中国股票市场卖空机制研究
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摘要
2008年10月5日,中国证监会有关部门负责人宣布将于近期启动证券公司融资融券业务试点工作。这表明我国股票市场卖空机制的推出时间越来越近。本文从理论和实证方面研究了中国股票市场的卖空机制,并提出了相关政策建议,可以为监管层提供一定的借鉴。
卖空机制的三大功能(增加市场有效性、减小市场波动、增加市场流动性)是本文的主要研究内容,也是贯穿全文的主线。本文从结构上分为五部分,相关内容分别如下:
导论部分简单扼要地介绍了本文的选题意义、研究内容和路径、预期的研究结果以及可能的创新,是对全文思路的总结。另外,本章简单介绍了什么是卖空机制、卖空机制的发展历史、卖空机制在国外的实施情况等,为后面的研究提供了相关的背景知识。
第一章是文献综述,按照卖空机制的三大功能进行分类,清晰展示了针对各个功能,国内外学者所做过的工作和得出的结论,为本文的研究方法和思路提供了借鉴。
第二章是理论分析部分,从经济学的基本理论和逻辑出发,考察了市场参与者在卖空机制存在或约束的情况下的市场行为差异,从而在理论上解释了卖空机制对股票市场的三大功能及其实现机制。
第三章是实证分析部分。本文选取香港股票市场和A股市场作为分析对象,通过香港市场引入卖空机制前后不同时期的对比分析,证明了卖空机制减小市场波动的功能;通过对A+H这个特殊板块可卖空和非卖空溢价指数的分析,得出了卖空具备价格发现功能的结论。
第四章是政策建议部分,主要从卖空机制的必要性、推出卖空机制的时机选择、卖空机制具体制度设计三个方面给出了相关的建议,供决策层参考。
本文在实证研究方法上具有一定的创新。具体来说,一是研究对象的创新,本文选取了A+H股这个特殊板块进行研究,这在卖空机制的研究中是尚未有过的;二是剔除市场差异方法的创新,即考察可卖空和非卖空AH溢价指数的相对涨跌幅度,消除了不同市场的系统性差异。
On Oct. 5th 2008, person responsible for China' s Securities Regulatory Commission has announced that the pilot project on short selling and margin financing will be launched recently, which indicates that the time of adopting the short selling mechanism is becoming closer. This paper studied the influences of shorting mechanism on China stock market from both theoretical and practical aspects, gave some related policy suggestions which could provide some reference for the supervisors.
The three main functions of the short sale mechanism—increasing market efficiency, decreasing market fluctuation and improving market liquidity—are the main topics of and also the main thread across this paper. This paper can be divided into five parts which are listed below.
The introduction part briefly introduced the meaning of this study, the subjects and methodology of the research, the anticipated results and possible innovations. It is a summary of the overall pathway of this study. Besides, this part also gave the definition of short selling, briefed the history and current situation of carrying out this mechanism, which provides the background of the following research.
The first chapter is a Literature Review, which has been divided into three topics according to the three functions of short selling. This part summarized the past work and results in this area by both local and foreign scholars, which is good reference for the methodology and theory of this paper.
The second chapter is a theoretical analysis of short selling. This part stands on the basic theory and logic of Economics and Finance, analyzed the different market behaviors between stock markets with short selling mechanism present or absent. This part explained why the three main functions exist and how they are realized on the stock market.
The third part is an empirical study on short selling. Hong Kong Stock Market and China' s A-share Market are selected as the study subjects. By comparing the market performances before and after the introduction of short selling in Hong Kong stock market, we derived that short sale mechanism can alleviate market fluctuation. And by comparing the relative changes between shortable and nonshortable AH premium indices of A+H shares panel, we derived that short selling has the ability to improve market efficiency.
The fourth part is about policy suggestions. It provides some practical suggestions for decision makers in three aspects: the necessity of introducing short selling, the timing to start the mechanism, and some specific good rules we should learn from experiences.
