The Research In Analysing The Effects Of Shorting Mechanism On Stock Price Movement In China Under The Perspective Of Market Microstructure

Bases on the Chinese stock market This paper practice try to answer such a question:" how short-sales mechanism affect the stock price formation and changes?", with a research perspective of the market microscopic structure.The main content as following:The first part expounds the research background and meaning of market microstructure,and systemically summarizes about beneficial results of the existing study;The second part expounds the trading mechanism, market rules and information disclosure system,which are the basic components for asset price discovery, formation and dynamic adjustment for the securities market microstructure,and it introduces the price forming principle of different trading system,and how the short-sales mechanism can effect market efficiency, volatility and liquidity, furtherly influencing the realization of the function of price discovery;The third part build the theoretical model to describe the price movement of stock under two different market conditions whether there is short-selling constrain,and then compare the two differen share price movements and the equilibrium prices;The last partt study the Chinese stock market with empirical research method and try to interpret the empirical analysis results,basing on the conclusion of third chapter.The results of this paper shows that, as the important trading system modern of stock market,it is very important for shorting mechanism to enhance the efficiency of the stock market. In the market with short-selling, market liquidity and information efficiency would be better, and the limit order book reflects the speed of price movement more immediately and more effiiciently.Therefore, we could take kinds of measures of the market microstructure to improve market liquidity, transparency and stability.