A Theoretical And Empirical Study On The Effect Of Shortage Mechanism On Asset Pricing

Since the birth of short selling mechanism in the Netherlands in 1609,the capital market has experienced more than 400 years of development.Short selling and supervision are constantly enriching and improving.Such as East India bubble,the South Sea bubble,Mississippi bubble,every time the economic bubble burst,we can see the figure of short selling.So it has been suggested that the short selling is the culmination of the bubble burst and the financial crisis,the national financial regulators are also constantly introducing laws to further regulate the short selling mechanism.In China,in 2005 the margin was first proposed,followed by a few years,the pilot in the country to start,until March 2010 the official implementation of short selling securities.On the other hand,in April 2010 the CSI 300 stock index futures short selling in the domestic implementation,which also marks the domestic short selling mechanism,was officially filled.But as the stock market skyrocketed in 2015,the impact of the short selling mechanism on asset prices became the focus of the market.Short selling mechanism in the end is the cause of the crash or the antidote has become a topic of academic and industry debate.The article will be divided into three parts.The first part analyzes the development of short selling mechanism at home and abroad,compares the principle of the various short selling mechanism,and its impact on the market.Then,based on several existing asset pricing models(Fama-French three factors model,APT model,CAPM),we derive the theoretical derivation of how the short selling mechanism affects asset pricing and price volatility.By citing the heterogeneous belief,it is concluded that short selling can make the pricing of assets on the market more accurate and the price fluctuation is smaller.Finally,we study the A-share market as the object of study,in the empirical analysis were studied the short selling mechanism and stock index futures short selling mechanism for the impact of the stock price situation.In the empirical analysis,we compare the valuation of the selling price of the selling margin.Then,through the establishment of GARCH model,we have detailed analysis of the price fluctuation of 848 margin items and several core market indices in A-share market.In the impact of stock index futures,we divided the horizontal and vertical comparison of several core index in the stock index futures before and after the valuation level and volatility level.Eventually found that the introduction of short selling mechanism will make the stock volatility smaller,valuation lower.And limiting the short selling mechanism will make the stock volatility become larger,the valuation higher.On this basis,we give the policy recommendations such as liberalizing short selling of stock index futures,promoting short selling of securities and increasing market short selling.