| With the development of global financial integration, the Linkage Effects between the domestic A-share market and the international stock market significantly enhanced. But at the same time, the volatility of A shares have more severe fluctuation. One reason for this is in the past for a long time the lack of short sales as a internal balancing mechanism. The unilateral market led to high systemic risk of A-share market and an unhealthily-operating A-share market. While the short mechanism has already matured in developed countries and some emerging countries, and it has become an important market tool to improve market liquidity, restrain volatility, and promote reasonable prices. In this context, after many years of preparation, China has finally officially opened the margin trading and CSI 300 stock index futures contracts trading in 2010 to enter the two sides of the City era. Since then, the margin trading and stock index futures trading develop rapidly with a spurt of fast growth of the trading volume, and the number of accounts. The impact on A-share market is also gradually strengthened.But no matter in theory or in kind, there is a dispute about the influence of short trading on the stock market fluctuations. Theoretically, the short mechanism can provide reverse transaction, formate effective supply and demand in the market, discovery price and rational allocate resource, then smooth the volatility. But in reality, the speculators use it to manipulate the market which leads to the market failure and exacerbated the market volatility. Short mechanism in China is still a new thing which easily impact A-share market. Especially during last year’s stock market crash, regulators rapidly develop activities which focused on "tight margin trading, clean out the OTC financing, restrict stock index futures trading", in order to stabilize the fluctuation. But we have to ask that whether the government restricted short-selling to restrain the fluctuation is effective and how the short-mechanism affect the stock market fluctuation now. This is a subject worthy of further study. And at present, there are few domestic researches. So, we should do empirical research with the adequacy of current market transaction data in order to promote the healthy development of A-share market.In view of this, this article has carried on the empirical research to enrich the domestic research achievements. The paper mainly consists of the theoretical and empirical analysis. Firstly, we systematic review of the short mechanism and its impact on the stock market fluctuations in the relevant literature, and find that there are few studies and three attitudes which are aggravating, inhibiting and having no significant impact on stock market fluctuation. And the mainstream research methods is financial time series models. Later, we introduce the development process and status of the short-mechanism in our country and analyze its existing problems through a lot of data and graphs. We find the cause is that legal mechanism of short selling is imperfect, strong interference from the government and the rational investors. Moreover, we summarize and compare main short mechanism classic business models. The above will become the basis of empirical theory and measures. Then on the basis of the previous text, we select CSI 300 index daily closing price data, the transaction data of the component stocks, CNPC daily data during eight years before and after 2010 and high frequency finance data before and after the limit index last year. We construct GARCH-M model with the processing data. The analysis reveals that the standard deviation of CSI 300 index daily yield sequence after April 16,2010 decreased which preliminary shows that the short selling can help stabilize the stock market fluctuation. Then, we put the turnover as the economic exogenous variable into the mean value equation in GARCH-M (1,1) model. But the results show that the explanation function of the turnover is not significant. So we reconstruct GARCH (1,1) model. The results show that short mechanism can restrain the volatility of the stock market and individual stocks, but the effect is limited, so as the futures trading limited last year. After the introduction of the short-mechanism, the impact of the old information is enhanced and has a larger impact than the new information on the stock market. It is still an important factor affecting the stock market volatility. At the same time, on this basis to build TGARCH (1,1) model and EGARCH(1,1), we find that before and after the existence of leverage effect, the leverage effect exists in the stock market, and investors’ fears of bad news ease, but the effect on the individual stocks is weak.Finally, combing with the comparison of the international short selling mechanism business model and the current problems analysis, the reason of this empirical result is that the A-share market efficiency is weak, the government restrict too strictly and intervent too much, investors can not rationally understand and the market degree is low. So in the light of this, the policy recommendations are:firstly, improve the efficiency of market information transparency and ensure the fair competition facing participants; secondly, reduce the market access requirements and reduce the direct interference of the market. |
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