本文選題：賣空機制 + 波動性　； 參考：《華僑大學》2013年碩士論文

【摘要】：西方國家的賣空機制幾乎是隨著其證券市場的產(chǎn)生而產(chǎn)生的，自從賣空機制出現(xiàn)后，國內(nèi)外學者就對其進行了大量的研究，但是得到的結果卻不盡相同：有人認為賣空機制會加劇市場波動；有人認為賣空機制不僅不會加劇波動反而會降低市場波動。而我國證券市場二十多年以來都是只能做多的單邊局面，隨著我國證券市場的快速發(fā)展和人們對投資多樣化的需求，賣空機制成了我國證券市場發(fā)展的必然要求。2010年3月、4月，我國先后推出了融資融券業(yè)務試點和滬深300股指期貨，意味著我國從此有了賣空機制。本文第一部分運用兩種不同的實證分析方法，分別探討了賣空機制對我國股票市場波動性的影響。一種方法是協(xié)整和Granger因果檢驗，結果發(fā)現(xiàn)賣空機制的推出，既不會加劇市場的波動性，也不會降低市場波動性；另一種是用EGARCH模型進行分析，結果顯示賣空機制的推出會減少市場的波動性，起到平穩(wěn)市場的作用。 本文第二部分研究我國賣空機制推出后能為投資者帶來的新的套利策略，根據(jù)存在套利機會的三種情況，具體介紹了三種套利策略。第一個是基于高度相關的兩只股票之間的成對交易套利。當兩只股票價格發(fā)生大的偏離，通過融券借入高估的股票，在證券市場賣掉，買入被低估的證券，在兩只股票關系回歸均衡后，進行反向交易，歸還融券股票，從而賺取利差。第二個是通過ETF基金和一籃子股票之間進行套利。當基金的凈值和市值發(fā)生偏離時，一是凈值大于市值，融券借入ETF基金，轉化成一籃子股票賣掉，等兩個價格平衡后，進行平倉，賺取價差；二是凈值小于市值，融券借入一籃子股票申購ETF基金，等價格平衡后，進行平倉，賺取價差。第三個是利用我國目前唯一的金融期貨滬深300股指期貨進行期現(xiàn)套利，通過指數(shù)現(xiàn)貨判斷股指期貨的不合理定價，進行套利，，賺取價差。
[Abstract]:The short selling mechanism of the western countries almost comes into being with the emergence of its securities market. Since the emergence of the short selling mechanism, scholars at home and abroad have carried out a lot of research on it. But the results are not the same: some argue that short selling increases volatility, while others argue that short selling will reduce volatility rather than increase volatility. However, for more than 20 years, China's securities market has been only a long unilateral situation. With the rapid development of China's securities market and people's demand for diversification of investment, short selling mechanism has become an inevitable requirement for the development of China's securities market. In March, April, 2010, the short selling mechanism has become an inevitable requirement for the development of China's securities market. Our country successively launched the financing and short margin business pilot and the Shanghai and Shenzhen 300 stock index futures, which means that our country has a short selling mechanism from now on. The first part of this paper uses two different empirical analysis methods to explore the impact of short selling mechanism on the volatility of Chinese stock market. One method is cointegration and Granger causality test, and the results show that the introduction of short selling mechanism neither increases the volatility of the market nor reduces the volatility of the market; the other is analyzed with EGARCH model. The results show that the introduction of short-selling mechanism will reduce market volatility and play a stable role in the market. The second part of this paper studies the new arbitrage strategies that can be brought to investors after the introduction of short selling mechanism in China. According to the three situations where arbitrage opportunities exist, three arbitrage strategies are introduced in detail. The first is based on a pair of arbitrage between two highly correlated stocks. When the price of two stocks deviates greatly, they borrow overvalued stocks through short securities, sell them in the securities market, buy undervalued securities, reverse trade after the return of the relationship between the two stocks, and return the stocks to the margin, thus earning the spread. The second is arbitrage between ETF funds and a basket of stocks. When the net value of the fund deviates from the market value, one is that the net value is greater than the market value, the margin borrows the fund, converts into a basket of stocks to be sold, and after the two prices are balanced, the fund is liquidated to earn the spread of the price; the second is that the net value is less than market value, the second is that the net value is less than market value, Margin borrowed a basket of stocks to purchase ETF funds, and so on price balance, to clear positions, to earn spread. The third is to arbitrage the stock index futures in Shanghai and Shenzhen 300, which is the only financial futures in our country at present, to judge the unreasonable pricing of stock index futures by index spot, carry on arbitrage to earn the spread of the price.
【學位授予單位】：華僑大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51

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