This paper intended to have some innovations on the methodology of doing empirical research. Specifically, one innovation is to choose a new study subject. This paper selected a unique panel-China' s A+H shares as the subject which has never been selected in short selling research before. The other innovation is a new method to eliminate the systematical difference of different markets. This paper studied two AH premium indices which are relative parameters. By studying the changes in a relative fraction, we can ignore the systematical differences.
卖空机制的三大功能(增加市场有效性、减小市场波动、增加市场流动性)是本文的主要研究内容,也是贯穿全文的主线。本文从结构上分为五部分,相关内容分别如下:
导论部分简单扼要地介绍了本文的选题意义、研究内容和路径、预期的研究结果以及可能的创新,是对全文思路的总结。另外,本章简单介绍了什么是卖空机制、卖空机制的发展历史、卖空机制在国外的实施情况等,为后面的研究提供了相关的背景知识。
第一章是文献综述,按照卖空机制的三大功能进行分类,清晰展示了针对各个功能,国内外学者所做过的工作和得出的结论,为本文的研究方法和思路提供了借鉴。
第二章是理论分析部分,从经济学的基本理论和逻辑出发,考察了市场参与者在卖空机制存在或约束的情况下的市场行为差异,从而在理论上解释了卖空机制对股票市场的三大功能及其实现机制。
第三章是实证分析部分。本文选取香港股票市场和A股市场作为分析对象,通过香港市场引入卖空机制前后不同时期的对比分析,证明了卖空机制减小市场波动的功能;通过对A+H这个特殊板块可卖空和非卖空溢价指数的分析,得出了卖空具备价格发现功能的结论。
第四章是政策建议部分,主要从卖空机制的必要性、推出卖空机制的时机选择、卖空机制具体制度设计三个方面给出了相关的建议,供决策层参考。
本文在实证研究方法上具有一定的创新。具体来说,一是研究对象的创新,本文选取了A+H股这个特殊板块进行研究,这在卖空机制的研究中是尚未有过的;二是剔除市场差异方法的创新,即考察可卖空和非卖空AH溢价指数的相对涨跌幅度,消除了不同市场的系统性差异。
On Oct. 5th 2008, person responsible for China' s Securities Regulatory Commission has announced that the pilot project on short selling and margin financing will be launched recently, which indicates that the time of adopting the short selling mechanism is becoming closer. This paper studied the influences of shorting mechanism on China stock market from both theoretical and practical aspects, gave some related policy suggestions which could provide some reference for the supervisors.
The three main functions of the short sale mechanism—increasing market efficiency, decreasing market fluctuation and improving market liquidity—are the main topics of and also the main thread across this paper. This paper can be divided into five parts which are listed below.
The introduction part briefly introduced the meaning of this study, the subjects and methodology of the research, the anticipated results and possible innovations. It is a summary of the overall pathway of this study. Besides, this part also gave the definition of short selling, briefed the history and current situation of carrying out this mechanism, which provides the background of the following research.
The first chapter is a Literature Review, which has been divided into three topics according to the three functions of short selling. This part summarized the past work and results in this area by both local and foreign scholars, which is good reference for the methodology and theory of this paper.
The second chapter is a theoretical analysis of short selling. This part stands on the basic theory and logic of Economics and Finance, analyzed the different market behaviors between stock markets with short selling mechanism present or absent. This part explained why the three main functions exist and how they are realized on the stock market.
The third part is an empirical study on short selling. Hong Kong Stock Market and China' s A-share Market are selected as the study subjects. By comparing the market performances before and after the introduction of short selling in Hong Kong stock market, we derived that short sale mechanism can alleviate market fluctuation. And by comparing the relative changes between shortable and nonshortable AH premium indices of A+H shares panel, we derived that short selling has the ability to improve market efficiency.
The fourth part is about policy suggestions. It provides some practical suggestions for decision makers in three aspects: the necessity of introducing short selling, the timing to start the mechanism, and some specific good rules we should learn from experiences.
