A Research On The Influence Of Short Interest Of Return On Stock Investment

China's A-share securities market began to implement margin-trading mechanism on March 31,2010.Since then,the A-share market has entered into a "bilateral market" that can short more.However,in the early days of the introduction of margin trading system,short trading often stopped because of the lack of securities.As a supporting mechanism of short selling,the mode of financing business introduced in 2013 temporarily alleviates this problem.However,there is still an imbalance between financing and the scale of short selling in China's stock market.Data up to 2018 show that the total balance of financing business is 748.981 billion yuan,while the balance of securities trading business is only 6.723 billion yuan,and the scale of securities trading business is less than 1% of that of financing business.However,in the capital market of developed countries,the proportion of financing and securities trading business generally remains between 8:1 and 4:1,and the development of securities trading business in China still has a long way to go.Domestic scholars mainly focus on the volatility,liquidity and pricing efficiency of China's stock market after the establishment of margin trading system.Few papers focus on the impact of short interest on stock investment returns.However,foreign scholars have done a lot of research on the relationship between the short interest and the return on stock investment,but unfortunately,their opinions are not uniform after the study.In view of the scarcity of domestic articles on the impact of short interest on stock returns,this paper will try to study the impact of short interest on stock returns in China's A-share market using the research methods of foreign scholars.Firstly,I will sort the securities according to the size of the short interest,and divide them into the first 2%,5%,10%,20%,50% and 100% portfolios.Then I will use T test to find out the relationship between the short interest and the return rate of stock investment.Then I will use CAPM model,Fama-French three-factor model and five-factor model to test whether the portfolios constructed according to the different short interest have obvious or not.Finally,we use Fama-Macbeth single-factor and multi-factor models to test the robustness of the regression results to determine the relationship between the short interest and the return on stock investment.Through the research,we find that there are many factors affecting the return on stock investment,but as far as the domestic market is concerned,there is a positive correlation between the short interest and the return on stock.There are still many shortcomings in this paper,which studies the relationship between the short interest and the return on stock investment.I hope that more scholars will study the relationship between the short interest and the return on stock investment more carefully and comprehensively.At the same time,for investors,understanding the relationship between short interest and return on stock investment can also help them better identify relevant information,seize the opportunity and make the most correct investment decisions.