【作者】 张云；

【导师】 任达；

【作者基本信息】 天津大学 ， 管理科学与工程， 2009， 硕士

【摘要】 在我国股票市场加速改革、加速发展的时期,卖空交易和卖空机制是否应该引入到中国股票市场引起了我国理论界和实务界的普遍争论。卖空交易机制对股票市场有什么意义,对股票市场质量特别是我国的股票市场质量,终究会产生什么影响,是本论文力图解决的问题。本文选取表征市场质量最为重要的流动性和波动性指标,以同在上海A股市场和香港H股市场上市11家公司,A股不允许卖空而H股允许卖空的22支股票为研究对象,分析在同一公司背景、相同的信息披露和信息公开程度、相同的时期、相同的国际形势影响下,可卖空的H股与A股之间波动性和流动性的不同表现。本文遵循概念、理论、方法、实证的研究思路,首先对卖空交易机制、市场质量加以概述,并对国内外学者在卖空领域的研究方向和研究方法进行归纳和总结,对市场质量的度量方法予以介绍;然后运用数理统计的方法,检验上海A股市场与香港H股市场的关联关系,以确定A股与H股是否存在明显地相互影响;其次运用收益率标准差、GARCH模型比较分析A、H股的波动性,以Martin指数为流动性指标,使用比较分析法确定卖空交易对流动性的影响。本文得到的结论是:(1)卖空交易机制的推出对市场的波动性影响是一个较为复杂的过程,在卖空交易初期,H股的波动性要大于A股,而随着时间的推移,允许卖空的H股的波动性却逐渐小于A股。而且从整体上看,不可卖空的A股比允许卖空的H股有更强的波动聚集性和持续性,波动更为剧烈。(2)允许卖空的H股流动性明显大于A股和不允许卖空的H股,并且其流动性的波动比较小,变化平稳。卖空交易机制的存在活跃了市场的交易行为,增加了市场流动性,从而提高了股票市场的质量。本文鉴于H股市场与A股市场有较多的相同之处,认为我国内地股市在引入卖空机制后,也会有相似的效果和影响,从而为我国市场监管者制定相关政策和制度提供信息。更多还原

【Abstract】 Chinese stock market is in a period of acceleration reform and acceleration development. There are various opinions on the problem is whether should we setup the mechanism of short sales of Chinese stock market is a hot problem of current theoretical circle. What’s the meaning of it? How does it influence on the stock market,especially on Chinese stock market? The paper attempts to analysis and solve these problems.This essay uses the most important indicators of market quality-volatilities and liquidity as the objects, and chooses 11 companies’stocks on the HKEx which allows short sales and SSE don’t. These stocks are issued by the same companies, carrying the same rights, during the same period. This essay compares the differences of these stocks’return volatility and liquidity.Based on the thinking of concept, theory, methodology and empirical research, firstly we introduce the short sales and its history, summarized its research direction and methods that advanced by scholars at home and abroad. Secondly, we use the Mathematical Statistics Method for the test of the relation between SSE and HKEx, in order to determine that there is no interaction between A shares and H shares. Thirdly, we use standard deviation of return and GARCH model to analysis the volatility of A shares and H shares. We choose Martin Index, using comparative method more than once to determine the effect of short selling on liquidity.This essay gets the conclusions as follows: 1. the impact of introduction of short selling trading mechanism on market volatility is a more complex process, in the initial stage, the volatility of H shares is greater than A shares’, while as time goes on, the volatility of H shares which allow short sales, has started to be less than A shares. In addition, the aggregation and sustainability of volatility of A shares is greater than H shares. A shares have more severe fluctuations. 2. The liquidity of H shares which are allowed short sales is larger than A shares and H shares which are not allowed significantly, and its mobility relatively lower and smooth. The existence of mechanisms for short selling transactions active trading market, and expand the size of the market supply and demand, which will help improve market liquidity.In view that there are many same points between A-share market and H-share market, we think that the introduction of short selling mechanism will make the similar effectiveness and impact on our mainland stock market. So this essay provides the information to the regulators to develop related policies and systems.更多还原