股灾背景下限制卖空与稳定市场关系研究

发布时间：2018-06-11 17:13

本文选题：限制卖空 + 稳定市场　；参考：《深圳大学》2017年硕士论文

【摘要】：2015年A股市场发生了一场罕见的股灾,短短两个月的时间里,上证指数从最高5178.19点跌至最低2850.37点。本次股灾破坏力极强,影响极大,政府为了稳定股灾中的A股市场,采取了许多措施,其中就包括推出限制卖空政策。但2015年的限制卖空有无起到稳定市场的作用,目前尚无定论。本文研究了2015年股灾期间政府推出的限制卖空政策,以限制股指期货卖空和限制融券卖空为两个限制卖空政策,以异质信念、羊群效应、反应过度和反应不足为基础对限制卖空政策的效果进行理论分析,建立固定效应模型和双重差分模型,研究推出限制卖空政策前后市场流动性、波动性的变化,论证股灾中限制卖空能否起到稳定市场的作用。本文通过比较两个政策的效果,分析股灾的不同时期限制卖空对稳定市场的作用是否不同。描述性统计的结果表明,政府限制股指期货卖空后,市场的流动性下降,波动性提高;限制融券卖空后,市场的流动性和波动性同时下降。实证结果表明,股灾初期限制股指期货卖空后,市场的流动性降低,波动性提高,限制股指期货卖空不利于稳定市场。而股灾中期限制融券卖空后,市场的流动性、波动性同时降低,一定程度上有利于稳定市场。本文研究发现,股灾初期的限制股指期货卖空政策,加大了市场不稳定,限制股指期货卖空没有起到稳定市场的作用;而股灾中期,限制融券卖空政策在一定程度上稳定了市场。本文认为,股灾初期,市场情绪恐慌,投资者对消息非常敏感,限制卖空政策的推出会加剧市场恐慌,引发市场恐慌性抛售,不利于稳定市场。股灾中期,市场相对股灾初期比较冷静,投资者开始出现不同的看法,在参与市场上保持谨慎的态度,采取审慎交易的方法。这时候投资者对信息非常不敏感,限制卖空政策的推出没有给投资者带来过度的刺激。在这种情况下,限制卖空政策能够正确打击卖空风险,降低市场波动性,从而能在一定程度上稳定市场。因此,在股灾发生之际,政府不能盲目的限制卖空,而应该根据市场的实际情况择机行动,选择合适的措施,才能发挥政策应有的效果。
[Abstract]:In a rare stock crash in 2015, the Shanghai index fell from a peak of 5178.19 to a low of 2850.37 in just two months. In order to stabilize the A-share market, the government has taken many measures to stabilize the A-share market, including the introduction of the policy of restricting short selling. But the 2015 restrictions on short selling have played a stabilizing role in the market, so far there is no conclusion. This paper studies the policy of restricting short selling, which was put forward by the government during the stock disaster in 2015, in order to limit short selling of stock index futures and short selling of short margin and limit short selling for two policies, which are heterogeneity belief, herd effect, and so on. Based on the theoretical analysis of the effect of the policy of limiting short selling, the fixed effect model and the double differential model are established to study the changes of market liquidity and volatility before and after the introduction of the policy of limiting short selling. Demonstrate that short-selling restrictions in the stock market can play a role in stabilizing the market. By comparing the effects of the two policies, this paper analyzes whether the effects of restricting short selling on stabilizing the market are different in different periods of the stock market disaster. The results of descriptive statistics show that the liquidity of the market decreases and the volatility increases after the government restricts the short selling of stock index futures, and the liquidity and volatility of the market decrease at the same time after the short selling of restricted short securities. The empirical results show that after limiting short selling of stock index futures at the initial stage of the stock disaster, the liquidity of the market decreases and the volatility increases. Restricting short selling of stock index futures is not conducive to the stability of the market. The liquidity and volatility of the market are also reduced after the short selling of short securities, which is beneficial to the stability of the market to a certain extent. This paper finds that the policy of limiting short selling of stock index futures in the initial period of the stock disaster has increased the market instability and restricted short selling of stock index futures has not played a role in stabilizing the market; and in the medium term of the stock disaster, Restrictions on short-selling policy to some extent stabilized the market. This paper holds that, at the beginning of the stock market crash, market sentiment panic, investors are very sensitive to the news, and the introduction of the policy of restricting short selling will aggravate the market panic, trigger the panic selling of the market, and is not conducive to stabilizing the market. In the middle of the stock crash, the market was relatively calm relative to the initial period of the crash. Investors began to have different views, maintain a cautious attitude in participating in the market, and adopt the method of prudent trading. At this time, investors are very insensitive to information, the introduction of short-selling restrictions did not give investors an excessive stimulus. In this case, the policy of limiting short selling can correctly combat the risk of short selling and reduce market volatility, thus stabilizing the market to a certain extent. Therefore, at the time of the stock crash, the government should not blindly restrict short selling, but should choose the appropriate measures according to the actual market conditions, in order to give full play to the due effect of the policy.
【学位授予单位】：深圳大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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