market efficiency.From the perspective of stock synchronicity,this paper enriches the literature research on the relationship between short selling and stock information content with the combination of short selling and securities margin trading policy expansion and broadens the previous literature to discuss stock synchronicity only from the perspective of market synchronicity.In addition,Adding the moderating variable of analyst focus to the relationship between short selling and stock price synchronicity verifies the importance of short selling mechanism to improve the efficiency of capital information,and provides empirical evidence for management to make the further improvement of short selling market.