半参数模型在卖空机制引入中的应用  

The Application of Semi-parameter Regression Model in Short Selling

作　　者：王佳佳[1] 杨旭[1] 

机构地区：[1]毕节学院数学系,贵州毕节551700

出　　处：《数学的实践与认识》2012年第17期20-28,共9页Mathematics in Practice and Theory

摘　　要：卖空作为一种重要的金融创新,经常被人们提及,但很多人却对卖空心存疑虑.中国证券市场从1990年建立以来仍无法进行卖空交易,其中一个重要的原因就是管理层担心卖空交易会导致市场大幅波动,影响金融体系的稳定性.首先,通过具有相关误差的半参数回归模型探讨了发达市场以及新兴市场的卖空机制与市场波动率的关系,结果发现卖空机制确实会增加市场的波动.其次,根据研究的结果,对我国证券市场交易机制的建立提出了一些建议,以期对我国正在拟议中的股票卖空机制有所借鉴.As an important financial innovation, short selling is often referred by people. But many people have misgivings about short selling. Since 1990, when China＇s securities market is founded, it had been still unable to carry out short selling transactions. One of the most important reasons for this is that the management worried that short selling transaction will lead to massive fluctuation of market, and impact the stability of financial system. First of all, this paper shows the relationship between short selling mechanism of developed market and emerging market and the market volatility by the semi-parameter regression model. As a result, we find that short selling will definitely increase the volatility of the market. Secondly, based on the results of the study, this paper gives some advice to the establishment of China＇s stock market trading mechanism, and hope that it can used for reference by our being proposed short-selling mechanism.

关 键 词：卖空 市场波动 股票指数 标准差 

分 类 号：F830.91[经济管理—金融学] F224