论文总字数：16268字

摘 要

ABSTRACT II

第一章 卖空的动机 1

1.1 理论分析 1

1.2 公式分析 2

第二章 卖空监管的发展历程 4

2.1 临时干预 4

2.2 扩大升级 4

2.3 完备发展 5

2.4 卖空监管 5

第三章 我国的卖空监管 7

3.1 卖空限制 7

3.2 披露制度 7

3.3 法律体系 8

第四章 卖空作用机制的影响分析 9

4.1 卖空交易平抑股价波动 9

4.2 卖空交易引起市场混乱 10

第五章 实证研究 11

5.1 数据描述 11

5.2 数据分析 11

5.3 时序图 12

5.4 相关性检验 12

5.5 单位根检验 13

5.6 VAR滞后期的确定 14

5.6.1 SS和LIQ的滞后阶确定 14

5.6.2 SS和VOL的滞后阶确定 15

5.7 协整性检验 15

5.8 格兰特因果检验 16

第六章 结论 18

参考文献 19

致谢 20

附录 21

摘 要

证券信用交易作为一种成熟的不可或缺的市场交易制度，对金融市场的发展有着重要的意义。投资者出于各种动机进行卖空，并且间接地对市场造成影响。然而滥用卖空会引起结算风险以及金融市场混乱。为了维护金融市场的稳定发展，卖空交易显然不能完全凭借投资者的自我约束，这需要政府部门的介入，因此对于卖空的监管是必要的。

在全球卖空监管的大环境下，监管合作越来越密切。对于信息披露，禁止无担保卖空等有关规定实现了较大的统一。然而，不同地区的卖空监管政策基于本国的经济背景也有所不同。卖空对于金融市场的影响也仍然存在着争议，这为金融市场卖空监管政策的制定带来了困难。

故本文对深圳证券交易所的股票进行实证研究，分析卖空交易的引入对于我国的证券市场的影响，旨在为我国的卖空监管提出一些建设性的意见和建议。卖空交易引入后，我国的市场流动性显著增加，市场展现出强劲的活力，同时市场流动性也开始增加。通过格兰特因果关系分析，卖空交易量的变化会引起市场流动性的变化。同样地，卖空交易量和市场流动性之间也存在着单向的因果关系，进行卖空交易会导致市场波动。通过对股票的流动性和波动性分析，更好地把握了卖空交易对于市场的影响。为我国的监管政策的制定提供了理论性的依据。因此我国的卖空监管部门应该协调好卖空的市场波动性和流动性之间的平衡，在实现金融市场稳定的同时，促进金融市场收益最大化。

关键词：卖空交易 卖空监管 流动性 波动性

ABSTRACT

As a mature and indispensable market trading system, credit Transaction System is of great significance to the development of financial market. Investors sell short for a variety of motivations and indirectly have an impact on the market. However, abuse of short selling can lead to settlement risk and undermine financial order. In order to maintain the stable development of financial markets, short selling obviously can not rely entirely on the self-restraint of investors, which requires the access of government departments, so it is necessary to regulate short selling.

In the global short selling regulation environment, the regulatory cooperation is getting closer and closer. For information disclosure, the prohibition of naked short selling and other relevant provisions have been greatly unified. However, short selling regulatory policies vary from region to region based on the economic background of the country. The impact of short selling on financial markets is still controversial, which brings difficulties to the formulation of short selling regulatory policies in financial markets.

This paper makes an empirical study on the stocks of Shenzhen Stock Exchange, analyzes how the introduction of short selling will bring about significant changes to the development of China's stock market, and puts forward some constructive suggestions and suggestions for the regulation of short selling in China. After the introduction of short selling, the market liquidity of our country has increased significantly, and the market has shown strong vitality. At the same time, market volatility also began to increase. Objectively speaking, the introduction of short selling system is a financial and technological change to the development of China's securities market.

Therefore, the short selling regulatory authorities in China should coordinate the balance between short selling market volatility and liquidity, while achieving the stability of the financial market. Promote the maximization of financial market returns.

Keywords: short selling volatility liquidity

第一章 卖空的动机

1.1 理论分析

卖空的原因多种多样，包括投机动机、套期保值、套利、避税动机和市场操纵等。

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