This paper intended to have some innovations on the methodology of doing empirical research. Specifically, one innovation is to choose a new study subject. This paper selected a unique panel-China' s A+H shares as the subject which has never been selected in short selling research before. The other innovation is a new method to eliminate the systematical difference of different markets. This paper studied two AH premium indices which are relative parameters. By studying the changes in a relative fraction, we can ignore the systematical differences.
引文
[1] Allen, Franklin, And Douglas Gale. Arbitrage, Short Sales, And Financial Innovation[J]. Econometrica, 1991, 59: 1041-1068.
[2] Arturo Bris, William N. Goetzmann, And Ning Zhu. Efficiency And The Bear: Short Sales And Markets Around The World[J]. The Journal Of Finance, 2007, 12(3).
[3] Asquith, P., And L. Meulbroek. An Empirical Investigation Of Short Interest[R]. 1995, Working Paper, Harvard Business School.
[4] Boehme, Rodney D., Bartley R. Danielsen, and Sorin M. Sorescu. Short-Sale Constraints, Dierences Of Opinion, And Overvaluation[J]. Journal Of Financial And Quantitative Analysis, 2006, 41: 455-487.
[5] Brent A D Morse, E K Stice. Short Interest: Explanation And Tests[J]. Journal Of Financial And Quantitative Analysis, 1990, 25: 273-289.
[6] Bris, Arturo, William N. Goetzmann, Ning Zhu. Short Sales In Global Perspective[A]. In Frank Fabozzi. The Theory And Practice Of Short-Selling[M]. Wiley, New York, 2005.
[7] Charoenrook, A. And H. Daouk. A Study Of Market-Wide Short-Selling Restrictions[R]. 2005, Working Paper.
[8] Cohen, Daniel A., Karl B. Diether, And Lauren Mailoy. Supply And Demand Shifts In The Shorting Market[J]. Journal Of Finance, 2007.
[9] Conrad Jennifer. The price effect of short interest announcement[R]. 1994, Working paper, University of North Carolina.
[10] D'Avolio, Gene. The Market For Borrowing Stock[J]. Journal Of Financial Economics, 2004, 66: 271-306.
[11] Diamond, D. And R. Verrecchia. Constraints On Short-Selling And Asset Price Adjustment To Private Information[J]. Journal Of Financial Economics, 1987, 18: 277-311.
[12] Diether, K., K. -H. Lee And I. Werner. Can Short Sellers Predict Returns? Daily Evidence[R]. 2005, Working Paper, Ohio State University.
[13] Duffie, D., N. Garleanu And L. H. Pedersen. Securities Lending, Shorting And Pricing[J]. Journal Of Financial Economics, 2002, 66: 307-359.
[14] Eric C. Chang, Joseph W. Cheng And Yinghui Yu. Short-Sales Constraints And Price Discovery: Evidence From The Hong Kong Market[J]. The Journal Of Finance, 2007, 12(5).
[15] Evans, Rich, Chris Geczy, David Musto, And Adam V. Reed. Failure Is An Option: Impediments To Short-Selling And Option Prices[J]. Review Of Financial Studies, 2007.
[16] Fliglewski, Stephen, Gwendolyn P Webb. Option, Short Sales And Market Completeness[J]. Journal Of Finance, 1993, (48): 761-777.
[17] Francis, J, M. Venkatachalam And Y.Zhang. Do Short Sellers Convey Information About Changes In Fundamentals Or Risk?[R]. 2005, Working Paper, Duke University.
[18] George Alexandridis, Antonios Antoniou And Huainan Zhao. Valuation Effects Of Short Sale Constraints: The Case Of Corporate Takeovers [J]. European Financial Management, 2006, 12(5): 747-762.
[19] Gopalan, M. Short Constraints, Difference Of Opinion And Stock Returns[R]. 2003, Working Paper, Duke University.
