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
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