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从理论上来说,卖空机制是完善股票市场制度建设必不可少的一项机制,引入卖空机制具有很多好处,比如价格发现、减小市场波动等。但是中国在引入卖空机制方面比较谨慎。本文从中国A股市场的数据出发,对比香港市场的表现,试图对卖空机制的市场影响进行符合中国情况的实证分析。本文首先分解了香港和内地市场差异的原因,说明了市场越接近卖空机制,股票的定价越合理;进而通过对可卖空和非卖空AH溢价指数变动的分析,说明了卖空机制在价格发现功能方面的贡献。
In theory, the short sale mechanism is an indispensable mechanism for improving the construction of the stock market system. The introduction of the short sale mechanism has many benefits such as price discovery and reduction of market volatility. However, China is cautious in introducing a short sale mechanism. Based on the data of China’s A-share market, this article compares the performance of Hong Kong market and attempts to make an empirical analysis of the market impact of short-selling mechanism in line with China’s situation. This article first decomposes the reasons for the difference between the Hong Kong and the mainland markets and shows that the closer the market is to the short selling mechanism, the more rational the pricing of the stock. The analysis of the changes of the short and long-short AH premium indices shows that the short selling mechanism Contribution of price discovery function.