[20] Haruvy, E. And Ch. Noussair. The Effect Of Short Selling On Bubbles And Crashes In Experimental Spot Asset Markets[J]. Journal Of Finance, 2005.
[21] Hong, H. And Stein, J.. Differences Of Opinion, Short Sale Constraints And Market Crashes[J]. The Review Of Financial Studies, 2003, 16: 487 - 525.
[22] Hsinan Hsu, Shih-Ju Chan, Ching-Chung Lin. Impacts Of Margin Trades On The Price Volatility And Trading Volume Of Ipo Stocks[J]. Commerce & Management Quarterly, 2006, 7(3): 531-549.
[23] James J. Angel. Short Selling On The Nyse[R]. 1997.10.27.
[24] Jarrow, Robert. Heterogeneous Expectations, Restrictions On Short Sales, And Equilibrium Asset Prices[J]. Journal Of Finance, 1980, 35: 1105-1113.
[25] Jones, Charles, And Owen Lamont. Short Sales Constraints And Stock Returns[J]. Journal Of Financial Economics, 2002, 66: 207-239.
[26] Lamont, Owen, And Jeremy C. Stein. Aggregate Short Interest And Market Valuations[J]. American Economic Review, 2004, 94: 29-32.
[27] Miller, Edward M. Risk, Uncertainty, And Divergence Of Opinion[J]. Journal Of Finance, 1977, 32(4): 1151-1168.
[28]Nagel,S..Short Sales,Institutional Investors And The Cross Section Of Stock Returns[J].Journal Of Financial Economics,2005,78:277-309.
[29]Saffi,Pedro A.C.And Sigurdsson,Kari.Price Efficiency And Short-Selling[R].Afa 2008 New Orleans Meetings Paper,2007.10.10
[30]Scheinkman,Jose A.,And Wei Xiong.Overcondence And Speculative Bubbles[J].Journal Of Political Economy,2003,111:1183-1219.
[31]Sefieddine,A.,And W.Wilhelm.An Empirical Investigation Of Short-Selling Activity Prior To Seasoned Equity Offerings[J].Journal Of Finance,1996,51:729-749.
[32]Senchack,A.J.,And L.T.Starks.Short-Sale Restrictions And Market Reaction To Short-Interest Announcements[J].Journal Of Financial And Quantitative Analysis,1993,28:177-194.
[33]Seneca,J.J..Short Interest:Bearish Or Bullish?[J].Journal Of Finance,1997,52:35-55.
[34]The Chase Manhattan Bank And The Astec Consulting Group.Short Selling[R].2000.
[35]Woolridge J.,And A.Dickinson.Short Selling And Common Stock Prices[J].Financial Analysis Journal,1994,50:20-28.
[36]包苏昱.卖空机制作用的有限性及其负面影响[J].商业时代,2007,4.
[37]蔡向辉.海外股指期货与卖空机制推出时间比较分析[J].证券市场导报,2007,11.
[38]陈建瑜.我国开展证券融资融券交易问题研究[R].深圳证券交易所综合研究所,2005.
[39]陈森鑫、郑振龙.推出卖空机制对证券市场波动率的影响[J].证券市场导报,2008,2.
[40]陈中武.卖空机制与资本市场效率[J].河南社会科学,2005,9.
[41]李艾娜、胡荣才.卖空机制:我国证券市场发展的必然要求[J].统计与决策,2003,3.
[42]李昌荣、刘逖.我国证券市场卖空机制模式的选择分析[J].证券市场导报,2005,3.
[43]李泉池、朱天星、徐占东.卖空机制—我国股市发展的必然趋势[J].黑龙江对外经贸,2006,3.
[44]李宜洋,赵威.关于建立融券卖空机制对股市影响的分析[J].金融理论与 实践,2006,2期.
[45]梁立俊.禁止卖空机制与投资者行为退化的模型分析[J].当代财经,2006,4.
[46]廖士光、杨朝军.海外证券市场卖空交易机制基本功能研究[J].外国经济与管理,2005,3.
