The Impact Study Of The Short Selling Mechanism To The Volatility Of The Stock Market

The introduction of short selling mechanism will affect the normal fluctuations in the stock market, then affect the behavior of the investors,the listed companies, the regulator. Therefore, it is very important and critical to study how the introduction of the mechanism of short selling affect the volatility of the stock market. Based on this, this dissertation combine with theoretical analysis, use a variety of research methods, focuse on studying the fluctuations of the mechanism of short selling on the stock market.It is great theoretical and practical significance.This dissertation describes short-selling mechanism ,the margin mechanism of china and its characteristics, and points out that the short selling in China has some restrictions ,rigorous regulation, and in the process of gradually improving. Next, this dissertation uses the fluctuations data of A-share index of month ,week and day,and uses the daily fluctuations data of Index of Shanghai Stock Exchange ,Shenzhen composite index, small board indexd and B-share index to make a preliminary analysis on how short selling mechanism affects the stock market fluctuations.With event study method and contrastive analysis, we could include that the information of short selling mechanism could increase the volatility of A-share makret. Then, the dissertation makes feasibility analysis about drawing lessons from H-share to study the influence of short selling to the market volatility.And this dissertation uses the latest monthly short-selling data of Hong Kong stocks from 1999 to 2008 and the monthly fluctuations of the Heng Sheng index from 1989 to 2008 to study and analysis the relationship between short selling and stock volatility with event study method, cointegration test, Granger causality test, and Construct error correction model. And we could generalize a conclusion from those test that short selling would increace the H-share market volatility.Furtherly,the dissertation darw the predictive conclusion that the short selling mechanism will increase the A-share market volatility. Finally, this dissertation presents a lardge number of suggestions for improving the short-selling mechanism and lowering the stock market volatility. we could reduce the market volatility and lower the risk of short selling ,with strengthening the information disclosure and gradually improving the market monitoring mechanism, developing financial derivatives, cultivating institutional investors, strengthening the risk management of short selling transactions.