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虹栋恳谯
9 years ago
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1 [ ] [ ] Abstract: Whether or not has the short sale obstructed China from establishing stock index futures market? Firstly, the definition of short sale in stock markets, short sale mechanism and short position mechanism are presented, it discusses the pairwise relationship between short sale, short position mechanism and stock index futures. Secondly, the short selling in American, Korea, South Africa, Britain, German, Singapore, Hong Kong etc. countries or district are analyzed. Thirdly, this paper focuses on short selling in stock market and its impact on establishing stock index futures market, Finally, it concludes that the short sale is not an obstacle to constitute the stock index futures markets, and presents some suggestions of establishing short position mechanism, stock index futures and short selling etc. in China. Key Words: Stock market, Securities lending, Short selling, Stock index futures, Financial innovation Stock Index futures Options

2 (CBOE) (CX.CBOE) FIA sell short short selling short sale

4 1934 Securities Exchange Act, 1934 Rule 10a-1,up-tick rule Rule 10a-2 zero-plus tick NASD Rule 3350 (the Short Sale Rule) best bid previous best bid Korea Stock Exchange-KSE Korea Stock Price Index 200-KOSPI Korea Securities Depository-KSD KSD [7] % 1.50% 0.15% KSD 0.15% Korea Securities Finance Corporation-KSFC 5 KSD South Africa Futures Exchange-SAFEX 40 JSE Top 40 Companies All-share Index Rand Merchant Bank-RMB

5 SAFEX Clearing Company-SAFCOM, 1990 Financial Markets Control Act, securities loan securities lending Standard Corporate and Merchant Bank--SCMB off-shore convertible bonds 4 [8] price up-tick, manufactured dividends or interest Income Tax Act % 110% 105% Value at Risk-VaR [1] market makers T T+5

6 Hong Kong Futures Exchange-HKFE Hang Seng Index Futures-HSI Stock Exchange of Hang Kong-SEHK % randomly) 6% 20 6%

7 legal title economic ownership) Thomas Kloet : Joseph.W.Fung 1999 [9 10] Chung Kang 1993 Neal 1996 Gerld D.Gay Andreas Grunbichler & Tyrone W. Callahan %

8 * * * * * * * * * * * * * * * * * * * * * * * * * : :?

9 Merton Miller :? ( ) : [1]

10 [1] 2005 [M].,. [2] 2004 [J]., (13), pp [3] 2002 [J]., 36(12), pp.1317~1319. [4] Raab, M. & Schwager, R. Spanning with short-selling restrictions [J]. Journal of Finance, 1993, 48 (2), pp [5] Kempf, A. Short selling, unwinding, and mis-pricing [J]. Journal of Futures Markets, 1998, 18(8), pp [6] Figlewski, S. & Webb, G. P. Options, short sales, and market completeness [J]. Journal of Finance, 1993, 48(2), pp [7] Gay, G. D. & Jung, D. Y. A further look at transaction costs, short sale restrictions, and futures market efficiency: the case of Korean stock index futures [J]. Journal of Futures Markets, 1999, 19 (2), pp [8] Counihan, C. & Malherbe, S. Securities lending in South Africa A report for the Financial Service Board[R]. Genesis Analytics, 1999, August, pp

11 [9] Fung, J. K. W. & Draper, P. Mis-pricing of index futures contracts and short sales constraints [J]. Journal of Futures Markets, 1999, 19(6), pp [10] Fung, J. K. W. & Jiang, L. Restrictions on short-selling and spot-futures dynamics [J]. Journal of Business Finance & Accounting, 1999, 26(1) & (2), pp [ ] NXSK NX03 1 [ ] [email protected]

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