Research on the scale constraints of short-selling in China's capital market—Based on the perspective of the artificial stock market
In the context of the GameStop Corp.(NYSE:GME)excessive short-selling incident in the U.S.stock market and the A-share short-selling market continuous increasing in scale,whether the current scale constraint of short-selling can meet market needs,as well as what impact may occur when the scale constraint is adjusted,both are important issues that supervisory authorities focus on.From the perspective of the risk prevention of the trading system reform and the applicability of the Chinese market,based on the microstructure of the A-share market,combined with the characteristics of trading behavior,this article constructs an artificial stock market with short-selling market,carrying out an experimental study on the adjustment of short-selling scale constraint,in order to explore the impact of the adjustment of short-selling scale constraint on the quality of market.The research found that:First,lower short-selling scale constraint will impede market activity.Second,the market will not expand disorderly even if the scale constraint is canceled.Third,after relaxing the short-selling scale constraint,the market volume has improved,but it will slightly impair volatility and pricing efficiency.These changes are more obvious in small-cap stocks.At present,the current short-selling scale constraint can be maintained unchanged.However,when the short-selling market becomes more active,the short-selling scale constraint for small and medium-cap stocks can be considered to relax appropriately,taking reference from the ETF market.The short-selling scale constraint for large-cap stocks should be maintained as 25％to prevent large-scale"Black Swan"events from causing significant shocks to the market.
万方数据
维普
