推出卖空机制对证券市场波动率的影响被引量：36

The Effect of Short-selling Mechanism on the Volatility of Stock Markets: Evidence from Hong Kong Market

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摘要一直以来,理论界和实务界对于证券市场上是否允许卖空存在很大争议,争议的焦点之一就在于引入卖空机制是否会加大市场的波动性甚至引发市场危机。本文运用非对称GARCH模型探讨了香港市场推出卖空机制前后市场波动率的变动情况,发现推出卖空机制不仅不会加大证券市场的波动,反而使权证券市场的波动率有所降低。 The debate among various market participants on the short-selling of securities has been continuing for a long period. Opponents of short-selling argue that it disrupts orderly market operation by causing panic selling, high volatility, and market crashes. This paper investigates the changes of Hong Kong stock market volatility using dissymmetrical GARCH model, and the results indicate that the introduction of short-selling will reduce the volatility of the market.

作者陈淼鑫郑振龙

机构地区厦门大学金融系

出处《证券市场导报》 CSSCI 北大核心 2008年第2期61-65,共5页 Securities Market Herald

基金教育部优秀人才支持计划教育部人文社科基地重大项目"金融制度设计与经济增长"(编号:05JJD790026)

关键词卖空机制市场波动性香港市场 short-selling mechanism market volatility Hong Kong market

分类号 F830.9 [经济管理—金融学]

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参考文献7

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