商业研究

商业研究

• 经济学研究 • 上一篇    下一篇

彼之毒药，汝之佳肴？ ——中国概念股做空现象研究

董斌，王祎焕   

  1. 东南大学 经济管理学院，南京 210096
  • 收稿日期:2017-01-31 出版日期:2017-06-16
  • 作者简介:董斌（1966-），男，南京人，东南大学经济管理学院教授，博士生导师，经济学博士，研究方向：公司金融与治理；王祎焕（1990-），东南大学经济管理学院研究生，研究方向:资本市场
  • 基金资助:
    国家社会科学基金项目，项目编号：13BJL002。

Research on the Shorting of China Concept Stocks

DONG Bin, WANG Yi-huan   

  1. School of Economics and Management, Southeast University, Nanjing 210096, China
  • Received:2017-01-31 Online:2017-06-16

摘要： 针对近年来国际市场中国概念股遭遇的做空危机，本文采用事件研究法考察做空机构报告对中国概念股短期和长期市场表现的影响，探究中国概念股信任危机的主要原因。结果表明，短期内做空报告对中国概念股的价格都具有显著的负效应；而在长期，做空报告总体上对中国概念股价格也具有显著的负效应，但存在少数中国概念股被做空报告误解；在长期中股价反而逐步回升，形成显著的正效应。因此，大部分遭遇做空的中国概念股确实存在问题，股价下跌是市场正常反应而非做空机构恶意所致。所以，我国证券监管部门有必要对“海归”的中国概念股公司进行甄别，谨慎放行。

关键词: 中国概念股, 做空, 事件研究, 有效市场

Abstract: To explore the main cause of the recent shorting crisis of China concept stocks in international stock markets, this article examines the effects of shorting reports on the prices of China concept stocks in the short and long term respectively using the event study method, and explores the main causes of trust crisis in China concept stocks. The results show that, shorting reports have significantly negative effects on the prices of China concept stocks in the short term, and in general have significantly negative effects on the prices of China concept stocks in the long term though in a few cases the reports exert significantly positive influence. In the long term, the stock price rises gradually, forming the remarkable positive effect. Therefore, most China concept stocks shorted are really problematic, and the fall in their prices is mainly due to normal market reactions instead of vicious shorting activities. Therefore, it is necessary for China′s securities regulatory authorities to make a careful screening of China concept stocks companies of “returnees”.

Key words: China concept stocks, shorting, event study, efficient market