Research On The Influence Of Asymmetric Short-Sale Constraint To Asset Price

In recent 20 years,a multidimensional and all-round financial innovation has continuously refreshed the capital market,including financial product innovation,financial mechanism innovation and risk management tool innovation.Among them,the more important is the introduction of short selling mechanism.Short-sale mechanism is an important part of the financial system,and an indispensable part of the financial system.Narrowly,short selling is the selling of financial assets by investors to sell short directly,but broadly,short selling is mainly through indirect derivative of financial derivatives.The main purpose of short selling behavior is speculation,arbitrage and hedging,while hedging is the most fundamental purpose of short selling mechanism.Investors can avoid the risk caused by the falling of underlying assets by short selling.The relationship between short-sale constraint and asset price is an ongoing research.It is related to whether there is a link between short-sale restriction and stock market crash,whether the short-sale constraint affects the volatility of capital market and so on.In recent years,the introduction of margin trading business is a symbol of the coming of Chinese short selling.So far,the margin trading has exceeded one trillion.The Chinese short selling means are more and more abundant,but not fair means of short selling.Also,there are so many short-sale constraints in China.The first is constraint to the threshold to enter this short selling market,the second is the constraint of the short selling amount.We call such a conditional short-sale mechanism as an asymmetric short-sale mechanism.Through the establishment of a reasonable theoretical model,this paper uses the numerical analysis to study the impact of short-sale constraints on price characteristics and wealth characteristics.The model assumes the existence of two kinds of investors and we call I and U investors,while U is under the short-sale constraints,asymmetric information investors,I is not subject to restrictions on short selling,and I can get information completely.Also,we can change the model by measuring investors having different situation of short-sale constraint.In this price equilibrium model,we analyze the characteristics of asset prices,including price,means of price,price volatility,by numerical analysis method.In this paper,we find that with the increase of the restriction of short selling,the equilibrium price and the expected price will increase,and the price volatility is largest under asymmetric short-sale constraint.It is also found that overconfidence,one of the irrational behaviors,can lead to an increase in asset prices under asymmetric short-sale constraints.Also,we find that the Asymmetric information will lead to a higher price.In the study of investor wealth,mainly for the mean of wealth and found that the introduction of short-sale mechanism,did not increase investor wealth.Finally,This article gives some policy suggestions based on my analysis result:improving the margin trading system,promoting the rational investment education of investors and enhancing the supporting facilities of short selling.