卖空机制与市场质量——基于中国交易型开放式指数基金市场的实证研究

发布时间：2018-01-18 07:24

本文关键词：卖空机制与市场质量——基于中国交易型开放式指数基金市场的实证研究　出处：《金融与经济》2017年11期 　论文类型：期刊论文

【摘要】：不同于已有研究基于中国股票市场考察卖空机制与市场质量的关系,本文结合卖空机制在中国金融市场的实践,选择交易型开放式指数基金(ETF)作为研究对象,以2015年中国股票市场巨幅波动期间限制卖空这一自然实验为背景,基于5分钟高频数据的虚拟变量回归模型和双重差分(DID)模型,从流动性、波动性和跟踪误差三个方面研究了限制卖空前后市场质量的变化。研究发现,卖空机制的缺失会导致ETF市场的流动性显著下降、波动加剧、跟踪误差扩大,表明市场风险上升、市场质量下降,并且随着卖空限制不断趋严,市场质量下降明显。稳健性检验也证实了上述研究结论。因此,建立有效的卖空机制,有利于提升市场流动性、平抑波动和纠正扭曲的定价机制,对于提高市场质量也具有重要意义。
[Abstract]:Different from the previous research on the relationship between short selling mechanism and market quality, this paper combines the practice of short selling mechanism in Chinese financial market. Based on the natural experiment of limiting short selling during the huge volatility of Chinese stock market in 2015, ETF is chosen as the research object. Based on the virtual variable regression model and the double differential DID-based model, the changes of market quality before and after limiting short selling are studied from three aspects: liquidity, volatility and tracking error. The absence of short selling mechanism will cause the liquidity of ETF market to decrease significantly, the volatility increases and the tracking error expands, which indicates that the market risk is rising, the market quality is declining, and with the restriction of short selling, the market becomes more and more strict. Market quality decline obviously. Robust test also confirmed the above conclusions. Therefore, the establishment of an effective short selling mechanism is conducive to enhance market liquidity, calm volatility and correct the distorted pricing mechanism. For improving the quality of the market is also of great significance.
【作者单位】：湖南大学工商管理学院;
【基金】：国家自然科学基金重点项目“高维度、非线性、非平稳及时变金融数据建模和应用”(71431008)
【分类号】：F832.51
【正文快照】： 一、引言卖空机制作为金融创新环节中重要的一环,是金融市场建设不可或缺的组成部分,一个缺少卖空机制的市场无法及时反映市场负面信息,使得金融市场在因正面信息导致的暴涨和释放负面信息的暴跌之间频繁切换,对提升市场质量(1)具有重要作用(Boehmer et al.,2008;Saffi and Si

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