本文關(guān)鍵詞：股票賣空對(duì)我國股票價(jià)格的影響研究　出處：《貴州財(cái)經(jīng)大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 股票賣空 股票價(jià)格 波動(dòng)率 自然實(shí)驗(yàn) 雙重差分模型

【摘要】：本文借助2010年3月31日我國賣空業(yè)務(wù)實(shí)施及其后續(xù)變更的多項(xiàng)外生政策,研究股票賣空對(duì)我國股票價(jià)格及其波動(dòng)的影響,不僅在理論上豐富了市場(chǎng)微觀結(jié)構(gòu)的理論基礎(chǔ),對(duì)我國股票定價(jià)偏誤的修正具有重要的參考價(jià)值,同時(shí)為推動(dòng)我國股票市場(chǎng)微觀結(jié)構(gòu)相關(guān)制度的完善提供了理論依據(jù);而且在實(shí)踐中為我國賣空交易制度的完善和發(fā)展提供了重要的經(jīng)驗(yàn)證據(jù),同時(shí)對(duì)于我國股票市場(chǎng)的健康運(yùn)行和有序發(fā)展具有重要的實(shí)踐意義。借助我國股票賣空啟動(dòng)和暫停的外生隨機(jī)性,從而所形成的自然實(shí)驗(yàn),本文對(duì)股票賣空影響我國股票價(jià)格及其波動(dòng)率的機(jī)制進(jìn)行了深入的理論分析,并且在此基礎(chǔ)之上,提出了本文的兩個(gè)假設(shè):股票賣空會(huì)導(dǎo)致股票價(jià)格下降從而股票收益增加,以及股票賣空能夠增加股票價(jià)格的波動(dòng)率�；谶@兩個(gè)假設(shè),本文利用我國股票市場(chǎng)啟動(dòng)賣空和暫停賣空的政策所形成的自然實(shí)驗(yàn),同時(shí)結(jié)合中國A股股票的交易數(shù)據(jù),運(yùn)用匹配傾向得分模型(PSM)和雙重差分模型(DID)研究了我國的股票賣空對(duì)股票價(jià)格及其波動(dòng)的影響效應(yīng),通過實(shí)證給出了股票賣空影響我國股票價(jià)格及其波動(dòng)率的經(jīng)驗(yàn)證據(jù)。綜合本文的理論分析和經(jīng)驗(yàn)證據(jù),本文得出以下結(jié)論:首先、放開賣空限制之后,一方面由于將悲觀投資者引入到市場(chǎng)之中,賣空股票降低了股票價(jià)格形成泡沫的可能,從而使得股票價(jià)格下降,導(dǎo)致股票收益增加;另一方面,由于賣空機(jī)制相當(dāng)于在股票市場(chǎng)需求不變的情況增加了股票供給,促使股票的均衡價(jià)格下降,進(jìn)而股票收益增加。兩方面的原因都使得放開賣空限制會(huì)導(dǎo)致股票價(jià)格下降,股票收益增加;其次、放開賣空限制之后,由于將悲觀投資者引入到市場(chǎng)之中,增加了股票預(yù)期的異質(zhì)程度,悲觀投資者對(duì)股票價(jià)格向下的預(yù)期擴(kuò)大了股票價(jià)格的變動(dòng)幅度。正是這一原因使得放開賣空限制會(huì)導(dǎo)致股票價(jià)格波動(dòng)幅度擴(kuò)大,從而股票價(jià)格波動(dòng)率增加。綜合本文的理論分析和實(shí)證結(jié)果,可以表明,放開賣空限制,會(huì)導(dǎo)致股票價(jià)格下降從而股票收益上升,并且引起股票價(jià)格波動(dòng)率的增加。
[Abstract]:This paper studies the impact of short selling on Chinese stock price and its fluctuation with the help of several exogenous policies of short selling and its subsequent changes in March 31st 2010. It not only enriches the theoretical basis of market microstructure theoretically, but also has important reference value for the correction of stock pricing bias in China. At the same time, it provides the theoretical basis for the improvement of the related system of the microstructure of the stock market in our country. And in practice, it provides important empirical evidence for the improvement and development of the system of short selling in China. At the same time, it has important practical significance for the healthy operation and orderly development of the stock market in China. This paper makes a deep theoretical analysis on the mechanism of stock short selling that affects the stock price and its volatility in China, and on this basis. Two hypotheses are put forward in this paper: short selling will lead to the decrease of stock price and increase of stock return, and short selling of stock can increase the volatility of stock price based on these two hypotheses. This paper makes use of the natural experiment formed by the policy of short selling and suspending short selling in China's stock market, and combines the trading data of Chinese A-share stocks at the same time. Using the matching tendency score model (PSM) and the double difference model (DIDD), this paper studies the effect of short selling on the stock price and its fluctuation in China. The empirical evidence that short selling affects Chinese stock price and its volatility is given by empirical evidence. Based on the theoretical analysis and empirical evidence of this paper, this paper draws the following conclusions: first, after liberalizing the restriction of short selling. On the one hand, by introducing pessimistic investors into the market, short selling reduces the possibility of a bubble in the stock price, which leads to the decrease of stock price and the increase of stock return. On the other hand, because the short selling mechanism is equivalent to increasing the stock supply in the case of constant demand in the stock market, the equilibrium price of the stock is reduced. Then the stock return increases. Both reasons make the stock price decline and the stock income increase; Secondly, after liberalizing the restriction of short selling, it increases the heterogeneity of stock expectation because of introducing pessimistic investors into the market. Pessimistic investors' expectations of a downward stock price increase the range of changes in stock prices. It is precisely for this reason that the liberalization of short-selling restrictions will lead to a wider range of fluctuations in stock prices. The theoretical analysis and empirical results show that the liberalization of short-selling restrictions will lead to the decline of stock prices and thus the rise of stock returns. And causes the stock price volatility to increase.
【學(xué)位授予單位】：貴州財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.51

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