新兴市场引入卖空机制对股市的冲击效应——来自香港证券市场的经验证据
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财经研究 2005 年 第 31 卷第 10 期, 页码：44 - 54
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摘要
卖空交易机制作为证券市场中的重要交易制度,对完善市场功能起着不可或缺的作用,那么在新兴市场国家中引入卖空交易机制是否会加剧整个市场的波动?文章利用我国香港股票市场上的数据进行实证检验,发现卖空交易机制对整个市场的影响是一个相当复杂的过程,最终的影响方向(加剧市场波动还是平抑市场波动)取决于市场中卖空交易者类型、操作策略及交易信息的公开程度。如果仅考虑投机性卖空者的操作对整个市场的影响,则卖空交易机制的存在会对整个市场的波动起到“缓冲”作用,在一定程度上会对市场上的暴涨暴跌现象起到平抑作用,而不会加剧整个市场的波动。
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[3]Arturo Bris,William N Goetzmann,Ning Zhu.Efficiency and the bear:Short sales andmarkets around the world[R].Working paper,Yale International Center for Finance,2003.
[4]Brent A D Morse,E K Stice.Short interest:Explanation and tests[J].Journal of Fi-nancial and Quantitative Analysis,1990,(25):273~289.
[5]Conrad Jennifer.The price effect of short interest announcement[R].Working paper,University of North Carolina,1994.
[6]Eric C Chang,Yinghui Yu.Short-sales constraints and price discovery:Evidence fromthe Hong Kong Market[R].Working paper,2004:35.
[7]Figlewski Stephen,Gwendolyn P Webb.Options,short sales and market completeness[J].Journal of Finance,1993,(48):761~777.
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[10]Senchack A J,Laura T Stark.Short-sale restrictions and market reaction to short-in-terest announcement[J].Journal of Financial and Quantitative Analysis,1993,(28):177~194.
引用本文
廖士光, 张宗新. 新兴市场引入卖空机制对股市的冲击效应——来自香港证券市场的经验证据[J]. 财经研究, 2005, 31(10): 44–54.
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