卖空限制对股票市场收益非对称性的影响——基于上海和香港的实证比较研究

The Influence of Short-sales Constraints on Stock Return Asymmetry

利用改进的BB法则划分股市的波动周期,运用EGARCH-GED模型比较研究了上海和香港股票市场的非对称性问题。通过研究发现,上证综指的收益分布从长期来看呈负偏,而恒生指数呈正偏;在熊市中两个市场均存在"杠杆效应",在牛市中香港市场坏消息的影响仍然更大,而上海市场则存在"反杠杆效应"。出现这一差异主要由于上海证券市场缺乏卖空机制,影响了价格对坏消息的吸收,这一结果能够解释我国内地股市"暴涨暴跌"的现象。

This paper examines the asymmetry problems of Shanghai and Hongkong stock markets with EGARCH-GED model and divides the volatility cycles by use of BB law. We find out that the return distribution of the SHCI is negatively skewed, but that of the HSI is positively skewed. The empirical results show that whether in Shanghai or Hong Kong, bad news has greater impact on market activities than good news in the bear market. But in the bull market, there is ＂leverage＂ effect in Hong Kong and there is ＂anti-leverage＂ effect in Shanghai. The differences arise mainly because of the lack of short-selling mechanism in the Shanghai securities market, which affects the absorbing of price to bad news and explains the drastic rising and slumping in the mainland stock markets.