卖空交易、信息分布以及资产价格行为研究

发布时间：2018-04-12 07:12

本文选题：卖空交易 + 价格行为　；参考：《天津大学》2012年博士论文

【摘要】：在我国证券市场卖空机制推出试点阶段，双边交易机制市场刚刚形成的实践背景下，本文从金融市场微观结构理论的视角出发，以市场微观结构理论的核心研究内容——信息作为纽带，分别从理论和实证的角度，对卖空交易影响市场价格行为的传导过程、卖空交易对市场信息分布的影响机理、卖空交易在实际策略构造中的应用等问题进行了研究。具体内容主要包括：第一部分，卖空交易的发展模式比较研究。本部分回顾了全球主要市场卖空交易的发展历程，通过比较分析有代表性的成熟市场或地区的卖空交易模式得出对我国证券市场卖空交易发展模式的几点启示。第二部分，卖空交易对资产波动性和流动性的影响研究。理论研究表明，卖空机制可以平抑市场波动，，提高市场流动性水平，而其主要是通过增加相关股票的供给和需求弹性来实现。随后，分别利用事件研究法和向量自回归方法，考虑市场交易高频数据的特征，结合卖空限制与允许卖空两个层面，实证检验了香港市场与我国A股市场中的卖空交易对资产价格波动性及流动性的影响。结果显示，在波动性方面，两个市场的卖空交易均不会增加市场的波动，但也没有发挥出平抑市场波动的作用；而在流动性方面，卖空交易显著提升了香港市场资产流动性水平，但在A股市场，卖空交易与市场流动性并无因果关系。第三部分，卖空交易对市场信息分布的影响研究。本部分由市场微观结构理论中信息分布的内涵着手，从理论模型和实证分析两个层面对卖空机制影响市场信息分布的过程进行了研究。本章提出考虑卖空限制下的改进EKOP模型。进一步，利用该模型针对我国证券市场的卖空交易影响市场信息分布的情况进行实证研究。结论表明，卖空交易的引入不会改变市场的信息传递模式，相反地，可以提高市场知情交易者的比例，而随着知情交易比例的提高，PIN值也会相应增加，市场运行效率得到改善。第四部分，卖空交易在量化投资策略中的应用研究。本部分从卖空交易在投资策略中的应用入手，通过介绍量化投资的理论思想以及发展趋势，得出卖空机制在量化投资中，特别是在投资策略及资产组合的构建时发挥关键性作用的论断。随后，从流动性交易视角实证研究了中国股票市场收益率序列相关性的模式，并通过卖空机制，基于流动性视角构造了反转策略的多空组合，该组合在样本期内表现出较好的盈利能力。这也证明流动性因子是构造短期反转策略的主要影响因素。
[Abstract]:In the pilot stage of short selling mechanism in China's securities market and the practice background of bilateral trading mechanism market just formed, this paper starts from the perspective of financial market microstructure theory.With the core research content of market microstructure theory-information as the link, from the theoretical and empirical point of view, the paper analyzes the transmission process of short selling on market price behavior and the influence mechanism of short selling on the distribution of market information.The application of short-selling in the construction of practical strategy is studied.The specific contents include:The first part is a comparative study of the development model of short selling.This part reviews the development of short selling in major global markets and draws some enlightenment to the development model of short selling in China's securities market by comparing and analyzing the typical mature market or regional short selling mode.The second part, the impact of short-selling on asset volatility and liquidity.Theoretical research shows that short selling mechanism can stabilize market volatility and improve market liquidity level, which is mainly achieved by increasing the supply and demand elasticity of related stocks.Then, by using event research method and vector autoregressive method, considering the characteristics of high frequency data of market transaction, combining short selling restriction and allowing short selling,The effects of short selling on asset price volatility and liquidity in Hong Kong market and China A share market are tested empirically.The results show that in terms of volatility, short selling in both markets does not increase volatility, but does not play a role in calming volatility; on liquidity, however,Short selling has significantly boosted asset liquidity in Hong Kong, but there is no causal relationship between short selling and market liquidity in the A-share market.In the third part, the influence of short-selling on the distribution of market information is studied.This part starts with the connotation of information distribution in the market microstructure theory and studies the process of short selling mechanism influencing the distribution of market information from two aspects: theoretical model and empirical analysis.In this chapter, an improved EKOP model considering the limitation of short selling is proposed.Furthermore, the model is used to analyze the effect of short selling on the distribution of market information in China's securities market.The conclusion shows that the introduction of short selling does not change the information transmission mode of the market, on the contrary, it can increase the proportion of informed traders in the market, and with the increase of the proportion of informed transactions, the PIN value will increase accordingly, and the efficiency of market operation will be improved.The fourth part is about the application of short-selling in quantitative investment strategy.This part starts with the application of short selling in investment strategy, through introducing the theory thought and development trend of quantitative investment, we get the mechanism of selling short in quantitative investment.Especially in the investment strategy and portfolio construction plays a key role.Then, from the perspective of liquidity trading, this paper empirically studies the model of the correlation of return sequence in China's stock market, and through the short selling mechanism, constructs a long and short combination of reversal strategies based on liquidity perspective.The combination shows good profitability in the sample period.This also proves that liquidity factor is the main factor influencing the construction of short-term reversal strategy.
【学位授予单位】：天津大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F832.51

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