卖空机制对我国股票市场及套利策略影响的实证分析

发布时间：2018-06-22 10:04

本文选题：卖空机制 + 波动性　；参考：《华侨大学》2013年硕士论文

【摘要】：西方国家的卖空机制几乎是随着其证券市场的产生而产生的，自从卖空机制出现后，国内外学者就对其进行了大量的研究，但是得到的结果却不尽相同：有人认为卖空机制会加剧市场波动；有人认为卖空机制不仅不会加剧波动反而会降低市场波动。而我国证券市场二十多年以来都是只能做多的单边局面，随着我国证券市场的快速发展和人们对投资多样化的需求，卖空机制成了我国证券市场发展的必然要求。2010年3月、4月，我国先后推出了融资融券业务试点和沪深300股指期货，意味着我国从此有了卖空机制。本文第一部分运用两种不同的实证分析方法，分别探讨了卖空机制对我国股票市场波动性的影响。一种方法是协整和Granger因果检验，结果发现卖空机制的推出，既不会加剧市场的波动性，也不会降低市场波动性；另一种是用EGARCH模型进行分析，结果显示卖空机制的推出会减少市场的波动性，起到平稳市场的作用。本文第二部分研究我国卖空机制推出后能为投资者带来的新的套利策略，根据存在套利机会的三种情况，具体介绍了三种套利策略。第一个是基于高度相关的两只股票之间的成对交易套利。当两只股票价格发生大的偏离，通过融券借入高估的股票，在证券市场卖掉，买入被低估的证券，在两只股票关系回归均衡后，进行反向交易，归还融券股票，从而赚取利差。第二个是通过ETF基金和一篮子股票之间进行套利。当基金的净值和市值发生偏离时，一是净值大于市值，融券借入ETF基金，转化成一篮子股票卖掉，等两个价格平衡后，进行平仓，赚取价差；二是净值小于市值，融券借入一篮子股票申购ETF基金，等价格平衡后，进行平仓，赚取价差。第三个是利用我国目前唯一的金融期货沪深300股指期货进行期现套利，通过指数现货判断股指期货的不合理定价，进行套利，，赚取价差。
[Abstract]:The short selling mechanism of the western countries almost comes into being with the emergence of its securities market. Since the emergence of the short selling mechanism, scholars at home and abroad have carried out a lot of research on it. But the results are not the same: some argue that short selling increases volatility, while others argue that short selling will reduce volatility rather than increase volatility. However, for more than 20 years, China's securities market has been only a long unilateral situation. With the rapid development of China's securities market and people's demand for diversification of investment, short selling mechanism has become an inevitable requirement for the development of China's securities market. In March, April, 2010, the short selling mechanism has become an inevitable requirement for the development of China's securities market. Our country successively launched the financing and short margin business pilot and the Shanghai and Shenzhen 300 stock index futures, which means that our country has a short selling mechanism from now on. The first part of this paper uses two different empirical analysis methods to explore the impact of short selling mechanism on the volatility of Chinese stock market. One method is cointegration and Granger causality test, and the results show that the introduction of short selling mechanism neither increases the volatility of the market nor reduces the volatility of the market; the other is analyzed with EGARCH model. The results show that the introduction of short-selling mechanism will reduce market volatility and play a stable role in the market. The second part of this paper studies the new arbitrage strategies that can be brought to investors after the introduction of short selling mechanism in China. According to the three situations where arbitrage opportunities exist, three arbitrage strategies are introduced in detail. The first is based on a pair of arbitrage between two highly correlated stocks. When the price of two stocks deviates greatly, they borrow overvalued stocks through short securities, sell them in the securities market, buy undervalued securities, reverse trade after the return of the relationship between the two stocks, and return the stocks to the margin, thus earning the spread. The second is arbitrage between ETF funds and a basket of stocks. When the net value of the fund deviates from the market value, one is that the net value is greater than the market value, the margin borrows the fund, converts into a basket of stocks to be sold, and after the two prices are balanced, the fund is liquidated to earn the spread of the price; the second is that the net value is less than market value, the second is that the net value is less than market value, Margin borrowed a basket of stocks to purchase ETF funds, and so on price balance, to clear positions, to earn spread. The third is to arbitrage the stock index futures in Shanghai and Shenzhen 300, which is the only financial futures in our country at present, to judge the unreasonable pricing of stock index futures by index spot, carry on arbitrage to earn the spread of the price.
【学位授予单位】：华侨大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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