卖空交易与市场波动性、流动性研究——基于中国香港证券市场的实证分析

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。

Short-selling Mechanism and Market Liquidity and Volatility:An Empirical Research on Hong Kong Securities Market in China

Based on the data from Hong Kong securities market in China,this paper makes an empirical research on the relations between short-selling mechanism and market liquidity and volatility.The results are as follows: firstly,although there is no long-term co-integration relation between the change in short sale volume and the change in market liquidity,the short-selling mechanism,to some extent,can provide liquidity for the stock market in the short term;secondly,the change in market liquidity is the cause of the change in short sale volume in the long term;thirdly,the change in short sale volume provides an explanation of the change in market volatility: the more the short sale volume is,the greater the market volatility is,that is to say,the short-selling mechanism,to some extent,gives rise to the increase in market volatility.The rank sum test shows that short-selling mechanism can significantly increase market liquidity and volatility and the application of "Up-Tick" can significantly decrease market liquidity and volatility;furthermore,the suspension of price restriction on short-selling does not have distinct influences on short sale volume,but can significantly increase market liquidity and volatility.