埃克斯特大学金融证券论文(University of Exeter)：对上海证劵交易市场的股票卖空和市场流动性分析

Stocks short selling and market liquidity analysis
股票卖空和市场流动性分析

In order to evaluate the internal efficiency of a stock market, the market liquidity should be the first factor to be pointed out. Actually it is a very significant factor and it is no doubt that a mature stock market needs to be liquid very well. A totally illiquid market is like a dead market, it is not a real market.
为了评估股票市场的内部效率，市场流动性应该指出的第一个因素。其实这是一个非常重要的因素，这是毫无疑问，一个成熟的股市需要液体很好。一个完全缺乏流动性的市场，像死了市场，它是不是一个真正的市场。

Look back upon the development of Shanghai Stock Exchange; it is also from illiquid to liquid because of the regulations’ change. Actually this is a positive improvement in stock market’s internal efficiency.
回头看，它是根据上海证券交易所的发展也缺乏流动性的液体，因为法规的变化。其实，这是一个积极的股市的内部效率改善。
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In 2006, Chinese stock market was illiquidity which was caused by the market structure, trading mechanism and institutional as well as regulatory environment. SSE Innovation Lab pointed that it was important to carry active measures from these levels to improve the liquidity of the stock market.
2006年，中国股市流动性不足，这是由于市场结构，交易机制和制度，以及监管环境。上证所创新实验室指出，重要的是从这些层面进行积极的措施，以提高股市的流动性。

Charles M. Jones and Owen A. Lamont (2002) use the United States from 1926 to 1933 during the stock market data research, found that short selling constraints (such as the direct costs of short selling, after the 1929 stock market crash against land sales empty political and legal pressure) make people want investors cannot short sell short stocks, which causes these stocks prices are overvalued, cannot be corrected, for the higher cost of short selling stocks, the price often Jiao their post-high yields are relatively low. General information on short selling after the announcement indicated that usually lead to stock prices, which show that the unprecedented sale of these shares, their shares overvalued there is a tendency, the introduction of short selling the stock to play their role in the adjustment so that stock can reflect their own inherent value of investments. Arturo Bris, William N. Goetzmann and Ning Zhu (2003) used the stock market data from 47 countries and Morck et al. (2000) proposed the method of short selling and market efficiency will be limited on individual stocks and market index return distribution characteristics impact, the results indicate that, under the premises of other factors are in control, allowing short selling and short selling constraints less of the securities in the market, the sectional mobility of Securities income appears to be more significant, which suggests that releasing short sale restrictions will increase the level of the market in the stock price discovery efficiency; in the market which does not allow short selling or short selling restricted securities, the distribution of individual stock returns are significantly non-negative partial form shows.
查尔斯•琼斯和欧文•拉蒙特（2002）使用1926年至1933年期间，美国股市的数据研究发现，卖空限制（如卖空的直接成本，针对土地后，1929年股市暴跌销售清空政治和法律压力）使人们希望投资者可以不是短卖短股，导致这些股票的价格被高估，可以不进行纠正，为在更高的成本融券，价格往往娇他们后高的收益率是比较低的。一般资料卖空公布后表示，通常导致股票价格，显示了前所未有的出售这些股份，其股票被高估，有一种倾向，短期卖出股票，在调整中发挥自己的作用，使引进股票能反映自己的内在投资价值。阿图罗BRIS，威廉•N.戈茨曼和朱宁（2003）利用股市数据来自47个国家和莫克等。 （2000）提出的方法将被限制卖空和市场效率，对个股和市场指数收益率分布特征的影响，结果表明，是在控制的其他因素的前提下，允许卖空，卖空的约束少证券在市场上，截面的流动性证券的收入似乎是更重要的，这表明释放卖空限制将增加股票的价格发现效率的市场化程度，在市场上不允许卖空或淡有限售条件的证券，个别股票回报率的分布显着非负部分的形式显示。

Liquidity can affect the prices of financial assets. An important factor is, often illiquid assets are worse than other similar transaction price and good assets, but the lower liquidity, we call these assets exist in the trading price of non-liquidity discount. Illiquid securities will bring many hazards: for the short term, low liquidity may leads to speculation and market manipulation, affects the proper pricing of securities, increases transaction costs of investors, restrictions on a market, affects the company’s governance and management, also increases the regulator’s monitoring costs; for the long term it will affect health and steady development of Chinese securities market and international competition. Illiquidity discount is from the initial concept of Amihud and Mendelson (1986), they proved that illiquid stocks will mainly be a relatively long holding period investors have. These stocks provide higher returns to investors to compensate for their lack of liquidity. And such high returns compared to those of liquidity through good stock, illiquid stock price in the other hand, there is an illiquidity discount to achieve. Longstaff in his series of studies (1995 & 2008) developed a point from Amihud and Meldenson (1986), even if the holding period is insignificant, this high discount is not in the nature of different asset investors is also possible. This is consistent with the characteristics of Chinese warrants market investment: investors and stock investors warrants overlap too much.
流动性可以影响金融资产的价格。一个重要因素是，非流动性资产是往往不如其他类似交易的价格和良好的资产，但流动性较低，我们称这些资产的交易价格存在于非流动性折扣。流通的证券，将带来诸多危害：低流动性在短期内，可能会导致投机和市场操纵行为，影响证券定价适当，增加投资者，限制市场上的交易成本，影响了公司的治理和管理，也增加了稳压器的监控成本，长远来看，它会影响健康和稳定发展的中国证券市场和国际竞争。 Amihud和门德尔松（1986年）从最初的概念是缺乏流动性折扣，他们证明了流动性差的股票将主要是相对较长的持有期，投资者有。这些股票提供了更高的回报投资者，以弥补其流动性不足。如此高的回报率相比，通过良好的股票，流动性不足的股价在另一方面流动性，有一个流动性不足的折扣来实现。朗斯塔夫（1995年及2008年）在他的一系列研究开发的一个点对点从Amihud和Meldenson的（1986）持有期间，即使是微不足道的，是不是在这种高折扣的性质不同资产的投资者也有可能。这是符合中国权证市场投资的特点：投资者和股票投资者的认股权证重叠太多。

