卖空制度、流动性与信息不对称问题研究——香港市场的个案

被引：27

作者：

才静涵 ^{[1
]}

夏乐 ^{[2
]}

机构：

[1] 波士顿学院经济系

[2] 中国银行(香港)股份有限公司

来源：

管理科学学报 | 2011年 / 02期

关键词：

卖空制度; 噪声交易; 流动性; 信息不对称; 微观结构;

D O I：

暂无

中图分类号：

F832.51 [];

学科分类号：

摘要：

应用香港市场的案例,研究了引入卖空制度后个股的交易活跃程度、流动性、波动性与信息不对称的变化,提出了噪声交易者假说,即引入卖空制度后重要的变化是噪声交易者会出于对更高亏损可能的担心而退出交易或变得谨慎.实证结果发现:引入卖空制度会带来交易活跃程度下降、流动性下降以及信息不对称水平升高.同时,通过对知情交易概率(PIN)的分析发现,在引入卖空制度后,PIN值确实呈现出显著升高的趋势,而使其升高的因素就是噪声交易者参与程度降低.噪声交易者假说较好地解释了上述现象.

引用

页码：71 / 85

页数：15

共 12 条

[1]

Short‐Sales Constraints and Price Discovery: Evidence from the Hong Kong Market[J] . ERIC C. CHANG,JOSEPH W. CHENG,YINGHUI YU.The Journal of Finance . 2007 (5)

[2]

Efficiency and the Bear: Short Sales and Markets Around the World[J] . ARTURO BRIS,WILLIAM N. GOETZMANN,NING ZHU.The Journal of Finance . 2007 (3)

[3] Overconfidence and speculative bubbles [J].

Scheinkman, JA ;

Xiong, W .

JOURNAL OF POLITICAL ECONOMY, 2003, 111 (06) :1183-1219

[4]

Securities lending, shorting, and pricing[J] . Darrell Duffie,Nicolae Garleanu,Lasse Heje Pedersen.Journal of Financial Economics . 2002 (2)

[5]

Breadth of ownership and stock returns[J] . Joseph Chen,Harrison Hong,Jeremy C. Stein.Journal of Financial Economics . 2002 (2)

[6] Cream-skimming or profit-sharing? The curious role of purchased order flow [J].

Easley, D ;

Kiefer, NM ;

OHara, M .

JOURNAL OF FINANCE, 1996, 51 (03) :811-833

[7] ANATOMY OF THE TRADING PROCESS - EMPIRICAL-EVIDENCE ON THE BEHAVIOR OF INSTITUTIONAL TRADERS [J].

KEIM, DB ;

MADHAVAN, A .

JOURNAL OF FINANCIAL ECONOMICS, 1995, 37 (03) :371-398

[8] SHORT-SALE RESTRICTIONS AND MARKET REACTION TO SHORT-INTEREST ANNOUNCEMENTS [J].

SENCHACK, AJ ;

STARKS, LT .

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1993, 28 (02) :177-194

[9] NOISE TRADER RISK IN FINANCIAL-MARKETS [J].

DELONG, JB ;

SHLEIFER, A ;

SUMMERS, LH ;

WALDMANN, RJ .

JOURNAL OF POLITICAL ECONOMY, 1990, 98 (04) :703-738

[10]

The Informational Effects of Restrictions on Short Sales: Some Empirical Evidence[J] . Stephen Figlewski.Journal of Financial and Quantitative Analysis . 1981 (4)

← 1 2 →