卖空交易对市场波动的影响及其内在机理研究

发布时间：2018-04-28 23:17

本文选题：卖空交易 + 市场波动　；参考：《南京大学》2014年博士论文

【摘要】：卖空交易对市场波动的影响是学术界和实务界长期争论的话题,许多学者围绕这一问题展开研究,却得出截然相反的结论。本文指出要客观、全面地理解这一命题,需要从卖空交易对市场波动影响的内在机理入手。本文一方面检验了卖空交易对市场波动的影响,另一方面,围绕价值投资理论和趋势投资理论,分析了卖空者的交易行为,揭示了卖空交易对市场波动影响的内在机理；从而由表及里、从现象到本质地探讨了这一命题。在研究方法上,采用实证分析和计算实验相结合,相互印证,较为全面地分析了这一问题。实证分析方面,本文基于我国股票市场,首先分析了卖空交易对市场波动的影响：分别检验了卖空交易开启前后市场波动的变化以及卖空交易量与市场波动的关系。研究发现,卖空交易开启之后,市场波动增加了；卖空交易量与市场波动呈正向关系；并且通过将卖空交易量分解为信息成分和非信息成分,发现除了信息因素的卖空交易加剧市场波动外,非信息因素的卖空交易同样加剧了市场波动。其次,从卖空者交易行为的视角分析了卖空交易对市场波动影响的内在机理。通过对卖空交易对股票过去收益的反应和卖空交易与股票基础价值关系的研究发现,我国股票市场上的卖空者没有选择价格被高估的股票,而是采用趋势投资策略,选择过去价格下跌的股票；并且基于三因素模型的分析发现卖空交易导致未来股价进一步地下跌；因此卖空交易加剧了市场波动。文中进一步指出,卖空者采用趋势投资策略的原因是：我国股票市场的卖空成本较高且投资者不成熟,致使卖空者的持有期较短,以获取短期收益。研究还指出,市值越高、股票价格越高、换手率越低以及下跌的市场越能促使卖空者采取趋势投资策略；卖空交易在下跌的市场中对未来股票价格的降低作用更加明显。计算实验研究方面,构建了由价值型投资者和趋势型投资者组成的、具有卖空交易机制的人工股票市场计算实验平台。利用计算实验可控性和可重复性的优势,通过设置价值型卖空者和趋势型卖空者的人数比例,分析了不同类型的卖空交易对市场波动的影响。研究发现,价值型卖空交易能够降低市场波动,趋势型卖空交易会加剧市场波动；通过对卖空交易订单的分析发现,价值型投资者的卖空订单大量出现在价格高于基础价值时；趋势型投资者的卖空订单大量出现在市场下跌时。由此,得到了不同类型投资者的卖空交易对市场波动影响的内在机理：价值型投资者选择价格被高估的股票进行卖空交易,从而促使股票价格围绕在基础价值附近,因而降低了市场波动；趋势型投资者在股价下跌时进行卖空交易,导致下跌的市场进一步下跌,因而加剧了市场波动。本文不但检验了卖空交易对市场波动的影响,而且从投资者行为的视角揭示了其内在机理,对客观认识这一命题具有重要意义；此外,基于我国股票市场卖空交易的实证研究揭示了我国卖空交易的现状,为我国卖空交易的进一步发展提供了依据。
[Abstract]:The effect of short selling on market volatility is a long-standing topic in the academic and practical circles. Many scholars have studied this problem and come to an opposite conclusion. This paper points out that the objective and comprehensive understanding of this proposition needs to start with the internal mechanism of the market volatility of short selling.
On the one hand, this paper examines the effect of short selling on market volatility. On the other hand, it analyzes the trading behavior of short sellers around value investment theory and trend investment theory, reveals the internal mechanism of the effect of short selling on market volatility, and then discusses the proposition from the phenomenon to the essence. The problem is comprehensively analyzed by combining empirical analysis with computational experiments.
In the empirical analysis, based on China's stock market, this paper first analyzes the effect of short selling on Market Volatility: the change of market volatility before and after the opening of short selling and the relationship between short selling volume and market volatility. Through the decomposition of short selling volume into information components and non information components, it is found that short selling in addition to information factors aggravates the market volatility, and the short selling of non information factors also aggravates the market volatility.
Secondly, from the perspective of short sellers' trading behavior, the internal mechanism of the effect of short selling on market volatility is analyzed. Through the study of the response of short selling to stock past returns and the relationship between short selling and stock base value, it is found that the short sellers in our stock market have not selected the overvalued stock, but adopt the trend investment. The strategy is to select stocks that have fallen in the past; and based on an analysis of the three factor model, it is found that short selling leads to further stock prices in the future; therefore, short selling exacerbates the market volatility. They are not mature, causing short sellers to get short term earnings. The study also points out that the higher the market value, the higher the stock price, the lower the turnover rate and the lower market, the more the short sellers take the trend investment strategy; the short selling trade is more obvious to the future stock price in the falling market.
In the field of experimental research, an experimental platform of artificial stock market calculation, consisting of value type investors and trend oriented investors with short selling mechanism, is constructed. By using the advantages of computational controllability and repeatability, different types of short selling are analyzed by setting the proportion of the value type short seller and the trend type seller. The study found that the value type short selling transaction can reduce the market volatility, and the trend type short selling will aggravate the market fluctuation. Through the analysis of short selling order, the short selling order of the value type investors appears in a large number when the price is higher than the basic value; the short selling order of the trend type investors is out of large numbers. Now, when the market falls, the intrinsic mechanism of the effect of short selling of different types of investors on the market volatility is obtained: the value type investors choose the overvalued stock to carry out short selling, which makes the stock price around the base value, thus reducing the market fluctuation; the trend type investor is in the fall of the stock price. Short selling has led to a further decline in the falling market, thus exacerbating market volatility.
This paper not only examines the impact of short selling on market volatility, but also reveals its intrinsic mechanism from the perspective of investor behavior, and is of great significance to the objective understanding of this proposition. In addition, the empirical study based on short selling in China's stock market reveals the current situation of short selling in China and further development for short selling in China. The basis is provided.

【学位授予单位】：南京大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F832.51;F224

【参考文献】