摘要
本文从计算实验的视角出发,通过构建具有A股市场微观结构以及交易行为特征的人工股票市场,研究A股卖空限制中的提价规则调整对市场质量的影响.研究发现:取消A股融券提价规则后,融券市场活跃度明显提升,市场成交量和流动性指数有所提升,但由于激进交易者存在,市场波动性显著增加,买卖价差有所扩大,定价效率发生显著恶化.因此,出于风险控制考虑,本文建议继续维持A股融券提价规则不变.
Abstract
For the past years,the margin trading and short selling(MTSS)scale in the A-share market has been expanding.However,when compared to overseas markets,there are significant differences in two key indicators:the proportion of short selling balance to total margin trading balance and the proportion of short selling transac-tion volume to total market transaction volume.Therefore,relaxing the constraints on short selling is considered a crucial measure to further enhance the activity of short selling in the A-share market,promoting a balance between long and short forces.This study adopts a computational experimental approach by constructing an artificial stock market with microstructure features and trading behavior characteristics resembling the A-share market.It examines the impact of the current rules on canceling short selling uptick rules and extreme scenarios where investors intensify short selling during market downturns.Based on these scenarios,the study investigates the influence of uptick rules on market quality and subsequently assesses the necessity of such rules in the A-share market.The findings of the study are as follows:Firstly,after canceling the short selling uptick rules in the A-share market,restrictions to short selling transactions are relaxed,allowing aggressive short sellers to submit more active orders.This results in a significant increase in the scale of short selling and a noticeable improvement in the overall activity of the short selling market.Secondly,from the perspective of market operation,the cancella-tion of short selling uptick rules leads to an increase in market trading volume and liquidity indices.However,it also significantly raises market volatility,widens bid-ask spreads,and causes a notable deterioration in pricing efficiency.Thirdly,when examining different stock categories,the study finds that after canceling short selling uptick rules,mid-cap stock volatility and pricing efficiency deteriorate more severely,while liquidity in small and mid-cap stocks increases significantly.Nevertheless,due to the malicious speculation by aggressive short sellers,there is also a risk of widening bid-ask spreads.Therefore,while canceling uptick rules may stimulate short selling market activity,it still has substantial negative consequences.At the same time,the short selling uptick rules in the A-share market prevent the impact of short selling forces on the market,reduce avenues for price manipulation,and inhibit further downward pres-sure on stock prices during bear markets,thereby mitigating panic sentiment.As one of the measures to stabilize the market and curb volatility,the establishment of short selling uptick rules is deemed to be reasonable.There-fore,considering risk control,this paper recommends maintaining the status quo of the A-share short selling uptick rules.
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