[ ] [ ] 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 2004 2005 Stock Index futures Options
2001 8 14 2004 2001 11 2004 9 10 (CBOE) 10 18 16 (CX.CBOE) 2005 8 9 11 FIA sell short short selling short sale
2004 4 2004 5 20 1
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 1996 5 3 Korea Stock Exchange-KSE Korea Stock Price Index 200-KOSPI 200 1996 9 2 Korea Securities Depository-KSD KSD [7] 6 1.80% 1.50% 0.15% KSD 0.15% Korea Securities Finance Corporation-KSFC 5 KSD 1990 4 30 South Africa Futures Exchange-SAFEX 40 JSE Top 40 Companies All-share Index Rand Merchant Bank-RMB 1987 4 5 1988 9 21
SAFEX Clearing Company-SAFCOM, 1990 Financial Markets Control Act, 1990 1990 8 10 1988 securities loan securities lending Standard Corporate and Merchant Bank--SCMB 1992 1994 off-shore convertible bonds 4 [8] 12 1996 8 6 1998 6 12 1996 price up-tick,1996 40 manufactured dividends or interest Income Tax Act 70 150 300 15 115% 110% 105% Value at Risk-VaR [1] market makers 1994 7 18 2 3 T+10 1995 6 26 T+5
1990 11 9 1991 8 1995 12 15 1996 9 30 1988 5 2 1995 5 22 1986 5 6 Hong Kong Futures Exchange-HKFE Hang Seng Index Futures-HSI 1994 1 3 Stock Exchange of Hang Kong-SEHK 33 17 1996 3 25 113 2001 10 26 15 4 10 100 3 2001 6 29 2002 1 7 5 4% randomly) 6% 20 6% 40 1500 2000
2001 12 legal title economic ownership) Thomas Kloet : Joseph.W.Fung 1999 [9 10] 1994 1996 Chung Kang 1993 Neal 1996 Gerld D.Gay 1999 1996 Andreas Grunbichler & Tyrone W. Callahan 1994 0.5%
1 36220 1990.11.09. 1883.12.02. 1991.08. 2 32420 * 1881.03.01. 3 30000 1988.09.03. 1886.03. 4 29810 1982.02.24. 1792.05.17. 1933.05.27. 5 26400 1986.05.06. 1914. 1994.01.03. 17 1996.03.25. 113 6 26000 1990.11.23. 1958. 7 25200 1987.04.03. * * 8 24400 1986.09.03. 1973.05. 2002.01.07. 9 24200 1993.10.29. * 10 24000 1988.11.09. 1986.02.20. * 11 23900 1988.10.24. * * 12 23300 1984.05.03. 1773. 1994.07.18. 13 23100 1988.05.02. 1995.05.22. 14 20200 1994.11.28. 1808. * 15 20100 * * * 16 19690 1984.01.16. 1852. * 17 16600 * 1953. * 18 16500 * 1977.04. * 19 14600 1987.01.05. 1981. * 20 14000 1992.01.14. * * 21 12900 1998.07.21. 1960. 1989.07.03. 22 11350 1999.08.27. * * 23 10850 1996.07.20. 1891.01.29. * 24 9160 * * * 760 1990.12.19. 1: 2001 1 :?
Merton Miller :? ( ) : [1] 1994 1996 1999 3.5 1996 9 1998 1 4 7 1994 17
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