The Study on Short Sales Trading Mechanism Based on Fluctuation Risk in Securities Market

被引：0
|
作者：
Zhang Bo [1 ]
机构：
[1] Xian Univ Technol, Xian, Shaanxi, Peoples R China
来源：
PROCEEDINGS OF 2009 INTERNATIONAL CONFERENCE OF MANAGEMENT SCIENCE AND INFORMATION SYSTEM, VOLS 1-4 | 2009年
关键词：
Fluctuation Risk; Short sales trading mechanism; ARMA-EGARCH-M model; CONDITIONAL HETEROSKEDASTICITY;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Establishing ARMA-EGARCH-M model to study fluctuation risk in Chinese securities market. By empirical analysis it is concluded in this paper that Chinese securities market has obvious fluctuation risk which presents fluctuation cluster and sustained fluctuation. From the view of trading mechanism, short sales limit partly induce the market fluctuation risk and it is necessary to establish short sales trading mechanism to offset market fluctuation risk. To strengthen fluctuation risk management, it is suggested to establish short sales trading mechanism in Chinese securities in two stage, which include securities depository clearing corporation credit model in short-run and securities company credit model in long-run.
引用
收藏
页码：1249 / 1253
页数：5
相关论文
共 50 条
  • [1] Policy factor and price fluctuation mechanism in China securities market
    Cheng, LW
    Sun, QY
    [J]. PROCEEDINGS OF 2003 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE & ENGINEERING, VOLS I AND II, 2003, : 1624 - 1628
  • [2] A Study on Fluctuation Risk Management-from the view of trading mechanism
    Zhang, Bo
    [J]. PROCEEDINGS OF 2009 INTERNATIONAL CONFERENCE OF MANAGEMENT ENGINEERING AND INFORMATION TECHNOLOGY, VOLS 1 AND 2, 2009, : 370 - 374
  • [3] An Endowment Effect Study in the European Union Emission Trading Market based on Trading Price and Price Fluctuation
    Wang, Jiqiang
    Gu, Fu
    Liu, Yingpeng
    Fan, Ying
    Guo, Jianfeng
    [J]. INTERNATIONAL JOURNAL OF ENVIRONMENTAL RESEARCH AND PUBLIC HEALTH, 2020, 17 (09)
  • [4] Do controlling shareholders' equity pledges exacerbate the stock price crash risk? -A study based on margin trading and securities lending transactions in China's securities market
    Wang, Liang
    Cao, Ziqiu
    Cao, Wenyan
    [J]. HELIYON, 2024, 10 (18)
  • [5] The Study of Fluctuation Mechanism of Commercial Residential Market
    Shen Zhenjiang
    He Wanfeng
    [J]. PROCEEDINGS OF 2009 INTERNATIONAL CONFERENCE ON CONSTRUCTION & REAL ESTATE MANAGEMENT, VOLS 1 AND 2, 2009, : 1079 - +
  • [6] Optimization Trading Strategy Model for Gold and Bitcoin Based on Market Fluctuation
    Xie, Hong-Xia
    Feng, Yan
    Yu, Xue-Yong
    Hu, Yu-Ning
    [J]. JOURNAL OF ADVANCED COMPUTATIONAL INTELLIGENCE AND INTELLIGENT INFORMATICS, 2023, 27 (01) : 105 - 118
  • [7] Are short-sales constraints binding when there is a centralized lendable securities market? Evidence from Japan
    Khan, Mostafa Saidur Rahim
    Bremer, Marc
    Kato, Hideaki Kiyoshi
    [J]. JOURNAL OF THE JAPANESE AND INTERNATIONAL ECONOMIES, 2018, 48 : 85 - 96
  • [8] Study of Chinese carbon emission trading market mechanism based on the game theory
    Dai, J.
    Yan, J.
    Gao, H.
    [J]. GLOBAL NEST JOURNAL, 2022, 24 (01): : 9 - 15
  • [9] An empirical study of securities investment funds trading intensity impacting on the stability of stock market
    Wang, Ren
    Tian, Cunzhi
    [J]. INFORMATION SCIENCE AND MANAGEMENT ENGINEERING, VOLS 1-3, 2014, 46 : 409 - 415
  • [10] Blockchain-based microgrid market and trading mechanism
    Li, Huan Aaron
    Nair, Nirmal-Kumar C.
    [J]. 2018 AUSTRALASIAN UNIVERSITIES POWER ENGINEERING CONFERENCE (AUPEC), 2018,
12345