Research On The Impact Of Stock Short Selling On China's Stock Price

In this paper,a number of exogenous policy by March 31,2010 selling business in our implementation and subsequent changes,effects of short selling stocks of Chinese stock price and its volatility,not only in theory,enriches the theory of market microstructure in China stock pricing error correction has important reference value,and provide a theoretical basis for the to improve the system of our country stock market microstructure;and also provides empirical evidence in practice for the improvement and development of China's short selling system,and has important practical significance to China's stock market healthy operation and orderly development.With the start of China's stock short selling and exogenous randomness pause,natural experiment thus formed,the paper affect our stock price volatility and its mechanisms conducted in-depth theoretical analysis of the stock short-selling,and on this basis,This paper proposes two hypotheses: the stock short-selling can cause stock prices to increase stock returns and the stock short-selling can increase the volatility of stock prices.Based on these two assumptions,we use natural experiments of short selling and the stock market started to suspend short selling policies formed by the combined transactions China A shares,by using propensity score matching model(PSM)and difference in difference method(DID),this paper studied the effects of short selling shares on the stock price and its volatility,the stock is given by the empirical evidence that short selling of our stock price impact of experience and volatility.Comprehensive theoretical analysis and empirical evidence of this article,we draw the following conclusions: First,after the liberalization of short-selling restrictions,on the one hand due to pessimism among investors introduced to the market,short selling stocks to reduce the possibility of the stock price bubble formation,thereby so that stock prices fall,leading to increased stock returns;on the other hand,since the mechanism is equivalent to short selling in the stock market increased demand constant supply of shares,the stock price fell to promote balanced,thus increasing stock returns.Two reasons are so open short sale restrictions would cause stock prices to increase stock returns;secondly,after the liberalization of short-selling restrictions,since the pessimism among investors introduced to the market,the stock is expected to increase the degree of heterogeneity,Investor pessimism on the stock price is expected to expand downward fluctuation range of the stock price.It is for this reason that such restrictions would lead to liberalization of short-selling stock price volatility to expand,thereby increasing the stock price volatility.Comprehensive theoretical analysis and empirical results may indicate that short-selling release limits will lead to rising stock prices in order to stock returns,and cause an increase in stock price volatility.