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Analysis of the Function of the Short Selling Mechanism of the Stock Markets of China

Author: WangFan
Tutor: WangXingYu
School: Henan University
Course: Management Science and Engineering
Keywords: Short trading mechanism Volatility Mobility Basis
CLC: F832.51
Type: Master's thesis
Year: 2011
Downloads: 315
Quote: 0
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Abstract


Now, China's stock market is facing challenges with international rules, innovation and improvement of the trading system of the stock market without delay. Margin trading, was formally launched in March 31, 2010, which marks the Chinese stock market short mechanism, China's A-share market to bid farewell to the unilateral market, to enter the era of two-way trade. Short mechanism for China's stock market is a nascent market system, the relevant provisions and implementation effect a direct impact on the stability and development of China's capital market. China's stock market, the introduction of the the short mechanism immediately caused extensive study of people outside the industry, in terms of theory, the stock market short trading has to stabilize the market volatility, liquidity and price discovery function; However, some scholars believe that the development of China's securities market is not mature into Short transactions may be virtual supply and demand, or fueled the help, leading to market failure. As the Chinese stock market short mechanism established a shorter time, at home and abroad yet scholars have conducted systematic research, the short mechanism has played a positive role or a negative impact not ascertained thesis. This article is based on this, the CSI 300 index, margin trading and stock index futures trading data for the sample to conduct empirical research, analysis of the stock short trading mechanism on market liquidity, volatility, and stock index futures, according to the specific situation of the Chinese market The pricing of the impact of the deviation. First, the article describes the history of the development of China's stock short trading mechanism with the existing problems, and explore the reasons. Secondly, for the operational status of the A-share market before and after the launch of China's stock market short mechanism compared, the analysis found that the short mechanism since the establishment of China's stock market liquidity abnormal increase; quantile VaR model found our reduced market risk of the stock market. Again, the combination of China's stock index futures market data, the use of theoretical study of stock index futures arbitrage pricing deviation, found that China's stock index futures markets have long been overestimated. Next, using Granger causality test based on vector auto regression model, cointegration tests and impulse response functions to empirical studies of the impact of China's stock market, introducing short-mechanism of stock market volatility, liquidity and the value of the stock index futures Basis. Empirical analysis shows that: the amount of margin trading and market liquidity, volatility between long-term and stable cointegration relationship, but it does not exist and the value of the stock index futures based differential between long-term and stable cointegration relationship; market liquidity transactions between volatility and buy empty This two-way causal relationship does not exist between the two-way causal relationship, Short Selling. Buy empty volume of transactions and the amount of short selling on market volatility, liquidity and the value of the stock index futures based difference exists certain shocks. In summary, the results of this study found that our short transactions played stabilize market volatility, providing liquidity, but it has a very limited role of the stock index futures pricing guidance; addition, at this stage our short transactions, active short selling low level, which has seriously hampered the functioning of the short trading mechanism. Finally, solve the above problem, this paper gives relevant policy recommendations.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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