| Shanghai and Shenzhen Stock Exchanges officially launched margin trading on March 31,2010,marking an era of short-selling in securities market in China.It was provided a rare quasi-natural experimental environment for scholars to study the impact of short-selling mechanism on asset pricing efficiency.Whether the introduction of shortselling mechanism can effectively improve the efficiency of stock market pricing has become the focus among investors and regulatory authorities,which is of great importance in terms of academic value and practical significance undoubtedly.Study on the impact of short-selling constraints and investors' heterogeneous beliefs with respect to the stock market was accompanied with Miller's declarative assertion in 1977.Heterogeneous beliefs were introduced into CAPM and Fama-French three-factor model based on Miller's theory that short-selling constraints can lead to overvaluation in asset price.By verifying the validity of Miller's theory,it studied the influence of investors' heterogeneous beliefs on stock returns and stock price valuation under the condition of short-selling constraints.With the help of natural experimental environment in China,this paper compared and studied the difference of pricing efficiency between stocks with and without short-selling constraints by using non-stationary mixed panel model and binomial fixed-effect model,and incorporated investors' heterogeneous beliefs into the pricing efficiency model of stock market.From the perspective of behavioral finance,this paper studied the influence of investor's heterogeneous beliefs on the pricing efficiency of stock market under different short-selling mechanisms.Besides,this paper also maked a comparative analysis of the effects of short-selling constraints and heterogeneous beliefs on the pricing efficiency of the stock market in the bull-bear market in order to study the different effects of market situations,short-selling constraints and investors' heterogeneous beliefs on the pricing efficiency of the stock market.In terms of influence of short-selling constraints and heterogeneous beliefs on stock market pricing efficiency,this paper found as follows: short-selling constraints can reduce the pricing efficiency of stock market;greater portion in degree of heterogeneous beliefs can bring with higher pricing efficiency of stock market without short-selling constraints;short-selling constraints can aggravate the impact of heterogeneous beliefs on stock market pricing efficiency;greater portion in the degree of heterogeneous beliefs can bring with the higher pricing efficiency of stock market under condition of short-selling constraints.The impact on short-selling constraints and heterogeneous beliefs with respect to the pricing efficiency of the stock market in the bull-bear market have been analyzed comparatively in this paper,and findings are as follows: heterogeneous beliefs of the bull market are greater than that of the bear market in portion;the influence of short-selling constraints on the content of stock price information is negative in the bull-bear market,and the impact of short-selling constraints on the speed of stock price information reflection is greater in the bull market than that in the bear market from the perspective of the speed of stock price information reflection;the influence of price information content is positive in bull-bear market,and the influence of heterogeneous beliefs on the speed of stock price information reflection is greater in bear market than that in bull market in portion;the marginal effect of heterogeneous beliefs on the speed of stock price information reflection is greater in bear market than that in bull market in portion under condition of short-selling constraint;the influence of heterogeneous beliefs on the content of stock price information is positive in bull market while negative in bear market and the influence of heterogeneous beliefs on stock price information content is greater in bull market than that in bear market in portion from the perspective of stock price information content.Accordingly,this paper puts forward the following four suggestions on how to improve the securities trading system and promote the smooth and healthy operation of the stock market: Firstly,Expanding the scope of the subject matter of the two financing businesses and lowering the threshold of the two financing businesses;Secondly,Establishing an emergency mechanism for short selling risks and adjusting the scale of the two financing businesses by camera;Thirdly,Improving the legislation of the two financing businesses to eliminate illegal allocation of funds outside the market;Lastly,Training investment to thinking of short selling and optimizing the structure of market participants reasonably. |
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