卖空交易机制、波动性和流动性--一个基于香港股市的经验研究

本文利用中国香港股票市场上的数据来实证研究卖空交易机制与市场波动性、流动性间的内在联系,研究结果表明,对于整个股票市场而言,卖空机制推出后,市场波动性加大、流动性先减弱后增强,但Granger因果检验结果证实市场波动性的增加和流动性的增强并非是由卖空交易引发的。卖空机制对整个市场的影响是一个复杂的过程,最终的影响方向(加剧市场波动或平抑市场波动)还要取决于市场中卖空交易者的类型、操作策略及交易信息的公开程度。

The Short Selling Mechanism,the Market Fluctuation,and the Market Fluidity

In this article, we have, by the data contributed by Hong Kong Stock Market, "case- studied" the intrinsic correlation between the short sale setup, the market fluctuation and the market flexibility.Our study indicates that, in terms of stock markets taken as a whole, since the short sale system was carried out, the market has swung more sharply than before, and the fluidity has gown to be weaker at first and then stronger; but the result achieved by Granger's cause-and-effect examination has confirmed that the augmentation of the market fluctuation and the increase of the fluidity have been ignited not by short sale transactions. The effect of the selling-short system on the whole market is the outcome of a complicated process, but the orientation-whether this effect boosts or steadies market flux-epends on the type of short sale dealers on the market, on operation tactics and the degree of making transactions information public.