The Influence Of Short Selling Mechanism On China's Stock Pricing Efficiency

China launched a Margin Trading trial in March 2010,marking the introduction of short selling system in China's capital market.In the context of the securities lending system,investors who want to carry out short selling business can only borrow securities from securities companies,and securities companies' own securities are the only source of short selling securities,which has led to restrictions on the development of short selling business in China.In order to solve the problem of insufficient securities sources,China has further introduced the “Refinancing Business” policy based on the policy of capital financing and securities financing.The introduction of the policy of the “Refinancing Business” further relaxes the short-selling restrictions in China's securities market,and whether short-selling improves the pricing efficiency of China's stocks needs to be analyzed combined with data.Based on the study of domestic and international research of how short selling affects stock pricing efficiency,this paper summarizes the theoretical mechanism.And combined with China's second and third policy of refinancing business,this paper uses the difference in difference model to test whether the short selling mechanism improves the pricing efficiency of A shares in China's Shanghai stock market.And in this paper,the second and third expansions of the newly added standard shares are used as experimental and control groups.The second expansion is used as the policy segmentation point of the model.The non-policy period is from January 2014 to May 2014,and the policy period is from July 2014 to November 2014.The empirical results show that during the expansion of China's second and third conversion,the short selling mechanism reduces the absorption of negative traits.And stocks with high turnover rate,low A-share market capitalization and without H shares have a lower quality of negative information absorption and a higher kurtosis coefficient.This empirical result does not meet the theoretical mechanism of short selling,which is supposed to improve the efficiency of stock pricing.Combined with China's realistic background,the investor structure and the degree of participation in short selling business hinder the function of short selling to improve the efficiency of stock pricing.The results of this paper can be used as a theoretical supplement to the literature on the efficiency of stock pricing in China,and also provide a theoretical basis for policy makers.