摘要
中国证券市场经过20多年高速发展，投资品种越来越丰富，投资规模和投资者队伍不断壮大，市场监管和约束机制逐渐加强，但是市场波动性较大、容易出现暴涨暴跌现象。通过与成熟市场比较，本文认为缺乏卖空机制是其中的重要原因。中国长期以来存在“地下”融资交易活动，但一直缺乏卖空机制。本文从卖空交易对市场运行绩效的影响，卖空限制与市场收益分布关系以及如何在我国建立卖空机制等三个角度入手，展开理论、实证和实践三个层面的研究，为中国推出融资融券业务提供理论和实证依据。
本文首先阐述了卖空机制的原理。然后对具有代表性的美国、日本和中国台湾地区的卖空交易发展历史进行比较，分析三种主要卖空交易模式形成的过程。目前全球范围内大多数国家(地区)实行了卖空机制，但各国或地区对卖空交易都有不同程度的限制，市场经济比较成熟的国家(地区)对卖空限制少，市场经济不完善的国家(地区)对卖空限制程度大或禁止卖空。
在研究卖空机制对信息效率的影响方面，将Easley et al．(1996)和Diamond andVerrecchia(1987)两个模型结合，通过建立卖空限制条件下的PIN模型，研究卖空限制对PIN的影响，进而对市场信息效率的影响。研究发现，知情交易者根据卖空限制的程度来选择是否进行卖空交易。如果卖空限制程度小，知情交易者选择卖空，坏消息因而释放出来；如果限制程度太大，知情交易者不会卖空，坏消息被隐藏。在信息分布不变的前提下，卖空交易能够促进市场价格对知情交易者信息的揭示，卖空机制有助于提高信息效率。
本文从理论和实证两个方面深入研究卖空机制对市场波动性和流动性的影响。从理论上分析，卖空机制能够增加流动性，有着稳定市场的作用，但可能存在噪声交易及正反馈风险、逼空风险、交割风险、“裸卖空”风险和国际游资冲击的风险等。在实证研究方面，首先运用单位根检验和Granger因果关系检验，研究融资融券与市场波动性和流动性之间的关系，结果表明，融资交易能显著增强流动性，融券卖空在提高市场的流动性方面不是很显著，这可能与市场监管较严和融券规模较小有关；融资和融券交易都不是市场波动率变化的Granger原因。然后以融券保证金比例调整代表卖空限制程度的变化，运用Wilcoxon和Kruskal-Wallis非参数检验方法，研究卖空限制程度变化对波动性和流动性的影响。结果表明，放松卖空限制不会显著增大市场波动性，反而可能使市场的波动性减少，卖空限制程度变化对流动性也没有显著影响。最后以2008年国际金融危机为背景，研究台湾监管当局采取的“卖空禁令”措施对市场的影响，发现实施严格卖空管制期间，波动性显著增大，没有达到稳定市场的作用，更多的只是减轻投资者心理上对金融危机的恐怖情绪。
在卖空机制与市场收益分布的关系方面，借鉴改进的BB法则划分股市周期，统计牛市和熊市的偏度情况，发现上海证券市场和香港证券市场的收益分布无论牛市还是熊市，既有正偏也有负偏。通过采用滚动窗口法对偏度动态变化的研究发现，上海市场收益分布正偏情况较多，但正偏到负偏变化急剧；而香港市场在负偏为主，但负偏程度不大。然后运用EGARCH模型检验两市的波动不对称性，发现在熊市中两个市场均存在“杠杆效应”，即坏消息对市场的影响更大；在牛市中香港市场坏消息的影响仍然更大，而上海市场则存在“反杠杆效应”。收益分布与波动的非对称性密切相关，可以认为禁止卖空的市场更容易出现“暴涨暴跌”现象。
根据前人及本文的研究并结合现实背景，中国有必要建立卖空交易机制，而且在制度建设、市场环境、投资者结构、技术等方面已经具备了推出卖空机制的条件。通过比较具有代表性的美国市场化模式、日本集中授信模式和台湾双轨制集中授信模式，本文认为中国更适合选择日本的集中授信模式。鉴于卖空交易存在一定风险，需要在信息披露、监管手段、制度体系、监管体制和监管分工等方面进一步改革和完善，防范信用交易的风险。
After more than 20 years' high-speed development in China's securities market, products, scale of investment and investor's structure have expanded, and market supervision mechanism have gradually increased. But there exists great market volatility which is prone to rise and drop suddenly and sharply. Through the comparison with foreign mature markets, the lack of short selling mechanism is one of the important reasons for market volatility in China. The "underground" activities of long sales in China have existed for many years, but there is lack of the mechanism of short sales. On the basis of theoretical, practical and empirical analysis, this article studies the short sale mechanism from the following three aspects: the influence of short sales on market performance, the relationship between short selling restrictions and market interests' distribution and how to establish the short selling mechanism in China. The purpose of the research is to offer a theoretical and practical foundation for launching short sales and margin purchase in China.
