本文選題：賣空交易 + 市場波動�。� 參考：《南京大學》2014年博士論文

【摘要】：賣空交易對市場波動的影響是學術(shù)界和實務(wù)界長期爭論的話題,許多學者圍繞這一問題展開研究,卻得出截然相反的結(jié)論。本文指出要客觀、全面地理解這一命題,需要從賣空交易對市場波動影響的內(nèi)在機理入手。 本文一方面檢驗了賣空交易對市場波動的影響,另一方面,圍繞價值投資理論和趨勢投資理論,分析了賣空者的交易行為,揭示了賣空交易對市場波動影響的內(nèi)在機理；從而由表及里、從現(xiàn)象到本質(zhì)地探討了這一命題。在研究方法上,采用實證分析和計算實驗相結(jié)合,相互印證,較為全面地分析了這一問題。 實證分析方面,本文基于我國股票市場,首先分析了賣空交易對市場波動的影響：分別檢驗了賣空交易開啟前后市場波動的變化以及賣空交易量與市場波動的關(guān)系。研究發(fā)現(xiàn),賣空交易開啟之后,市場波動增加了；賣空交易量與市場波動呈正向關(guān)系；并且通過將賣空交易量分解為信息成分和非信息成分,發(fā)現(xiàn)除了信息因素的賣空交易加劇市場波動外,非信息因素的賣空交易同樣加劇了市場波動。 其次,從賣空者交易行為的視角分析了賣空交易對市場波動影響的內(nèi)在機理。通過對賣空交易對股票過去收益的反應(yīng)和賣空交易與股票基礎(chǔ)價值關(guān)系的研究發(fā)現(xiàn),我國股票市場上的賣空者沒有選擇價格被高估的股票,而是采用趨勢投資策略,選擇過去價格下跌的股票；并且基于三因素模型的分析發(fā)現(xiàn)賣空交易導致未來股價進一步地下跌；因此賣空交易加劇了市場波動。文中進一步指出,賣空者采用趨勢投資策略的原因是：我國股票市場的賣空成本較高且投資者不成熟,致使賣空者的持有期較短,以獲取短期收益。研究還指出,市值越高、股票價格越高、換手率越低以及下跌的市場越能促使賣空者采取趨勢投資策略；賣空交易在下跌的市場中對未來股票價格的降低作用更加明顯。 計算實驗研究方面,構(gòu)建了由價值型投資者和趨勢型投資者組成的、具有賣空交易機制的人工股票市場計算實驗平臺。利用計算實驗可控性和可重復性的優(yōu)勢,通過設(shè)置價值型賣空者和趨勢型賣空者的人數(shù)比例,分析了不同類型的賣空交易對市場波動的影響。研究發(fā)現(xiàn),價值型賣空交易能夠降低市場波動,趨勢型賣空交易會加劇市場波動；通過對賣空交易訂單的分析發(fā)現(xiàn),價值型投資者的賣空訂單大量出現(xiàn)在價格高于基礎(chǔ)價值時；趨勢型投資者的賣空訂單大量出現(xiàn)在市場下跌時。由此,得到了不同類型投資者的賣空交易對市場波動影響的內(nèi)在機理：價值型投資者選擇價格被高估的股票進行賣空交易,從而促使股票價格圍繞在基礎(chǔ)價值附近,因而降低了市場波動；趨勢型投資者在股價下跌時進行賣空交易,導致下跌的市場進一步下跌,因而加劇了市場波動。 本文不但檢驗了賣空交易對市場波動的影響,而且從投資者行為的視角揭示了其內(nèi)在機理,對客觀認識這一命題具有重要意義；此外,基于我國股票市場賣空交易的實證研究揭示了我國賣空交易的現(xiàn)狀,為我國賣空交易的進一步發(fā)展提供了依據(jù)。
[Abstract]:The effect of short selling on market volatility is a long-standing topic in the academic and practical circles. Many scholars have studied this problem and come to an opposite conclusion. This paper points out that the objective and comprehensive understanding of this proposition needs to start with the internal mechanism of the market volatility of short selling.
On the one hand, this paper examines the effect of short selling on market volatility. On the other hand, it analyzes the trading behavior of short sellers around value investment theory and trend investment theory, reveals the internal mechanism of the effect of short selling on market volatility, and then discusses the proposition from the phenomenon to the essence. The problem is comprehensively analyzed by combining empirical analysis with computational experiments.
In the empirical analysis, based on China's stock market, this paper first analyzes the effect of short selling on Market Volatility: the change of market volatility before and after the opening of short selling and the relationship between short selling volume and market volatility. Through the decomposition of short selling volume into information components and non information components, it is found that short selling in addition to information factors aggravates the market volatility, and the short selling of non information factors also aggravates the market volatility.
Secondly, from the perspective of short sellers' trading behavior, the internal mechanism of the effect of short selling on market volatility is analyzed. Through the study of the response of short selling to stock past returns and the relationship between short selling and stock base value, it is found that the short sellers in our stock market have not selected the overvalued stock, but adopt the trend investment. The strategy is to select stocks that have fallen in the past; and based on an analysis of the three factor model, it is found that short selling leads to further stock prices in the future; therefore, short selling exacerbates the market volatility. They are not mature, causing short sellers to get short term earnings. The study also points out that the higher the market value, the higher the stock price, the lower the turnover rate and the lower market, the more the short sellers take the trend investment strategy; the short selling trade is more obvious to the future stock price in the falling market.
In the field of experimental research, an experimental platform of artificial stock market calculation, consisting of value type investors and trend oriented investors with short selling mechanism, is constructed. By using the advantages of computational controllability and repeatability, different types of short selling are analyzed by setting the proportion of the value type short seller and the trend type seller. The study found that the value type short selling transaction can reduce the market volatility, and the trend type short selling will aggravate the market fluctuation. Through the analysis of short selling order, the short selling order of the value type investors appears in a large number when the price is higher than the basic value; the short selling order of the trend type investors is out of large numbers. Now, when the market falls, the intrinsic mechanism of the effect of short selling of different types of investors on the market volatility is obtained: the value type investors choose the overvalued stock to carry out short selling, which makes the stock price around the base value, thus reducing the market fluctuation; the trend type investor is in the fall of the stock price. Short selling has led to a further decline in the falling market, thus exacerbating market volatility.
This paper not only examines the impact of short selling on market volatility, but also reveals its intrinsic mechanism from the perspective of investor behavior, and is of great significance to the objective understanding of this proposition. In addition, the empirical study based on short selling in China's stock market reveals the current situation of short selling in China and further development for short selling in China. The basis is provided.

【學位授予單位】：南京大學
【學位級別】：博士
【學位授予年份】：2014
【分類號】：F832.51;F224

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本文編號：1817337