卖空交易机制对股票市场波动的影响研究

Study on the influence of short selling mechanism on stock market volatility

采用有向无环图以及基于结构化VAR模型的脉冲响应分析技术,实证分析了融券卖空交易与股票市场流动性、波动性之间的动态关系。结果表明,融券卖空交易会促进股票市场流动性增加,并有助于降低股票市场波动。目前,受券源供给不足、融券成本较高等因素影响,我国股票市场融资融券存在结构性失衡,融券业务规模占比较低,建议监管部门以完善融券交易制度设计为核心,缓解融资融券业务失衡现状,使融券交易增加市场流动性、平抑市场波动的功能得到有效发挥。

The dynamic relationship among short selling,market liquidity and volatility in China's stock market was analyzed empirically with directed acyclic graphs and impulse response analysis technology based on structural VAR model.The results show that short selling will increase the liquidity of the stock market and reduce the volatility of the stock market.So far,due to the insufficient supply of securities sources and higher cost of securities lending,there is structural imbalance in short selling and margin trading activities in China's stock market,and short selling business scale accounts for a relatively low proportion.It is suggested that the regulatory authorities should take improving the design of short selling and margin trading system as the core to alleviate it,making the functions of increasing market liquidity and stabilizing market volatility worked.