This paper first illustrates the principles of short selling mechanism, and then comparatively analyzed the history of credit transaction of the United States, Japan and Taiwan. At present, most countries or regions in the world have mechanism of short selling, but many countries or regions have restrictions on short sale in varying degrees, and those countries whose market manchanism is more perfect have fewer restrictions.
In the study of the impact of short selling mechanism on information efficiency, this paper intends to combine Easley et al. (1996)'s model with Diamond and Verrecchia (1987)'s model. Through establishing the PIN model under short-sales constraints, studying the influences of short-selling restrictions on the PIN, and the impact of short sales on market information efficiency, the author finds that informed traders decide to sell short whether or not according to the cost of short sales. If the cost is small, informed traders will decide to sell short and be able to release bad news; if the restrictions are strict, informed traders will not sell short, and then hide the bad news. Suppose the distribution of the information is unchanged, short selling will promote the market price to reveal information of the informed traders, and the short-selling mechanisms will help to improve information efficiency.
In this paper, the impact of the mechanism of short selling on market volatility and liquidity is studied from theoretical and empirical aspects. Through the theoretical analysis, we can see that short selling mechanism will increase liquidity and play a role in stabilizing the market, but at the same time there are some risks. In empirical research, first of all, the unit root test and Granger causality test are used to study the relationship between the margin purchase, short sales, market volatility and liquidity. The results show that it is not very significance in the aspect of short selling to improve market liquidity because of many regulation measures in Taiwan. The margin purchase and short sales are all not the Granger causes to market volatility. Secondly, the margin ratio of short sales in the Taiwan stock market is on behalf of the level of short selling restrictions, and Wilcoxon and Kruskal-Wallis non-parametric test methods are used to study the impact of margin ratio on the volatility and liquidity. It turns out that the relaxation of restrictions on short selling will not enlarge the fluctuation, and in some cases it will lead to less volatility. The changes of short-sale constraints have no significantly influence on liquidity. Finally, under the circumstances of international financial crisis, this paper studies the impact of "short-selling ban" on the market and finds that the implementation of strict control measures significantly increase volatility. These measures only play a role to alleviate panic of investors in the financial crisis.
In studying the relationship between short sales and the interest distribution, the improved BB rule is used to determine the stock market cycle, and evaluate the skewness of the bull and bear market. It shows that the return distribution of Shanghai and the Hong Kong stock market all have positively skewed and negatively skewed results whether in bull market or bear market. Through the use of rolling windows techniques on the dynamic changes of skewness, the author finds that the Shanghai market is positively skewed in short-term, negatively skewed in long-term and the convertin is sharp. The Hong Kong market is negatively skewed in short-term and long-term, but the extent of negativeness is not so much. Then the EGARCH model is used to test the asymmetry of volatility in the two markets. The empirical results show that whether in Shanghai or Hongkong, bad news has greater impact on market activities than good news in the bear market. But in the bull market, there is "leverage" effect in Hongkong and there is "anti-leverage" effect in Shanghai. The differences arise mainly because of lack of short-selling mechanism in the Shanghai securities market, affecting the absorbing of price to bad news.
Based on the studies of former chapters and other scholars, short sales mechanism is necessary to be established in China considering the present condition of the law system, the market environment, investors' structure and technology. By comparing the credit model of the U.S., Japan and Taiwan, China can follow the credit model of Japan. Because there are some risks in short selling transactions, we need to increase the disclosure of information; use monitoring tools freely, perfect the law system, reform the supervisory system and further improve the regulatory framework.
引文
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