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卖空作为一种重要的金融创新,经常被人们提及,但很多人却对卖空心存疑虑.中国证券市场从1990年建立以来仍无法进行卖空交易,其中一个重要的原因就是管理层担心卖空交易会导致市场大幅波动,影响金融体系的稳定性.首先,通过具有相关误差的半参数回归模型探讨了发达市场以及新兴市场的卖空机制与市场波动率的关系,结果发现卖空机制确实会增加市场的波动.其次,根据研究的结果,对我国证券市场交易机制的建立提出了一些建议,以期对我国正在拟议中的股票卖空机制有所借鉴.
As an important financial innovation, short selling is often mentioned, but many people have doubts about short selling. One of the important reasons why the Chinese stock market has not been able to carry out short selling since its establishment in 1990 is that management Worrying that the short selling will cause the market to fluctuate greatly and affect the stability of the financial system.Firstly, through the semi-parametric regression model with related errors, the relationship between the short selling mechanism in the developed and emerging markets and the market volatility will be discussed. The mechanism will indeed increase the market volatility.Secondly, according to the research results, some suggestions are put forward to the establishment of the trading mechanism in China’s securities market in order to draw lessons from our proposed stock short sale mechanism.