中国资本市场融券卖空规模约束研究——基于人工股票市场视角  

Research on the scale constraints of short-selling in China's capital market——Based on the perspective of the artificial stock market

作　　者：熊熊[1,2] 周融天 崔毅安 杨宗杭 张晓瑄 XIONG Xiong;ZHOU Rongtian;CUI Yian;YANG Zonghang;ZHANG Xiaoxuan(College of Management and Economics,Tianjin University,Tianjin 300072,China;Laboratory of Computation and Analytics of Complex Management Systems(CACMS),Tianjin University,Tianjin 300072,China;Research Institute of Shenzhen Stock Exchange,Shenzhen 518038,China)

机构地区：[1]天津大学管理与经济学部,天津300072 [2]天津大学复杂管理系统实验室,天津300072 [3]深圳证券交易所综合研究所,深圳518038

出　　处：《系统工程理论与实践》2024年第10期3261-3279,共19页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(72001149,72141304);科技部重点研发项目(2022YFC3303304)。

摘　　要：在美股“游戏驿站”过度做空事件及近年来A股市场融券规模持续提升的背景下,现行融券市场规模约束是否可以满足市场需要,如对融券规模约束调整将具有何种市场影响,都是监管层关注的重要问题.出于交易制度改革风险防范及我国市场适用性的角度,在结合A股市场微观结构以及交易行为特征基础上,本文构建了带有融券功能的人工股票市场,开展融券规模约束调整实验研究,来探讨融券规模约束调整对市场运行质量的影响.研究发现:第一,较低的融券规模约束将影响市场活跃度.第二,放松融券规模约束后市场并不会出现无序扩张现象.第三,融券规模约束放宽后,市场成交量有所改善,但会轻微损害波动性和定价效率,这些变化在小盘股上较为明显.本文建议目前可以维持现行融券上限不变,但当融券市场进一步活跃后,可以考虑将中小盘股参考ETF市场对融券规模上限进行适当放宽,而维持大盘股25%的融券规模上限不变以防止大规模的“黑天鹅”事件对市场产生较大冲击.In the context of the GameStop Corp.(NYSE:GME) excessive short-selling incident in the U.S.stock market and the A-share short-selling market continuous increasing in scale,whether the current scale constraint of short-selling can meet market needs,as well as what impact may occur when the scale constraint is adjusted,both are important issues that supervisory authorities focus on.From the perspective of the risk prevention of the trading system reform and the applicability of the Chinese market,based on the microstructure of the A-share market combined with the characteristics of trading behavior,this article constructs an artificial stock market with short-selling market,carrying out an experimental study on the adjustment of shortselling scale constraint,in order to explore the impact of the adjustment of short-selling scale constraint on the quality of market.The research found that:First,lower short-selling scale constraint will impede market activity.Second,the market will not expand disorderly even if the scale constraint is canceled.Third,after relaxing the short-selling scale constraint,the market volume has improved,but it will slightly impair volatility and pricing efficiency.These changes are more obvious in small-cap stocks.At present,the current short-selling scale constraint can be maintained unchanged.However,when the short-selling market becomes more active,the shortselling scale constraint for small and medium-cap stocks can be considered to relax appropriately,taking reference from the ETF market.The short-selling scale constraint for large-cap stocks should be maintained as 25% to prevent large-scale “Black Swan” events from causing significant shocks to the market.

关 键 词：融券卖空 规模约束 人工股票市场 

分 类 号：C93[经济管理—管理学] F830.91