股票借貸與賣空研究

定　價：￥36.00

作　者：	王曉
出版社：	中國書籍出版社
叢編項：
標(biāo)　簽：	暫缺

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ISBN：	9787506873383	出版時間：	2019-06-01	包裝：	平裝-膠訂
開本：	16開	頁數(shù)：		字?jǐn)?shù)：

內(nèi)容簡介

　　2008年9月，當(dāng)金融市場面臨加劇的緊張局勢和不確定性時，許多國家開始禁止做空行為。本書使用逐筆交易數(shù)據(jù)，分析了這些禁令對銀行股股價收益和波動性的影響。同時也通過研究買賣價差和交易量的變化，探究了這些禁令對市場流動性的影響。本研究使用了事件分析法，區(qū)分平均加權(quán)和市值加權(quán)，從而比較了受禁令影響的股票和未受禁令影響的股票的表現(xiàn)，后者是對照組。本研究也比較了禁令前、禁令中和禁令后各股票的表現(xiàn)?？傮w而言，十幾年前的證據(jù)表明，禁令導(dǎo)致出現(xiàn)了異常收益增多、買賣價差擴大和交易量減少。不過，也有證據(jù)表明禁令導(dǎo)致波動性上升。Back to September 2008， when the financial markets faced rising tension and uncertainty， many countries introduced a ban on short selling activity. This book analyses the impact of the bans on banking share price return and volatility in the ban periods by using tick-by-tick data. The study also explores the impact on market liquidity by examining the changes in bid-ask spread and trading volume.An event study method is applied and distinguishes between equal weighted and market value weighted averages， which compares the impact on banned stocks and non-banned stocks identified as control stocks. It also compares performances prior to the ban， during the period of the ban and subsequent to the ban. Overall， the evidence back to a decade， suggests that the bans led to a general increase in abnormal return， widened bid-ask spread and decreased trading volume. However， there is mixed evidence that the bans caused an increase in volatility.

作者簡介

　　王曉，CFA，CPA，金融學(xué)博士（后），中國人民銀行副研究員，碩士生導(dǎo)師。成功組織G20數(shù)字普惠金融工作。主要從事普惠金融、農(nóng)村金融、精準(zhǔn)扶貧和小微企業(yè)研究。研究風(fēng)格融匯中西，結(jié)合自身細(xì)膩而深刻的體驗，將國內(nèi)外實踐用文字形式精彩表達(dá)，出版專著《小微之門觀中外》，并在國內(nèi)國外權(quán)威期刊上發(fā)表多篇學(xué)術(shù)論文。Xiao Wang， Ph.D. in Finance， CFA， CPA， is an associated professor working with the People’s Bank of China. With profound academic and practical experiences in the financial sector， she has served as a master supervisor， successfully organized the G20 session on digital financial inclusion， engaged in the research on financial inclusion， agro-finance， precision poverty alleviation and MSEs， as well as authored The Map to MSEs Finance and a lot of scholarly papers.

圖書目錄

CONTENTS
PREFACE .................................................................................................... I
CHAPTER 1 INTRODUCTION ..............................................................1
1.1 Background .................................................................. 3
1.2 Motivation of Study and Research Questions ..............4
1.3 Methodology and Approach ........................................ 8
1.4 Overview of Main Results ........................................... 9
1.5 Contributions of Study ...............................................10
1.6 Structure of Study ......................................................12
CHAPTER 2 OVERVIEW OF SHORT SELLING .................................13
2.1 Introduction ...............................................................15
2.2 Short Selling History ..................................................15
2.3 Definition, Types, Practices and Risks of Short Selling...16
2.3.1 Definition ..............................................................16
2.3.2 Types .....................................................................17
2.3.3 Practice ..................................................................18
2.3.4 Risks ......................................................................18
2.4 Positive Arguments for Short Selling .........................19
2.4.1 Market Efficiency ..................................................19
2.4.2 Revenue Enhancement ..........................................20
2.4.3 Merger Arbitrage ...................................................20
2.4.4 Convertible Arbitrage ...........................................21
2.4.5 Pairs Trading .........................................................21
2.4.6 Hedging .................................................................22
2.5 Negative Arguments for Short Selling .......................22
2.6 Short Selling Bans in Global Markets ........................24
2.6.1 Short Selling in Europe .........................................24
2.6.2 Short Selling in North America ............................27
2.6.3 Short Selling in Asia ..............................................29
2.6.4 Short Selling in the UK ........................................30
2.6.5 Short Selling in Australia ......................................32
2.7 Summary.....................................................................33
CHAPTER 3 LITERATURE REVIEW....................................................35
3.1 Introduction ...............................................................37
3.2 Why Is Short Selling Banned? ....................................37
3.2.1 Effects on Stock Prices ..........................................38
3.2.2 To Calm the Market .............................................42
3.2.3 Market Volatility and Instability ..........................43
3.2.4 Market Abuse, Manipulation and “Rumourtrage” ....45
3.2.5 Increases in Loss ....................................................47
3.3 Empirical Evidence of the Impact of Short Selling Bans on Stock Performance ........................................................48
3.3.1 Stock Abnormal Return and Volatility ................48
3.3.2 Pricing ...................................................................51
3.3.3 Bid-Ask Spread ......................................................52
3.3.4 Trading Volume and Turnover .............................54
3.3.5 Costs of Short Selling and Restrictions ................56
3.4 Conclusion ..................................................................60
CHAPTER 4 METHODOLOGY ............................................................63
4.1 Introduction ...............................................................65
4.2 Data Preparation ........................................................65
4.3 Measures .....................................................................68
4.3.1 Abnormal Return..................................................68
4.3.2 Volatility ...............................................................70
4.3.3 Spread ....................................................................71
4.3.4 Volume ..................................................................71
4.4 Testing and Regression Techniques ...........................72
4.5 Conclusion ..................................................................75
CHAPTER 5 EMPIRICAL RESULTS .....................................................77
5.1 Introduction ...............................................................79
5.2 Results Summary ........................................................79
5.3 Abnormal Return .......................................................82
5.4 Volatility .....................................................................91
5.5 Spread .........................................................................98
5.6 Volume .....................................................................103
5.7 Conclusion ................................................................112
CHAPTER 6 CONCLUSIONS ............................................................. 113
6.1 Introduction .............................................................115
6.2 Findings ....................................................................116
6.2.1 Hypothesis 1: Banned stocks have greater abnormal return when short selling bans are imposed ..................116
6.2.2 Hypothesis 2: Volatility in banned stocks decreases when short selling bans are imposed ..............................117
6.2.3
Hypothesis 3a: Banned stocks have wider spread while bans are imposed .................................................118
Hypothesis 3b: Banned stocks have fewer trading activities after short selling bans are introduced ......118
6.2.4 Hypothesis 4: There is no significant difference in the performance of banking stocks between Western markets and Asian markets due to short selling bans .................119
6.3 Summary of Contributions .......................................119
6.4 Future Research ........................................................122
6.5 Closing Comments ...................................................123
Bibliography ........................................................................................... 124
TABLES ......................................................................................................VI
FIGURES ..................................................................................................VII
APPENDIX A TABLES 4, 5, 6 AND 7 ................................................... 136
APPENDIX B FIGURES 2, 3 AND 4 .................................................... 154
TABLES AND FIGURES