卖空机制对资产价格波动和资产泡沫的影响——文献评述与研究展望

The Impact of Short Selling Mechanics on Asset Prices and Bubbles:Literature Review and Future Research Agenda

本文从理论研究、经验研究和实验研究三个方面对国内外关于卖空机制对资产价格影响的文献进行了梳理,对实施或放松卖空约束对金融市场波动与资产泡沫的影响的相关研究成果进行了归纳和总结,对2008～2009年全球金融危机后世界各国的卖空监管及最新研究成果进行了概括。现有研究在市场机制与投资者的假设、研究结论的稳健性等方面存在不足,本文对未来相关研究中有待进一步探索的问题进行了展望。

This paper reviews the literature about the impacts of short selling mechanics on asset price fluctuation and asset bubbles from the aspects of theoretic research,empirical research and experimental research.We summarize the latest research progress in related field after the 2008-2009 global financial crises.We finally discuss the limitations and challenges in existed research,and point out some open issues and directions that need to be further studied in future research.