Firstly, from the level of market structure perspective, there are some aspects: first, improving the product mix, vigorously develop the spot market-based financial derivatives market, including stock index futures and options, stock futures and options, covered warrants and other structured products; second, encouraging institutional investors to improve the investor structure; third, speeding up companies (especially large companies) the pace of the domestic market, increasing the size of the market gradually driven from the capital investment in the transition to a value type, reducing the so-called ‘speculation’ and price manipulation; fourth, the stock market steadily advances the process of internationalization, speeds up the pace of the introduction of foreign investors, and when the time is ripe to allow foreign companies in domestic market, allow domestic exchanges set up trading terminals abroad; fifth is based, including Main Board and Second Board, three boards and counter transactions, including multi-level market, liquidity of securities of different varieties to provide a suitable trade channels. SSE recommends the introduction of day rotation trading system (T+0), different levels of implementation of differentiated market trading mechanisms to improve liquidity.
首先，从市场结构角度的水平，有几个方面：第一，改善产品结构，大力发展现货市场为基础的金融衍生品市场，包括股指期货和期权，股票期货和期权，备兑权证及其他结构性产品;第二，鼓励机构投资者，完善投资者结构;第三，加快公司（特别是大公司）在国内市场的步伐，增加了市场规模的逐渐过渡到从资本投资驱动的值类型，减少了所谓的“炒作”和价格操纵行为;第四，股市的稳步推进国际化进程，加快引入外国投资者的步伐，时机成熟时允许外国公司在国内市场，允许国内交易所设立国外交易终端;第五为主，包括主板及二板，三板和场外交易，包括多层次的市场，不同品种的流动性证券提供一个合适的贸易渠道。上证所建议引入日间回转交易系统（T+0），实施不同层次的差异化的市场交易机制，以改善流动性。

Secondly, from the trading system level, the SSE Innovation Lab proposals from the following aspects: first, the securities of different liquidity or board, second board, three panels of different levels of market trading mechanisms for the implementation of differentiated; second the introduction of market-making mechanism; third, to introduce a continuous call auction trading mechanism, increasing the cost of control or influence the price; four,  days are the introduction of rotation trading system (T +0); five is the introduction of block trading orders, orders for many days and so effectively order forms; finally is the introduction of a wider coverage of the stock lending and short selling mechanism.#p#分页标题#e#
其次，从交易系统级别，上证所创新实验室建议从以下几个方面：第一，不同流动性的证券或董事会，二板，三板市场交易机制的不同程度的实行差别化;引进第二市场决策机制;第三，引入连续集合竞价交易机制，增加了成本的控制或影响价格，四，日引进回转交易制度（T+0）;五是引入大宗交易订单订单多天，所以为了有效形式;最后是覆盖面较广的股票借贷和卖空机制的引入。

Third, from the market system and regulatory levels, it needs to gradually improve from the following aspects: First, the principle of moving towards market-oriented regulation of market innovation, encourage the relevant market participants where permitted by law and actively promote the markets and products innovation; Second, to further improve the regulatory system issue, and gradually released to the market-oriented registration system transition; Third, balance the relationship between market development and supervision, improve law enforcement and securities regulators investigating officers of proportion and professionalism, curb market speculation, strengthen and maintain the consistency of market regulation violations.
第三，从市场制度和监管层面，需要从以下几个方面逐步完善：首先，走向市场创新以市场为导向的监管原则，鼓励相关市场参与者在法律允许的情况下，积极推进市场和产品创新;第二，进一步完善监管体系的问题，并逐渐释放到市场导向的登记制度过渡;第三，平衡市场发展与监管之间的关系，提高执法和证券监管机构调查人员的比例和专业，遏制市场投机，加强和维持违反市场监管的一致性。

Anchada Charoenrook and Hazem Daouk (2003) used turnover as a measure of liquidity indicators, the study from 111 countries securities market found that with short selling constraints are more severe in emerging market countries, the stock market liquidity obviously to no short selling constraints than the developed markets lower. The study of Woolridge & Dickinson (1994) also showed that short traders in the market through an increase in the rising volume of short selling in a declining market to reduce the amount of short selling provides liquidity to the market. To some extent, short selling practice is indeed active in the stock market, led the overall market volume for the entire market liquidity.
Anchada Charoenrook哈齐姆Daouk（2003）采用营业额作为衡量流动性的指标，来自111个国家证券市场的研究发现与卖空约束更严重的新兴市场国家，股市的流动性明显比没有卖空约束发达市场走低。也Woolridge排名迪金森（1994）的研究表明，通过增加在下降的市场卖空量不断攀升的短期交易者在市场上的卖空量减少，市场流动性。从某种程度上说，卖空的做法的确是活跃在股市，为整个市场的流动性带动了整体市场成交量。