Research On The Impact Of Short Selling Mechanism Upon The Speculation Bubble Of The CSI 300 Index

The existence of a large number of speculation bubbles in the stock market will affect financial stability.The lack of short-selling mechanism is one of the reasons for the large number of speculation bubbles.Since 2010,China has launched three short-selling mechanisms for margin financing,stock index futures and ETF options.After years of development,the impact on the stock market has also been strengthened.In theory,the emergence of short-selling mechanism can increase the choice of reverse trading,form effective market supply and demand,promote price discovery,and thus curb speculation bubbles;but in reality,speculators will use the leverage attribute in short-selling transactions to aggravate market volatility and form The case of a larger speculation bubble.Therefore,we would like to ask,at this stage in China,what is the impact of the short-selling mechanism on the speculation bubble of its underlying index CSI 300 Index? This is a subject worthy of study,and there are few related studies in China.In view of this,this paper uses the real transaction data to empirically discuss this issue,and provides practical and effective suggestions for effectively limiting the speculation bubble and ensuring the healthy development of the A-share market.This paper adopts the combination of theoretical analysis and empirical analysis.Firstly,it defines the concept of short-selling mechanism,and combs the literature on the effect of short-selling mechanism on speculation bubbles.Secondly,it analyzes the current situation of short-selling mechanism and speculation bubble in China.Using the five theories of the effective market hypothesis,rational expectations theory,Miller's stock overvaluation theory,herd behavior,positive feedback trading mechanism analyze the process and mechanism of the short-selling mechanism affecting speculation bubble.Finally,the price analysis method is used to calculate The speculation bubble of the Shanghai and Shenzhen 300 Index and empirically study the impact of margin financing and stock index futures on speculation bubbles using Granger causality test,impulse response function and variance decomposition.The innovations of this paper are as follows:(1)restricting speculation bubbles from the perspective of the improvement of market mechanism;(2)taking into account the impact of short-selling transactions and leveraged trading on speculation bubbles;(3)using the method of price decomposition calculates the speculation bubble of the Shanghai and Shenzhen 300 stocks.The conclusion is that the margin financing and securities lending business has strengthened the speculation bubble of the CSI 300 Index,and the stock index futures business has limited the speculation bubble of the CSI 300 Index.The proposed policy recommendations are:(1)we can consider further loosening stock index futures,(2)promote the development of securities lending business,(3)strengthen the cultivation of rational investors,(4)strengthen the supervision of information disclosure,(5)launch corresponding stock index futures for other sectors and the new science and technology board.