上海证券市场波动性现状与卖空交易机制建立

The Study on Volatility and Establishment of Short Sales Trading Mechanism in Shanghai Stock Market

在金融市场微观结构理论分析框架下,交易机制的变革以市场质量为评判基准。运用相关模型的实证研究表明,上海证券市场存在着较为明显的波动聚集、波动持续现象,市场整体波动性较大。根据卖空机制的制度功能分析,卖空限制的存在增加了该市场的波动性水平,降低了市场质量,因此有必要在该市场建立卖空交易机制以降低其波动性水平,在建立模式的选择上可以参照香港建立证券登记结算公司模式的卖空机制。

The quality of financial market performs the evaluation index function under the micro-structure theory. In this paper, the authors make research on the institutional function of short sales trading mechanism based on the current volatility analysis of Shanghai Stock Market and draw the conclusion that it is necessary to establish short sales trading mechanism in the market, for the short sales constraints may enhance the volatility and abase financial market quality. The authors also suggest establishing short sales mechanism in Shanghai Stock Market with reference to securities depository and clearing corporation model in Hong Kong.