做空机制对我国股市波动性、流动性影响的实证分析

发布时间：2018-03-27 07:13

本文选题：做空机制　切入点：波动性　出处：《经济管理》2013年11期

【摘要】：2010年3月31日融资融券交易正式推行,这标志着中国股票市场建立了做空机制,告别单边市场,进入双向交易时代,融资融券交易相关规定和实施效果直接影响到我国资本市场的稳定与发展。但对于中国的股票市场来说,做空机制是一项新生的市场制度,国内外还未有学者对其进行系统性的研究,做空机制起到的是积极作用还是消极影响也未有确定的论断。本文则立足于此,在VAR模型框架的基础上,利用协整分析、脉冲响应函数分析、方差分析和Granger因果检验等计量经济的方法,检验我国股票市场做空交易机制实施以来,市场波动性、流动性的变化情况。实证分析得出:融资融券交易额与市场流动性、波动性之间存在长期稳定的协整关系;现阶段买空交易比卖空交易对市场的贡献大;做空机制的推出没有造成市场的大幅度波动,并为市场提供了流动性。最后,针对目前做空交易出现的问题,本文给出相关政策性建议。
[Abstract]:On March 31, 2010, margin trading was formally carried out, which marked the establishment of a short selling mechanism in China's stock market, saying goodbye to the unilateral market and entering the era of two-way trading. The regulation and effect of margin trading have a direct impact on the stability and development of China's capital market. But for China's stock market, short selling mechanism is a new market system. There are no scholars at home and abroad to study it systematically, and whether the short-selling mechanism plays a positive role or a negative impact has not been determined. This paper is based on this, based on the VAR model framework, using cointegration analysis. Some econometric methods, such as impulse response function analysis, variance analysis and Granger causality test, are used to test the volatility of the stock market since the implementation of the short trading mechanism in China's stock market. Empirical analysis shows that there is a long-term stable cointegration relationship between margin trading volume, market liquidity and volatility, and that short selling contributes more to the market than short selling at this stage. The introduction of the short selling mechanism does not cause the market to fluctuate by a large margin and provides liquidity for the market. Finally, in view of the problems existing in short trading at present, this paper gives some relevant policy suggestions.
【作者单位】：河南大学管理科学与工程研究所;鹏元资信评估有限公司;
【分类号】：F832.51;F224

【参考文献】