本文選題：賣空交易 + 價格行為��； 參考：《天津大學(xué)》2012年博士論文

【摘要】：在我國證券市場賣空機(jī)制推出試點階段，雙邊交易機(jī)制市場剛剛形成的實踐背景下，本文從金融市場微觀結(jié)構(gòu)理論的視角出發(fā)，以市場微觀結(jié)構(gòu)理論的核心研究內(nèi)容——信息作為紐帶，分別從理論和實證的角度，對賣空交易影響市場價格行為的傳導(dǎo)過程、賣空交易對市場信息分布的影響機(jī)理、賣空交易在實際策略構(gòu)造中的應(yīng)用等問題進(jìn)行了研究。具體內(nèi)容主要包括： 第一部分，賣空交易的發(fā)展模式比較研究。本部分回顧了全球主要市場賣空交易的發(fā)展歷程，通過比較分析有代表性的成熟市場或地區(qū)的賣空交易模式得出對我國證券市場賣空交易發(fā)展模式的幾點啟示。 第二部分，賣空交易對資產(chǎn)波動性和流動性的影響研究。理論研究表明，賣空機(jī)制可以平抑市場波動，，提高市場流動性水平，而其主要是通過增加相關(guān)股票的供給和需求彈性來實現(xiàn)。隨后，分別利用事件研究法和向量自回歸方法，考慮市場交易高頻數(shù)據(jù)的特征，結(jié)合賣空限制與允許賣空兩個層面，實證檢驗了香港市場與我國A股市場中的賣空交易對資產(chǎn)價格波動性及流動性的影響。結(jié)果顯示，在波動性方面，兩個市場的賣空交易均不會增加市場的波動，但也沒有發(fā)揮出平抑市場波動的作用；而在流動性方面，賣空交易顯著提升了香港市場資產(chǎn)流動性水平，但在A股市場，賣空交易與市場流動性并無因果關(guān)系。 第三部分，賣空交易對市場信息分布的影響研究。本部分由市場微觀結(jié)構(gòu)理論中信息分布的內(nèi)涵著手，從理論模型和實證分析兩個層面對賣空機(jī)制影響市場信息分布的過程進(jìn)行了研究。本章提出考慮賣空限制下的改進(jìn)EKOP模型。進(jìn)一步，利用該模型針對我國證券市場的賣空交易影響市場信息分布的情況進(jìn)行實證研究。結(jié)論表明，賣空交易的引入不會改變市場的信息傳遞模式，相反地，可以提高市場知情交易者的比例，而隨著知情交易比例的提高，PIN值也會相應(yīng)增加，市場運行效率得到改善。 第四部分，賣空交易在量化投資策略中的應(yīng)用研究。本部分從賣空交易在投資策略中的應(yīng)用入手，通過介紹量化投資的理論思想以及發(fā)展趨勢，得出賣空機(jī)制在量化投資中，特別是在投資策略及資產(chǎn)組合的構(gòu)建時發(fā)揮關(guān)鍵性作用的論斷。隨后，從流動性交易視角實證研究了中國股票市場收益率序列相關(guān)性的模式，并通過賣空機(jī)制，基于流動性視角構(gòu)造了反轉(zhuǎn)策略的多空組合，該組合在樣本期內(nèi)表現(xiàn)出較好的盈利能力。這也證明流動性因子是構(gòu)造短期反轉(zhuǎn)策略的主要影響因素。
[Abstract]:In the pilot stage of short selling mechanism in China's securities market and the practice background of bilateral trading mechanism market just formed, this paper starts from the perspective of financial market microstructure theory.With the core research content of market microstructure theory-information as the link, from the theoretical and empirical point of view, the paper analyzes the transmission process of short selling on market price behavior and the influence mechanism of short selling on the distribution of market information.The application of short-selling in the construction of practical strategy is studied.The specific contents include:The first part is a comparative study of the development model of short selling.This part reviews the development of short selling in major global markets and draws some enlightenment to the development model of short selling in China's securities market by comparing and analyzing the typical mature market or regional short selling mode.The second part, the impact of short-selling on asset volatility and liquidity.Theoretical research shows that short selling mechanism can stabilize market volatility and improve market liquidity level, which is mainly achieved by increasing the supply and demand elasticity of related stocks.Then, by using event research method and vector autoregressive method, considering the characteristics of high frequency data of market transaction, combining short selling restriction and allowing short selling,The effects of short selling on asset price volatility and liquidity in Hong Kong market and China A share market are tested empirically.The results show that in terms of volatility, short selling in both markets does not increase volatility, but does not play a role in calming volatility; on liquidity, however,Short selling has significantly boosted asset liquidity in Hong Kong, but there is no causal relationship between short selling and market liquidity in the A-share market.In the third part, the influence of short-selling on the distribution of market information is studied.This part starts with the connotation of information distribution in the market microstructure theory and studies the process of short selling mechanism influencing the distribution of market information from two aspects: theoretical model and empirical analysis.In this chapter, an improved EKOP model considering the limitation of short selling is proposed.Furthermore, the model is used to analyze the effect of short selling on the distribution of market information in China's securities market.The conclusion shows that the introduction of short selling does not change the information transmission mode of the market, on the contrary, it can increase the proportion of informed traders in the market, and with the increase of the proportion of informed transactions, the PIN value will increase accordingly, and the efficiency of market operation will be improved.The fourth part is about the application of short-selling in quantitative investment strategy.This part starts with the application of short selling in investment strategy, through introducing the theory thought and development trend of quantitative investment, we get the mechanism of selling short in quantitative investment.Especially in the investment strategy and portfolio construction plays a key role.Then, from the perspective of liquidity trading, this paper empirically studies the model of the correlation of return sequence in China's stock market, and through the short selling mechanism, constructs a long and short combination of reversal strategies based on liquidity perspective.The combination shows good profitability in the sample period.This also proves that liquidity factor is the main factor influencing the construction of short-term reversal strategy.
【學(xué)位授予單位】：天津大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2012
【分類號】：F832.51

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本文編號：1738714