A Study Of The Influential Factors Of Short Selling On China's Stock Market

Stock market in China w as born in the early 1990s,when our country entered the period of reform and opening-up,market economy has been rapid development,considering the capital market foundation is weak,however,many problems exist,thus for risk control and no premature opening of the single stock borrowing short selling mechanism.Over the years,with the continuous improvement of the system of stock market and trading patterns,although short-selling restrictions in a certain extent,effectively inhibit the breeding of malicious shorting forces in the market,but its negative effect is also huge.Investors cannot use short selling mechanism under short limit risk hedge ownership,thus appear fear hand and foot in trading,lead to the size of the stock market is difficult to expand rapidly in our country.In this background,investors to securities short selling mechanism are growing out.Eventually China formally launched in March 2010,borrowing short selling mechanism,it marks the last 20 years of China's stock market only allow unilateral do more than the end of the market pattern.At the same time,launched in 2013 by refinancing business model,as borrowing short selling mechanism fundamentally ease the source of the problem of insufficient,push in recent years our country stock market transactions in securities short sharp growth.Borrowing short selling mechanism developed capitalist countries in Europe and the us has relatively mature operation,from the perspective on the experience of these countries,analysis of borrowing short selling activity drivers tend to grasp the inherent logic of securities short selling,and thus to better control in order to give full play to its positive effect on the stock market.Therefore,this thesis has great research value.In this paper,based on the current status of the development of Chinese stock market,from the view of the supply and demand of securities short selling in the micro level of borrowing short selling activity to study the potential impact of factors,in order to explore the formation mechanism of securities short selling and the intrinsic relationship between various factors.First of all,this paper use between January 2015 and June 2015,our country stock market expansion after the third part of the underlying shares of the relevant data as the empirical sample,variables mainly select hedge funds,institutional investors holding level and bid-ask spread and ILLIQ as borrowing short selling substitution variable demand,supply and stock liquidity,build a yuan linear regression model based on factor analysis method,studies the potential factors for borrowing the influence degree of the short selling.Empirical study results show that the hedge fund market size for borrowing short selling activity can produce significant influence,and there is a positive correlation between effect;Institutional investors holding level has a significant influence on securities short selling activities,and there is a positive correlation between effect,also plans to short-term holdings of institutional investors holding level of borrowing short selling activity is greater than the plan long-term influence degree of the ownership of institutional investors holding level of borrowing the influence degree of short selling activity;Stock liquidity for borrowing short selling activity can produce significant influence,and there is a negative correlation between effect.Secondly,on the construction of a multivariate regression model,we introduce the involved company main body and other various control variables to eliminate the noise and other factors on the results at the same time the securities short selling is decomposed into predictable and unpredictable,and its application as independent variable to the robustness of the model test,formed a relatively complete theoretical framework research influence factor of securities short selling,the thesis made a comprehensive and objective analysis.Above conclusion on the one hand,can undertake securities to investors in short selling activities provide advice on the observation direction,thereby better decisions on short selling,on the other hand to regulators in regulating the securities trading activities to provide the reference in short.