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[50]刘阳.交易机制对我国证券市场波动性的影响分析[J].南开经济研究,2003,4.
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[52]钱艳英.我国证券卖空行为与卖空机制的建立[J].统计与决策,2006,4.
[53]孙培源、施东晖.涨跌幅限制降低了股价波动吗--来自中国股票市场的证据[J].证券市场导报,2001,11.
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[56]吴淑艰、廖士光.融资融券交易的市场冲击效应研究:台湾的经验与启示[R].海证券研究报告,2007.
[57]殷玲、唐杰.GARCH-M模型与我国沪深股市的波动[J].江南大学学报(人文社会科学版),2002,2.
[58]袁华涛、付新刚.卖空机制、分散原理与股市稳定[J].全国商情(经济理论研究),2007,3.
[59]郑振龙、俞琳、张睿.卖空约束对股票市场的影响[J].河北经贸大学学报,2004.11.
[2] Arturo Bris, William N. Goetzmann, And Ning Zhu. Efficiency And The Bear: Short Sales And Markets Around The World[J]. The Journal Of Finance, 2007, 12(3).
[3] Asquith, P., And L. Meulbroek. An Empirical Investigation Of Short Interest[R]. 1995, Working Paper, Harvard Business School.
[4] Boehme, Rodney D., Bartley R. Danielsen, and Sorin M. Sorescu. Short-Sale Constraints, Dierences Of Opinion, And Overvaluation[J]. Journal Of Financial And Quantitative Analysis, 2006, 41: 455-487.
[5] Brent A D Morse, E K Stice. Short Interest: Explanation And Tests[J]. Journal Of Financial And Quantitative Analysis, 1990, 25: 273-289.
[6] Bris, Arturo, William N. Goetzmann, Ning Zhu. Short Sales In Global Perspective[A]. In Frank Fabozzi. The Theory And Practice Of Short-Selling[M]. Wiley, New York, 2005.
[7] Charoenrook, A. And H. Daouk. A Study Of Market-Wide Short-Selling Restrictions[R]. 2005, Working Paper.
[8] Cohen, Daniel A., Karl B. Diether, And Lauren Mailoy. Supply And Demand Shifts In The Shorting Market[J]. Journal Of Finance, 2007.
[9] Conrad Jennifer. The price effect of short interest announcement[R]. 1994, Working paper, University of North Carolina.
[10] D'Avolio, Gene. The Market For Borrowing Stock[J]. Journal Of Financial Economics, 2004, 66: 271-306.
[11] Diamond, D. And R. Verrecchia. Constraints On Short-Selling And Asset Price Adjustment To Private Information[J]. Journal Of Financial Economics, 1987, 18: 277-311.
[12] Diether, K., K. -H. Lee And I. Werner. Can Short Sellers Predict Returns? Daily Evidence[R]. 2005, Working Paper, Ohio State University.
[13] Duffie, D., N. Garleanu And L. H. Pedersen. Securities Lending, Shorting And Pricing[J]. Journal Of Financial Economics, 2002, 66: 307-359.
[14] Eric C. Chang, Joseph W. Cheng And Yinghui Yu. Short-Sales Constraints And Price Discovery: Evidence From The Hong Kong Market[J]. The Journal Of Finance, 2007, 12(5).
[15] Evans, Rich, Chris Geczy, David Musto, And Adam V. Reed. Failure Is An Option: Impediments To Short-Selling And Option Prices[J]. Review Of Financial Studies, 2007.
[16] Fliglewski, Stephen, Gwendolyn P Webb. Option, Short Sales And Market Completeness[J]. Journal Of Finance, 1993, (48): 761-777.
[17] Francis, J, M. Venkatachalam And Y.Zhang. Do Short Sellers Convey Information About Changes In Fundamentals Or Risk?[R]. 2005, Working Paper, Duke University.
