新兴市场引入卖空机制对股市的冲击效应——来自香港证券市场的经验证据被引量：51

The Shock Effect of Short Selling Mechanism to Emerging Market:Evidence from Hong Kong Stock Market

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摘要卖空交易机制作为证券市场中的重要交易制度,对完善市场功能起着不可或缺的作用,那么在新兴市场国家中引入卖空交易机制是否会加剧整个市场的波动?文章利用我国香港股票市场上的数据进行实证检验,发现卖空交易机制对整个市场的影响是一个相当复杂的过程,最终的影响方向(加剧市场波动还是平抑市场波动)取决于市场中卖空交易者类型、操作策略及交易信息的公开程度。如果仅考虑投机性卖空者的操作对整个市场的影响,则卖空交易机制的存在会对整个市场的波动起到“缓冲”作用,在一定程度上会对市场上的暴涨暴跌现象起到平抑作用,而不会加剧整个市场的波动。 As an important trading system in the modern securities market, the short selling mechanism plays great roles in perfecting the market functions. But may the allowance of short selling mechanism in the emerging market enhance the market volatility？ The paper discusses the relationship between the market volatility and short sales with the data from Hong Kong stock market, and the result suggests that the effect of short selling on the whole market volatility is very complicated, and the final result may depend on the types of short sellers, trading strategies of investors and the openness of trading information. If only with the consideration of speculative short sales, the short sales can play an important role in buffering stock price vol- atility in stead of aggregating it.

作者廖士光张宗新

机构地区上海交通大学管理学院复旦大学金融研究院

出处《财经研究》 CSSCI 北大核心 2005年第10期42-52,共11页 Journal of Finance and Economics

基金国家自然科学基金研究项目(70303006)

关键词卖空交易机制股价波动 short selling trading mechanism stock price volatility

分类号 F830.91 [经济管理—金融学]

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