本文選題：賣空交易 + 市場(chǎng)波動(dòng)�。� 參考：《南京大學(xué)》2014年博士論文

【摘要】：賣空交易對(duì)市場(chǎng)波動(dòng)的影響是學(xué)術(shù)界和實(shí)務(wù)界長(zhǎng)期爭(zhēng)論的話題,許多學(xué)者圍繞這一問(wèn)題展開(kāi)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(duì)市場(chǎng)波動(dòng)影響的內(nèi)在機(jī)理入手。 本文一方面檢驗(yàn)了賣空交易對(duì)市場(chǎng)波動(dòng)的影響,另一方面,圍繞價(jià)值投資理論和趨勢(shì)投資理論,分析了賣空者的交易行為,揭示了賣空交易對(duì)市場(chǎng)波動(dòng)影響的內(nèi)在機(jī)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(shí)證分析和計(jì)算實(shí)驗(yàn)相結(jié)合,相互印證,較為全面地分析了這一問(wèn)題。 實(shí)證分析方面,本文基于我國(guó)股票市場(chǎng),首先分析了賣空交易對(duì)市場(chǎng)波動(dòng)的影響：分別檢驗(yàn)了賣空交易開(kāi)啟前后市場(chǎng)波動(dòng)的變化以及賣空交易量與市場(chǎng)波動(dòng)的關(guān)系。研究發(fā)現(xiàn),賣空交易開(kāi)啟之后,市場(chǎng)波動(dòng)增加了；賣空交易量與市場(chǎng)波動(dòng)呈正向關(guān)系；并且通過(guò)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(chǎng)波動(dòng)外,非信息因素的賣空交易同樣加劇了市場(chǎng)波動(dòng)。 其次,從賣空者交易行為的視角分析了賣空交易對(duì)市場(chǎng)波動(dòng)影響的內(nèi)在機(jī)理。通過(guò)對(duì)賣空交易對(duì)股票過(guò)去收益的反應(yīng)和賣空交易與股票基礎(chǔ)價(jià)值關(guān)系的研究發(fā)現(xiàn),我國(guó)股票市場(chǎng)上的賣空者沒(méi)有選擇價(jià)格被高估的股票,而是采用趨勢(shì)投資策略,選擇過(guò)去價(jià)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(dǎo)致未來(lái)股價(jià)進(jìn)一步地下跌；因此賣空交易加劇了市場(chǎng)波動(dòng)。文中進(jìn)一步指出,賣空者采用趨勢(shì)投資策略的原因是：我國(guó)股票市場(chǎng)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(jià)格越高、換手率越低以及下跌的市場(chǎng)越能促使賣空者采取趨勢(shì)投資策略；賣空交易在下跌的市場(chǎng)中對(duì)未來(lái)股票價(jià)格的降低作用更加明顯。 計(jì)算實(shí)驗(yàn)研究方面,構(gòu)建了由價(jià)值型投資者和趨勢(shì)型投資者組成的、具有賣空交易機(jī)制的人工股票市場(chǎng)計(jì)算實(shí)驗(yàn)平臺(tái)。利用計(jì)算實(shí)驗(yàn)可控性和可重復(fù)性的優(yōu)勢(shì),通過(guò)設(shè)置價(jià)值型賣空者和趨勢(shì)型賣空者的人數(shù)比例,分析了不同類型的賣空交易對(duì)市場(chǎng)波動(dòng)的影響。研究發(fā)現(xiàn),價(jià)值型賣空交易能夠降低市場(chǎng)波動(dòng),趨勢(shì)型賣空交易會(huì)加劇市場(chǎng)波動(dòng)；通過(guò)對(duì)賣空交易訂單的分析發(fā)現(xiàn),價(jià)值型投資者的賣空訂單大量出現(xiàn)在價(jià)格高于基礎(chǔ)價(jià)值時(shí)；趨勢(shì)型投資者的賣空訂單大量出現(xiàn)在市場(chǎng)下跌時(shí)。由此,得到了不同類型投資者的賣空交易對(duì)市場(chǎng)波動(dòng)影響的內(nèi)在機(jī)理：價(jià)值型投資者選擇價(jià)格被高估的股票進(jìn)行賣空交易,從而促使股票價(jià)格圍繞在基礎(chǔ)價(jià)值附近,因而降低了市場(chǎng)波動(dòng)；趨勢(shì)型投資者在股價(jià)下跌時(shí)進(jìn)行賣空交易,導(dǎo)致下跌的市場(chǎng)進(jìn)一步下跌,因而加劇了市場(chǎng)波動(dòng)。 本文不但檢驗(yàn)了賣空交易對(duì)市場(chǎng)波動(dòng)的影響,而且從投資者行為的視角揭示了其內(nèi)在機(jī)理,對(duì)客觀認(rèn)識(shí)這一命題具有重要意義；此外,基于我國(guó)股票市場(chǎng)賣空交易的實(shí)證研究揭示了我國(guó)賣空交易的現(xiàn)狀,為我國(guó)賣空交易的進(jìn)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(xué)位授予單位】：南京大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51;F224

【參考文獻(xiàn)】

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本文編號(hào)：1817337