中文摘要：

2010年开始实施的融资融券制度是中国资本市场重要的制度创新，旨在引入卖空机制以提高资本市场的运行效率，本文从股价信息含量的角度采用双重差分法系统检验了该项制度政策对资本市场的影响。研究发现，与理论和政策预期相反，中国资本市场融资融券制度的实施不仅没有改善相关股票的股价信息含量，整体上反而显著恶化了其股价信息含量。深入分析发现，融资融券这种意料之外的后果主要源自中国融资融券制度设计的两个特征：融资融券标的的选择标准以及融资和融券两种机制的同时实施。标的选择标准导致标的股票本身股价信息含量较高，这使得卖空机制很难或无法发挥作用。相反，对称性融资融券机制中的融资机制则为投资者提供了跟风追涨的渠道，放大了股价高估的风险。进一步研究发现，与上述分析相一致，融资融券制度对股价信息含量的毁损作用主要体现在股价高估风险较大的情形，例如，相关股票被市场看好、相关股票被更多分析师跟踪、整个股市处于牛市时。而在相关股票被市场看空、整个股市处于熊市时融资融券制度可以改善股价的信息含量。

英文摘要：

Margin trading system implemented in2010is an important institutional innovation in Chinese capital market,which is intended to improve the capital market efficiency.Using DID method,this paper studies the influence of this arrangement on the information content of stock price.We find that contrary to the expectation of theories and policies,the implementation of margin trading system doesn’t improve but deteriorates the informativeness of stock price.This is due to the margin trading system has two unique characteristics:One is the criteria for eligible stocks and the other is simultaneous short selling and long buying for the same stock.The selected stocks which meet the criteria have more information content ex ante,which makes it difficult or impossible for short selling to take effect.Meanwhile,the short selling and long buying for the same stock simultaneously,especially more long buying than short selling amplifies the risk of overvaluation,resulting in deterioration of the informativeness.Further analysis indicates that the dark side of the arrangement on the information content is mainly focused on the stocks with more risk of overvaluation,for example,higher stock return or MTB,more analysts following,or being in a bull market.And when the stock market is bearish or the investors is pessimistic about the stock,margin trading system can improve the informativeness of stock price.