卖空机制效率评价:基于金融系统工程视角的状态空间方法

Evaluation of Short Selling:A State Space Approach from Financial System Engineering Perspective

开通卖空机制引致的市场波动性增大,是长期困扰监管当局的一个问题。基于系统科学与系统工程思想,将金融看作一个系统,利用金融系统工程视角的状态空间方法,充分考虑市场参与者行为因素的影响,将股票价格变化分解为信息冲击、市场参与者对信息冲击的反应,以及噪声三部分,从理论上解释卖空机制开通与市场波动性增大的关联性。实证结果显示,卖空交易显著增大了信息吸收速度,降低了噪声方差在收益率方差中的占比,市场整体波动性增大的本质原因是市场参与者信息吸收速度的提升。这一结论说明开通卖空机制引致的市场波动性增大是市场进化的自然结果,同时验证了卖空机制对我国股票市场价格发现效率提升的积极作用。

One question that has plagued regulators for a long time is that the volatility in the stock market has always been increased when short selling bans are removed.With the perspective of financial system engineering,the state space approach that takes into account the effect of behavior factors on the complex system,can help us decompose the price return into three parts:the innovation shock,the investors’reaction to the innovation shock,and the noise.This approach deepens our recognition and consideration about the question theoretically.Empirical result shows that short selling significantly increases the speed of investors’reaction to innovations and decreases the ratio of noise in the return volatility.This result indicates that the increased volatility comes from the increased speed of investors’reaction to innovations and therefore is the natural result of the development of stock market.The paper confirms the substan-tial improvement on price discovery efficiency induced by short selling in the Chinese stock market.