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本文利用中国香港证券市场数据实证研究了卖空交易机制与市场流动性和波动性的关系。研究结果表明:卖空交易额变动与市场流动性变动之间并没有长期协整关系,但在短期内卖空交易机制会在一定程度上为市场提供流动性;从长期来看市场流动性变化是卖空交易额变化的原因。卖空交易额变化可以解释市场波动性的变化,卖空交易额增加,则市场波动性也将放大,即在一定程度上卖空交易机制会增加市场的波动性。秩和检验显示:推出卖空机制后会显著提升市场流动性和波动性;启用Up-Tick会显著降低市场流动性和波动性,反之反是;暂停“卖空价规则”对卖空交易额没有显著影响,但可显著提升市场波动性和流动性。
In this paper, we use the data of Hong Kong Stock Market of China to empirically study the relationship between short selling mechanism and market liquidity and volatility. The results show that there is no long-term cointegration relationship between short-term changes in turnover and changes in market liquidity, but short-term short selling mechanism will provide market liquidity to a certain extent. In the long run, market liquidity changes Is the reason for the change in short selling. Changes in short selling turnover can explain changes in the market volatility, short selling increased, the market volatility will also be enlarged, that is, to a certain extent, short selling mechanism will increase market volatility. Rank sum test shows that the launch of the short sale mechanism will significantly improve market liquidity and volatility; the use of Up-Tick will significantly reduce market liquidity and volatility, and vice versa; suspend “short selling price rules ” for short selling There is no significant impact on the volume of transactions, but it can significantly enhance market volatility and liquidity.