限制卖空对证券市场收益偏度和波动性影响的实证研究  

Verified Research on Influence of Limiting Speculation on Earnings in Deviation and Wave in Stock Market

作　　者：徐海涛[1] 

机构地区：[1]上海交通大学管理学院,上海200030

出　　处：《辽宁工学院学报》2005年第3期202-204,共3页Journal of Liaoning Institute of Technology(Natural Science Edition)

基　　金：国家自然科学基金资助(70331001/G0115)

摘　　要：证券市场上对于是否应该允许卖空交易一直存在很大的争议,研究在全球市场范围内卖空交易对整个市场收益的影响,通过建立实证模型检验限制卖空交易对证券市场收益偏度和波动性的影响,结果证明限制卖空使市场收益的偏度向负向偏离,并加大了市场收益的波动程度。最后根据实证结果提出了引入卖空交易,解决我国证券市场风险不对称问题的对策。There really exists a burning arguement whether speculation in stock market is to be allowed or not.A researth was made in speculating in market global stocks and its effect on earnings in deviation and waves through setting up module.The result expatiated that limitation of speculation in stock brought in earnings deviated negatively.Based on the proved result,an introduced speculation in stock dealing in China found the solution to the problem on non-symmetric risks in stock

关 键 词：限制卖空 偏度 方差 风险不对称 

分 类 号：F830.91[经济管理—金融学]