[18] George Alexandridis, Antonios Antoniou And Huainan Zhao. Valuation Effects Of Short Sale Constraints: The Case Of Corporate Takeovers [J]. European Financial Management, 2006, 12(5): 747-762.
[19] Gopalan, M. Short Constraints, Difference Of Opinion And Stock Returns[R]. 2003, Working Paper, Duke University.
[20] Haruvy, E. And Ch. Noussair. The Effect Of Short Selling On Bubbles And Crashes In Experimental Spot Asset Markets[J]. Journal Of Finance, 2005.
[21] Hong, H. And Stein, J.. Differences Of Opinion, Short Sale Constraints And Market Crashes[J]. The Review Of Financial Studies, 2003, 16: 487 - 525.
[22] Hsinan Hsu, Shih-Ju Chan, Ching-Chung Lin. Impacts Of Margin Trades On The Price Volatility And Trading Volume Of Ipo Stocks[J]. Commerce & Management Quarterly, 2006, 7(3): 531-549.
[23] James J. Angel. Short Selling On The Nyse[R]. 1997.10.27.
[24] Jarrow, Robert. Heterogeneous Expectations, Restrictions On Short Sales, And Equilibrium Asset Prices[J]. Journal Of Finance, 1980, 35: 1105-1113.
[25] Jones, Charles, And Owen Lamont. Short Sales Constraints And Stock Returns[J]. Journal Of Financial Economics, 2002, 66: 207-239.
[26] Lamont, Owen, And Jeremy C. Stein. Aggregate Short Interest And Market Valuations[J]. American Economic Review, 2004, 94: 29-32.
[27] Miller, Edward M. Risk, Uncertainty, And Divergence Of Opinion[J]. Journal Of Finance, 1977, 32(4): 1151-1168.
[28]Nagel,S..Short Sales,Institutional Investors And The Cross Section Of Stock Returns[J].Journal Of Financial Economics,2005,78:277-309.
[29]Saffi,Pedro A.C.And Sigurdsson,Kari.Price Efficiency And Short-Selling[R].Afa 2008 New Orleans Meetings Paper,2007.10.10
[30]Scheinkman,Jose A.,And Wei Xiong.Overcondence And Speculative Bubbles[J].Journal Of Political Economy,2003,111:1183-1219.
[31]Sefieddine,A.,And W.Wilhelm.An Empirical Investigation Of Short-Selling Activity Prior To Seasoned Equity Offerings[J].Journal Of Finance,1996,51:729-749.
[32]Senchack,A.J.,And L.T.Starks.Short-Sale Restrictions And Market Reaction To Short-Interest Announcements[J].Journal Of Financial And Quantitative Analysis,1993,28:177-194.
[33]Seneca,J.J..Short Interest:Bearish Or Bullish?[J].Journal Of Finance,1997,52:35-55.
[34]The Chase Manhattan Bank And The Astec Consulting Group.Short Selling[R].2000.
[35]Woolridge J.,And A.Dickinson.Short Selling And Common Stock Prices[J].Financial Analysis Journal,1994,50:20-28.
[36]包苏昱.卖空机制作用的有限性及其负面影响[J].商业时代,2007,4.
[37]蔡向辉.海外股指期货与卖空机制推出时间比较分析[J].证券市场导报,2007,11.
[38]陈建瑜.我国开展证券融资融券交易问题研究[R].深圳证券交易所综合研究所,2005.
[39]陈森鑫、郑振龙.推出卖空机制对证券市场波动率的影响[J].证券市场导报,2008,2.
[40]陈中武.卖空机制与资本市场效率[J].河南社会科学,2005,9.
[41]李艾娜、胡荣才.卖空机制:我国证券市场发展的必然要求[J].统计与决策,2003,3.
[42]李昌荣、刘逖.我国证券市场卖空机制模式的选择分析[J].证券市场导报,2005,3.
[43]李泉池、朱天星、徐占东.卖空机制—我国股市发展的必然趋势[J].黑龙江对外经贸,2006,3.
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