A Study On The Effect Of Short-selling Mechanism On Volatility Of A-share Bank Stock Price

China Securities market as early as August 2006 has been formally promulgated and implemented the"securities company margin trading business pilot management approach",while the Shanghai and Shenzhen Stock Exchange has also actively introduced the corresponding implementation details,but the Chinese stock market until April 2014 began a small range of pilot short selling system,and until the end of February 2013 in the margin system based on the introduction of financing business.Management is very cautious about the construction of the short selling system,one of the important reasons is that regulators worried that short selling will lead to significant fluctuations in the market,affecting the stability of the financial system.In the second half of 2014 to the first half of 2016,China's A-share market did experience a surge in the stock market,in this round of stock market volatility,short selling system controversial,regulators even once shut down the margin Short selling business.However,through the development of European and American developed countries and emerging stock market countries,the introduction of short selling mechanism in the securities market is the trend.The traditional theory holds that the introduction of short selling mechanism in the securities market can,to a certain extent,stabilize the volatility of the market and have a positive impact on the stability of the securities market.During the 2008 financial crisis,when the then chairman of the US Securities Commission,Cox expressed his own promulgated ban on short selling before and after the expression of the opposite view.In the promulgation of the market shortcuts before the Cox chairman that the short elling order will make the market soon recover,but in the implementation of the ban on short selling,Cox chairman that the short ban is invalid,but will bring great market Adverse effects.Cox's statement of the contradiction between short selling and short selling reflects the contradictory attitude of the securities and finance practice to short selling.Not only the US securities regulators so,the United Kingdom,Germany,France,Japan,Korea,Canada and other countries of the securities regulatory agencies in the 2008 financial crisis are invariably choose to limit the short sale,but after a period of time Recovery of short selling mechanism.For a long time,academics and practitioners have had a wide range of controversy as to whether they should allow short selling in the securities market.One of the most critical points of controversy is whether short selling will increase market volatility and even market crisis.This paper takes the official pilot of the voucher business and implements the one-year period as the research interval,and takes the bank shares listed on the A-share market as the research object,and analyzes the short selling of the securities market when the Chinese A-share market fluctuates sharply during the 2015-2016 The impact of short selling mechanism on the volatility of China's securities market is analyzed by means of theoretical analysis and empirical research.In the theoretical analysis,this paper analyzes two different mechanisms of short selling mechanism in stabilizing the stock market and destroying the stability of the stock market.In the empirical study,this paper studies the Granger causality of the research variables and establishes the GARCH-M model to analyze the volatility of the short selling mechanism to the stock market.The results show that the impact of the short selling mechanism on stock market volatility is complex if it does not distinguish between specific market conditions,and it may increase stock market volatility and may reduce stock market volatility,and can not draw a clear s answer.At the same time in the distinction between the specific market environment,the study that the market bubble accumulation,the market volatility,short selling mechanism to curb the volatility of the stock market,and can not provide timely help,and even possible fluctuations in the stock market Negative effects of oil.Based on this,this paper in the policy recommendations that the stock market bubble accumulation and violent fluctuations,the regulators should limit short selling transactions.But when the market is in a relatively stable period,the short selling mechanism has a negative effect on the stock market volatility.Short selling mechanism in the stock market is relatively stable period with icing on the cake,therefore,this paper that the market in a stable period,regulators should allow short selling.