非对称卖空约束下资产价格波动与泡沫演化的理论机制与实证研究

项目名称： 非对称卖空约束下资产价格波动与泡沫演化的理论机制与实证研究

项目编号： No.71271214

项目类型： 面上项目

立项/批准年度： 2013

项目学科： 管理科学

项目作者： 李志生

作者单位： 中南财经政法大学

项目金额： 56万元

中文摘要： 在很多市场，只有一部分投资者被允许进行卖空操作，卖空约束表现出非对称性特征。本课题从更为现实的视角分析卖空约束与资产价格的关系，研究非对称卖空约束下资产泡沫形成、扩散和破灭的内在机制与外在表现。首先，拓展现有的泡沫分析框架,建立非对称卖空约束下资产价格的动态均衡模型，系统考虑卖空投资者基于私有信息的投机行为和对风险分担的要求，分不同的情景对模型及其均衡解进行经济分析；其次，以中国证券市场中两种典型的非对称卖空机制- - 权证创设和融资融券为例，利用面板数据分析和事件分析方法，比较同一时间窗口内可以卖空的证券和不能卖空的证券的价格特征，以及同一证券在卖空机制实施前后的波动规律，检验卖空约束及其非对称性对资产价格波动和资产泡沫的影响。第三，研究非对称卖空约束下市场财富的流动特征，结合对全球主要资本市场卖空机制及其演进过程的比较，探讨非对称卖空约束存在的市场基础及其对中小投资者利益和金融公平的影响。

中文关键词： 卖空约束；定价效率；市场稳定性；公司治理；信息治理

英文摘要： In many securities markets, short-sales constraints are asymmetric across different types of investors, and only some qualified traders are allowed to short sell securities. This project intends to investigate the realtionship between short-sales constraints and asset prices from a more realistic perspective. We consider the existence of asymmetric short-sales constraints and study how asset bubble forms, why it persists, and what causes it to burst theoretically and empirically. Firstly, we aim to extend the existed analytical frameworks for asset bubble by fully considering two distinctive trading objectives，to share risk and to speculate on private information. We construct a dynamic equilibrium model of asset prices in the presence of asymmetric short-sales constraints, and conduct economic analysis on the equilibrium solution of the model under different scenarios. Secondly, by applying panel data analysis and event analysis, we empirically analyze how asymmetric short-sales constraints impact asset prices and bubble based on data from the Chinese warrants market and the Chinese margin trading and short selling market, in which asymmetric short-sales constraints are present. We compare asset price dynamics for securities that are eligible for short selling and those that are not eligible for short selling,

英文关键词： Short-Sales Constraint；Price Efficiency；Market Stability；Cooperate Governance；Information Governance