海外证券市场卖空交易机制基本功能研究
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外国经济与管理 2005 年 第 27 卷第 03 期, 页码：40 - 47
摘要
参考文献
摘要
证券市场的卖空交易机制通常具有稳定市场、发现价格以及提供流动性和调控 工具等基本功能。本文在介绍境外证券市场卖空交易机制实证研究的基础上,对境外证券市 场卖空交易机制的功能进行了深入的研究。研究结果表明,证券市场的卖空交易机制能发挥 稳定市场、发现价格和提供流动性的功能,但只有有限的市场宏观调控功能。
④Lee和Yoo(1991)研究美国、日本、韩国和台湾地区的证券信用保证金比例变化与股价水平之间关系时,认为从总体上看股价变化与证券信用保证金比例变化呈微弱相关性,但台湾地区的股价变化与证券信用保证金比例变化的相关性要强于其他国家,参见Lee,SangBin&Yoo,TaeYol.Marginregulationandstockmarketresponse:furtherevidencefromtheU.SandsomePacific basincountries[J].ReviewofFinancialEconomics,1991,(1):79-98。
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[6]张哲章.融资融券余额、成交量与股价指数之间关联性研究[J].证券金融,1998,1(56):67-94.
[7]廖士光,杨朝军.证券市场卖空机制对股价影响的研究———来自台湾市场的实证[R].第四届中国经济学年会入选论文,2004:7.
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[10]Hong,Harrison,andJeremyCStein.Differencesofopinion,short salesconstraints,andmarketcrashes[J].ReviewofFi nancialStudies,2003,(16):487-525.
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[15]刘逖.证券市场微观结构理论与实践[M].上海:复旦大学出版社,2002:305.
[16]BillWSHung&JosephKWFung.Shortsalesrestrictionsandtheimpulseresponsebehaviorofindex futuresprice[R].BRCPapersonFinancialDerivativesandInvestingStrategies,2001,(9):1-31.
[17]EricCChang&YinghuiYu.Short salesconstraintsandpricediscovery:evidencefromtheHongKongmarket[R].Workingpaper,http://207.36.165.114/Zurich/Papers/340100.pdf,2004:35.
[18]王丽容,郑思因.我国证券市场信用交易制度之检讨[R].台湾证券交易所研究报告,http://www.tse.com.tw/plan/ report/margin.pdf,2001,(10):30-32.
[19]Hardouvelis,GA&SPeristiani.Domarginrequirementsmatter?evidencefromUSandJapanesestockmarkets[J].FederalReserveBankQuarterlyReview,1989,(14):16-35.
[20]Hsieh,DA&MHMiller.Marginrequirementsandmarketvolatility[J].JournalofFinance,1990,(45):736-762.
[21]Lee,SangBin&Yoo,TaeYol.Marginregulationandstockmarketresponse:furtherevidencefromtheUSandsomePacific basincountries[J].ReviewofFinancialEconomics,1991,(1):79-98.
[1]Figlewski,Stephen&GwendolynPWebb.Options,shortsalesandmarketcompleteness[J].JournalofFinance,1993,(48):761-777.
[2]Woolridge,JR&ADickinson.Short sellingandcommonstockprice[J].FinancialAnalystsJournal,1994,(1-2):20-28.
[3]JamesJAngel.ShortsellingontheNYSE[R].ShortSellingontheNYSE,1997-10-27:1-19.
[4]TheChaseManhattanBankandtheASTECConsultingGroup,Inc.Shortselling[R].USEquityMarketSignalsinShortSellingActivites,2000-8-18:1-8.
[5]ASTECConsultingandJPMorgan.Globalsecuritiesfinancing[R].BuildingBridgestoMoreLiquidMarkets,2001(Q1):1-8.
[6]张哲章.融资融券余额、成交量与股价指数之间关联性研究[J].证券金融,1998,1(56):67-94.
[7]廖士光,杨朝军.证券市场卖空机制对股价影响的研究———来自台湾市场的实证[R].第四届中国经济学年会入选论文,2004:7.
[8]AnchadaCharoenrook&HazemDaouk.Theworldpriceofshortselling[R].Workingpaper,TheOwenGraduateSchool ofManangement,VanderbiltUniversity,2003:1-49.
[9]ArturoBris&WilliamNGoetzmann&NingZhu.Efficiencyandthebear:shortsalesandmarketsaroundtheworld[R].Workingpaper,YaleInternationalCenterforFinance,2003:1-49.
[10]Hong,Harrison,andJeremyCStein.Differencesofopinion,short salesconstraints,andmarketcrashes[J].ReviewofFi nancialStudies,2003,(16):487-525.
[11]Miller,ERisk.Uncertaintyanddivergenceofopinion[J].JournalofFinance,1977,(32):1151-1168.
[12]DouglasWDiamond&RobertEVerrecchia.Constraintsonshort sellingandassetpriceadjustmenttoprivateinforma tion[J].JournalofFinancialEconomics,1987,(18):277-311.
[13]Fung,JKWandPDraper.Indexarbitrageopportunitiesandshortsalesconstraints[J].JournalofFuturesMarkets,1999,(19):695-715.
[14]Jones,CharlesM&OwenALamont.Short saleconstraintsandstockreturns[J].JournalofFinancialEconomics,2002,(66):207-239.
[15]刘逖.证券市场微观结构理论与实践[M].上海:复旦大学出版社,2002:305.
[16]BillWSHung&JosephKWFung.Shortsalesrestrictionsandtheimpulseresponsebehaviorofindex futuresprice[R].BRCPapersonFinancialDerivativesandInvestingStrategies,2001,(9):1-31.
[17]EricCChang&YinghuiYu.Short salesconstraintsandpricediscovery:evidencefromtheHongKongmarket[R].Workingpaper,http://207.36.165.114/Zurich/Papers/340100.pdf,2004:35.
[18]王丽容,郑思因.我国证券市场信用交易制度之检讨[R].台湾证券交易所研究报告,http://www.tse.com.tw/plan/ report/margin.pdf,2001,(10):30-32.
[19]Hardouvelis,GA&SPeristiani.Domarginrequirementsmatter?evidencefromUSandJapanesestockmarkets[J].FederalReserveBankQuarterlyReview,1989,(14):16-35.
[20]Hsieh,DA&MHMiller.Marginrequirementsandmarketvolatility[J].JournalofFinance,1990,(45):736-762.
[21]Lee,SangBin&Yoo,TaeYol.Marginregulationandstockmarketresponse:furtherevidencefromtheUSandsomePacific basincountries[J].ReviewofFinancialEconomics,1991,(1):79-98.
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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, 27(3): 40–47.
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