卖空交易机制对我国上证A股流动性的影响——以融券为例  

作　　者：李思[1] 

机构地区：[1]暨南大学经济学院,广东广州510632

出　　处：《特区经济》2012年第10期106-108,共3页Special Zone Economy

摘　　要：2010年3月31日中国正式推出了融资融券,标志着中国自此有了卖空交易机制,对中国股票市场来说有划时代的意义。因此,研究卖空交易机制对股票市场的影响有极大的现实意义。本文利用上证A股市场的数据来实证研究卖空交易机制与市场流动性间的内在关系。研究表明,卖空交易机制推出后,市场流动性并没有增加,Granger因果检验结果证实市场流动性的增加不是由融券交易引起的。最后本文从市场、管理层、券商和投资者四个方面分析了产生此实证结果的原因。China officially launched the margin tra- ding on March 31, 2010, it marked the beginning of short selling mechanism in China and it was a landmark to Chi- na＇ stock market. So the study of the influence of the short selling mechanism on the stock market has great practical significance. At first the article described the historical origin of the short selling mechanism and the process of launching margin in China, then it used the data contributed by SSEA Share Market tocasestudy＇the intrinsic correlation between the short selling mechanism and the market flexibility; the main methods were the the ADF test, EG two-step cointegra- Lion test and Granger＇s cause-and-effect examination. Our study indicated that in terms of SSE A Share market as a whole since the short sale system was carried out, the fluidity had not been stronger; and the result achieved by Granger＇s cause -and -effect examination confirmed that the increase of the fluidity was not caused by short sale transactions. At last the article analysed the reasons from 4 respects： market, management, brokers and investors.

关 键 词：卖空交易机制 流动性 上证A股 

分 类 号：F224[经济管理—国民经济] F832.51