卖空限制对股票市场影响研究综述  

A Review of the Effects of Short-Selling Constraints on Stock Markets

作　　者：伏睿[1] 

机构地区：[1]武汉大学经济与管理学院

出　　处：《财经科学》2008年第4期37-44,共8页Finance & Economics

摘　　要：本文通过综述三十年来国际上关于卖空限制对股票市场影响的研究,发现目前对该课题的研究重点在两方面,一是卖空限制对股票价格影响,另外一个是卖空限制对股票市场稳定性的影响。大多数的研究结果表明卖空限制会引起股票价格被高估,但是允许卖空则容易导致股票市场不稳定。国际上大多数的发达国家允许卖空股票,有些亚洲国家或者地区则是部分限制卖空。目前我国对于是否开发股票指数期货和是否放松卖空限制有激烈的争论。在这个问题上我们也许可以借鉴国外的经验,考虑一条渐进改革之路:先部分的有条件的允许卖空,然后等市场成熟后再完全放开卖空限制。This paper reviews the literatures about the effects of short- sale constraints on stock markets in the latest 30 years. After investigation we found that recent research is focusing on two aspects： the effects of short- selling constraints on stock prices and the effects on market stability. Most research shows that stock prices tend to be upward biased due to short- selling comtraints. However, short- selling may potentially destabilize stock markets. Most developed countries allow short- selling in their stock markets and some Asian countries or regions conditionally allow short- selling. Now we have an intense debate about whether we should run stock options and loose short- selling constraints. Considering other countries＇ experience, we might innovate step by step： conditionally allow short- selling first, and then completely loose the constraints when the market becomes matured.

关 键 词：卖空 股票价格 市场稳定 

分 类 号：F830.91[经济管理—金融学]