做空机制对我国股市波动性影响的实证分析

An Empirical Study of Short-Selling's Impact on the Volatility of China's Stock Market

我国融资融券业务于2010年3月31日正式启动,而作为一种资本市场机制,做空机制一直以来都饱受理论界和实务界的争议,做空机制对市场波动的影响尚未达成一致结论。本文考察了做空机制与市场波动性之间的关系。研究发现:(1)在样本期间内,市场波动与做空机制之间存在长期的稳定关系;(2)买空交易会在一定程度上增加市场波动,而卖空交易会在一定程度上降低市场波动,但是二者的影响均有限;(3)综合来看,做空机制并不会引起证券市场的异常波动,即使市场出现了大幅度的震荡,也不是由于卖空机制本身造成的;(4)本文认为进一步完善做空机制尤其是卖空交易机制有助于稳定市场。本文结论对于评估做空机制对市场波动的影响,防范经济冲击风险以及加强市场监管具有重要启示。

Securities margin trading was officially launched on March 31,2010 in China.However,short selling,as a capital market mechanism,it has been extensively argumented about the impact of short-mechanism on market volatility.This paper examines the relationship between short-selling and market volatility.The results show that there is a long-term stable relationship between market volatility and the turn-over of margin trading in the sample period.Short-selling mechanism does not lead to abnormal fluctuations in the stock market,and even if the market experiences heavy swings,there is nothing to do with the short selling mechanism itself.In addition,compared with the short-selling,short purchases tend to has greater impact on the market.Finally,we put forward relevant policy recommendations.The conclusions of this paper are important in assessing the impact of short-selling on market volatility,preventing risks of economic shocks and supervising market.