“信用违约互换”裸卖空的风险与管制

Risks and Regulation of “CDS” Naked Short Selling

金融衍生工具的祼交易会增加市场的流动性风险、信用风险、系统性风险,甚至引发危机。实证研究表明,"信用违约互换(CDS)"祼卖空交易使希腊主权债务危机具有预期自致的特性。无论是主权债务危机中欧盟严禁信用违约互换祼卖空,还是中国股灾中对股指期货祼交易的全面禁止,都是"亡羊补牢"式的必要措施。要消除危机中的负反馈效应,应抑制投机,阻断危机自强化机制。中国应摒弃"市场原教旨主义",借鉴欧盟经验,谨慎对待金融衍生工具的创新,抑制投机行为,严禁祼卖空交易;同时应警惕对城投债的"无风险套利"。

Naked short selling as a financial derivative instrument may increase the liquidity risk, credit risks, systematic risks, and even trigger crisis. Empirical studies show CDS （credit default swaps） naked short selling makes the Greek sovereign-debt crisis have expected and self-imposed characteristics. In Greek crisis, European Union forbid CDS naked short selling. In Chinese stock market crash, stock futures naked short selling was completely prohibited. They are both necessary measures taken in the hope that it is not already too late. To root out the negative feedback effects in crisis, we need to curb speculation and interrupt self-feedback mechanism. China should discard ＂market fundamentalism＂, learn from EU experience to be cautious about the innovation of financial instruments, curb speculation, prohibit naked short selling, and at the same time be wary of riskless arbitrage of quasi-municipal bond .