Research On The Influence Of Stock Shorting Short-selling Mechanism On Herd Effect

The research on stock index futures is an important issue in both academic and practical area.However,the role and influence of stock index futures has been controversial.Especially during the abnormal volatility of stock market in 2015,many stock market individual investors have serious negative feelings for stock index futures.During this period,CICC also imposed restrictions on short-selling of stock index futures,which is still in the process of “deregulation”.Therefore,this paper takes the abnormal volatility of the stock market as the background,combined with the theory of herd group effect,and studies how the stock index futures short-selling mechanism affects the stock market's herding effect,to supplement the research of academic stock index futures,and also help everyone correctly treats stock index futures by providing a theoretical reference.Based on this research theme,this paper first studies whether there is a herd effect during the abnormal fluctuation of the stock market.By summarizing the existing theoretical and empirical models,combined with the situation analysis,this paper applies the CCK model to divide the sample period into two stages,and analyzes the existence of herd effect on the whole A-share market.Secondly,this paper divides the stock sample into two groups of the Shanghai and Shenzhen 300 Index constituents and the non-CSI 300 Index constituents,and divides the sample period into two stages,that is,the time before the implementation of the most restrictive measures for the shortselling of stock index futures and the time after it.Then the difference in difference model is applied to analyze the restriction policy of short-selling of stock index futures or the short-selling of stock index futures on the herd effect.Finally,the following conclusions are drawn:First,during the rising period of abnormal volatility of stock market,there is no obvious herding effect in the entire A-share market;but in the down stage,the market herd effect is significant.Second,the difference between the constituents of the Shanghai and Shenzhen 300 Index before and after the implementation of the policy is still positive after eliminating the time difference factor,indicating that short-selling of stock index futures reduces the herd effect.This is consistent with the literature conclusions of most research on the impact of stock index futures on the stock market herding effect.