非对称卖空约束下资产价格波动与泡沫演化的理论机制与实证研究

In many securities markets, short-sales constraints are asymmetric across different types of investors, and only some qualified traders are allowed to short sell securities. This project intends to investigate the realtionship between short-sales constraints and asset prices from a more realistic perspective. We consider the existence of asymmetric short-sales constraints and study how asset bubble forms, why it persists, and what causes it to burst theoretically and empirically. Firstly, we aim to extend the existed analytical frameworks for asset bubble by fully considering two distinctive trading objectives，to share risk and to speculate on private information. We construct a dynamic equilibrium model of asset prices in the presence of asymmetric short-sales constraints, and conduct economic analysis on the equilibrium solution of the model under different scenarios. Secondly, by applying panel data analysis and event analysis, we empirically analyze how asymmetric short-sales constraints impact asset prices and bubble based on data from the Chinese warrants market and the Chinese margin trading and short selling market, in which asymmetric short-sales constraints are present. We compare asset price dynamics for securities that are eligible for short selling and those that are not eligible for short selling, and price dynamics before and after the introduction of asymmetric short-sales constraints for each individual security. Thirdly, we invistigate how market wealth transfers between different types of investors under the condition of asymmetric short-sales constraints which, combined with an evolutionary analysis of short-sales practices and reforms in different countries, will enable us to study the market basis for asymmetric short-sale constraints and how asymmetric short-sales constraints may impact the interests of minority investors and market fair.

在很多市场，只有一部分投资者被允许进行卖空操作，卖空约束表现出非对称性特征。本课题从更为现实的视角分析卖空约束与资产价格的关系，研究非对称卖空约束下资产泡沫形成、扩散和破灭的内在机制与外在表现。首先，拓展现有的泡沫分析框架,建立非对称卖空约束下资产价格的动态均衡模型，系统考虑卖空投资者基于私有信息的投机行为和对风险分担的要求，分不同的情景对模型及其均衡解进行经济分析；其次，以中国证券市场中两种典型的非对称卖空机制- - 权证创设和融资融券为例，利用面板数据分析和事件分析方法，比较同一时间窗口内可以卖空的证券和不能卖空的证券的价格特征，以及同一证券在卖空机制实施前后的波动规律，检验卖空约束及其非对称性对资产价格波动和资产泡沫的影响。第三，研究非对称卖空约束下市场财富的流动特征，结合对全球主要资本市场卖空机制及其演进过程的比较，探讨非对称卖空约束存在的市场基础及其对中小投资者利益和金融公平的影响。

在很多市场，只有一部分投资者被允许进行卖空操作，卖空约束表现出非对称性特征。本课题从更为现实的视角分析卖空约束与资产价格的关系，研究非对称卖空约束下资产价格的动态特征，并基于中国股票市场实践分析卖空机制的市场效应。首先，拓展现有的分析框架，建立非对称卖空约束下资产价格的动态均衡模型，考虑卖空投资者基于私有信息的行为，分不同的情景对模型及其均衡解进行经济分析；其次，以中国融资融券市场为例，利用面板数据分析和事件分析方法，比较同一时间窗口内可以卖空的证券和不能卖空的证券的价格特征，以及同一证券在卖空机制实施前后的波动规律，检验卖空约束对价格效率和市场稳定性的影响。第三，通过分析卖空机制对公司盈余管理行为和现金边际价值的影响，以及卖空机制对公司和分析师信息行为的影响，研究卖空机制的公司治理效应和信息治理效应。