股票卖空对我国股票价格的影响研究

发布时间：2018-01-16 12:15

本文关键词：股票卖空对我国股票价格的影响研究　出处：《贵州财经大学》2017年硕士论文　论文类型：学位论文

【摘要】：本文借助2010年3月31日我国卖空业务实施及其后续变更的多项外生政策,研究股票卖空对我国股票价格及其波动的影响,不仅在理论上丰富了市场微观结构的理论基础,对我国股票定价偏误的修正具有重要的参考价值,同时为推动我国股票市场微观结构相关制度的完善提供了理论依据;而且在实践中为我国卖空交易制度的完善和发展提供了重要的经验证据,同时对于我国股票市场的健康运行和有序发展具有重要的实践意义。借助我国股票卖空启动和暂停的外生随机性,从而所形成的自然实验,本文对股票卖空影响我国股票价格及其波动率的机制进行了深入的理论分析,并且在此基础之上,提出了本文的两个假设:股票卖空会导致股票价格下降从而股票收益增加,以及股票卖空能够增加股票价格的波动率。基于这两个假设,本文利用我国股票市场启动卖空和暂停卖空的政策所形成的自然实验,同时结合中国A股股票的交易数据,运用匹配倾向得分模型(PSM)和双重差分模型(DID)研究了我国的股票卖空对股票价格及其波动的影响效应,通过实证给出了股票卖空影响我国股票价格及其波动率的经验证据。综合本文的理论分析和经验证据,本文得出以下结论:首先、放开卖空限制之后,一方面由于将悲观投资者引入到市场之中,卖空股票降低了股票价格形成泡沫的可能,从而使得股票价格下降,导致股票收益增加;另一方面,由于卖空机制相当于在股票市场需求不变的情况增加了股票供给,促使股票的均衡价格下降,进而股票收益增加。两方面的原因都使得放开卖空限制会导致股票价格下降,股票收益增加;其次、放开卖空限制之后,由于将悲观投资者引入到市场之中,增加了股票预期的异质程度,悲观投资者对股票价格向下的预期扩大了股票价格的变动幅度。正是这一原因使得放开卖空限制会导致股票价格波动幅度扩大,从而股票价格波动率增加。综合本文的理论分析和实证结果,可以表明,放开卖空限制,会导致股票价格下降从而股票收益上升,并且引起股票价格波动率的增加。
[Abstract]:This paper studies the impact of short selling on Chinese stock price and its fluctuation with the help of several exogenous policies of short selling and its subsequent changes in March 31st 2010. It not only enriches the theoretical basis of market microstructure theoretically, but also has important reference value for the correction of stock pricing bias in China. At the same time, it provides the theoretical basis for the improvement of the related system of the microstructure of the stock market in our country. And in practice, it provides important empirical evidence for the improvement and development of the system of short selling in China. At the same time, it has important practical significance for the healthy operation and orderly development of the stock market in China. This paper makes a deep theoretical analysis on the mechanism of stock short selling that affects the stock price and its volatility in China, and on this basis. Two hypotheses are put forward in this paper: short selling will lead to the decrease of stock price and increase of stock return, and short selling of stock can increase the volatility of stock price based on these two hypotheses. This paper makes use of the natural experiment formed by the policy of short selling and suspending short selling in China's stock market, and combines the trading data of Chinese A-share stocks at the same time. Using the matching tendency score model (PSM) and the double difference model (DIDD), this paper studies the effect of short selling on the stock price and its fluctuation in China. The empirical evidence that short selling affects Chinese stock price and its volatility is given by empirical evidence. Based on the theoretical analysis and empirical evidence of this paper, this paper draws the following conclusions: first, after liberalizing the restriction of short selling. On the one hand, by introducing pessimistic investors into the market, short selling reduces the possibility of a bubble in the stock price, which leads to the decrease of stock price and the increase of stock return. On the other hand, because the short selling mechanism is equivalent to increasing the stock supply in the case of constant demand in the stock market, the equilibrium price of the stock is reduced. Then the stock return increases. Both reasons make the stock price decline and the stock income increase; Secondly, after liberalizing the restriction of short selling, it increases the heterogeneity of stock expectation because of introducing pessimistic investors into the market. Pessimistic investors' expectations of a downward stock price increase the range of changes in stock prices. It is precisely for this reason that the liberalization of short-selling restrictions will lead to a wider range of fluctuations in stock prices. The theoretical analysis and empirical results show that the liberalization of short-selling restrictions will lead to the decline of stock prices and thus the rise of stock returns. And causes the stock price volatility to increase.
【学位授予单位】：贵州财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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