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Analysis On The Impact Of Short-Selling Mechanism On The Chinese Funds’ Performance

Posted on:2014-12-08Degree:MasterType:Thesis
Country:ChinaCandidate:M J YangFull Text:PDF
GTID:2269330428961364Subject:Finance
Abstract/Summary:PDF Full Text Request
Short selling has been abandoned for a long period of time in the stock market in China. Unidirectional trading mechanism has hampered the fund company’s risk management, but also hindered the company’s innovation and development. In2010, the China Securities Regulatory Commission (CSRC) made the agreement of the State Council and started Securities Margin pilot operations on March31. In the same year on April16, the CSI300Index Futures Contracts has began to traded in CICC. The launch of this two business marks that the Short-Mechanism has been built in the stock market. Stock index futures and margin trading are both belong to Short-Mechanism, has the milestone significance to our country. As for the fund companies, the introduction of Short-Mechanism is not only an opportunity but also a challenge. It can derive a more diversified investment strategy to bring to market effective risk management and liquidity management tools, and triggered the domestic asset management industry as a whole pattern of major change.Based on the effect of Short-Mechanism in the stock market, This article systematic review of related research literature and discussed on the stock index futures and margin trading’s impact of active stock funds and passive index funds these two types of funds. Combined with the actual situation of China’s stock market, these two types of funds involved in stock index futures and margin trading conditions are summarized. Based on this, this paper has used data envelopment analysis (DEA) model to evaluate the two types of funds’ performance after the Short-Mechanism has been permitted, and by using the Malmquist index of the different situation to analysis the reasons that the two kinds of fund’s performance change.The article found that after the launch of the short-mechanism, the performance of the Exchange Traded Funds (ETF) has improved obviously which have a high level of participation in the short-mechanism, and the ability to avoid falling market systemic risk had obvious increased. By contrast, the stock funds have little change in terms of performance and risk management. Thus it can be seen, in the early part of the short-mechanism to launch the stock market in China, under the background of the regulators made strict contact to limited the institutional investors to participate in short trading, the stock funds has not been effective utilization of new bilateral trading mechanism, but the performance of Exchange Traded Funds (ETF) have a obvious improvement because of the high degree of participate in the short-mechanism.
Keywords/Search Tags:stock index futures, securities margin trading, short-mechanism, funds performance, Data Envelopment Analysis
PDF Full Text Request
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