卖空机制，降低市场风险:来自中国a股市场的证据

2012 IEEE Symposium on Robotics and Applications (ISRA) Pub Date : 2012-06-03 DOI:10.1109/ISRA.2012.6219107

Xingyu Wang, Fan Wang

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引用次数: 5

摘要

本文以VaR (value at risk)作为主要风险度量，采用四分位数回归模型对其进行评价，选取A股市场数据进行实证分析。结果表明:自卖空机制建立以来，VaR显著下降;没有卖空机制，VaR系列一直保持波动，没有趋势;在卖空机制下，VaR序列有明显的下降趋势。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Short selling mechanism, market risk reduced: Evidence from a share market of China

This paper use VaR (value at risk) as the main risk measure and evaluate it by the quartile regression model, choosing the data from A share market for positive analysis. The results show that the VaR has decreased markedly since short selling mechanism was set up; the VaR series have remained volatile and displayed no trend without short selling mechanism; the VaR series have obvious decreasing tendency under short selling mechanism.

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2012 IEEE Symposium on Robotics and Applications (ISRA)

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