A Study of Malicious Short Sales: Empirical Analysis of The 2015 Chinese Market Crash

• Other Authors: Zhang, Zhe (author.)
• Format: Others
• Language: English; Chinese
• Published: 2016
• Online Access: http://repository.lib.cuhk.edu.hk/en/item/cuhk-1292350

本文的研究对象是 2015 年上半年中国 A 股市场与对应的期货市场，我们研究在市场暴跌阶段，恶意做空是否加剧了市场暴跌。为此我们将样本分为两个时间段，暴跌前和暴跌后。通过比较暴跌前后，期货市场与现货市场之间的价格发现功能，波动率溢出效应以及基于交易量之间的线性关系的变化来分 析恶意做空的存在与否。 === 本文的核心假说是如果市场中存在大量的恶意做空行为，那么 A 股市场 对期货市场有明显的信息传递效应。因此基于 return 数据，我们研究 A 股市场与期货市场的引导效用。结果显示股灾后，A 股市场对期货市场有更强的引 导效应且期货市场对 A 股市场的引导效应减弱。基于 volatility 数据的分析显 示股灾后，A 股市场对期货市场有很强的波动率传递效应而期货市场对 A 股 市场几乎没有波动率传递效应，这与股灾前是完全相反的。通过以上两方面的分析，股灾中 A 股市场对于信息的反应和吸收比期货市场更加灵敏，且 A 股 市场对期货市场有更强的信息传应，这点与恶意做空的几个特征是相吻合的。 === 我们基于交易量以及交易类型数据检验“恶意做空”假说，结果显示，股灾期间期货市场的卖出交易量会大量增加现货市场的卖出交易量，且期货市场的买入交易量会导致现货市场的买入交易量明显增加,上一小时的期货市场卖出交易量会增加当今时刻期货买入交易量。以上数据是符合恶意做空的相关特征的，我们认为有大概率存在跨期现市场操纵的行为。 === During the summer of 2015, there was a prominent crash in the Chinese A Sharestockmarket. Consequently,this study examines whether malicious short sales exacerbated the market crash, this is achieved through studying lead-lag relation, volatility spillover effect and features in trading volume. This analysis divides the entire sample into two sub samples: before the crash period and during the crash period. This approach grants comparative empirical study, as the results are based on different periods, allowing analysis as to whether malicious shore sales existed during the market crash. === The key analytical idea that will allow detection of malicious short sales, is from there being a strong information flow from the stock market to the futures market, this will fluctuate if there are large numbers of malicious short sales. Therefore, to study this phenomenon, we investigate the lead-lagrelation between the CSI 300 index and index futures. Based on an extended Granger causality analysis, the results indicate that, the stock market leads the futures market to grow stronger during market crash, and that the futures market leads the stock market much more weakly during the same period. === The volatility spill over effect is captured by the VAR-CCC-GARCH model. The results of which, indicate that the volatility spill over effect from the futures market, is much weaker during the crash. However, it also displays that the effect from the index is much stronger during the crash. From these results, we argue that the stock market incorporated information more quickly, and transmitted information fast to the futures market during the market crash. Thusly, one can surmise that there was a strong information flow from the stock market to the futures market during the crash. === Further to this, whether there were malicious short sales during the market crash is tested using trading volume data. The results indicate that there were many more stocks sold immediately after shorting futures contracts, during the marketcrash. Secondly, we also discover that a large volume of futures purchase trades followed a large volume of futures selling trades, over the last hour of the market crash. Thirdly, the large volume of stock purchase trades immediately followed the large volume of futures purchase trades, during the market crash. These three findings are consistent with the features of malicious short sales. === Zhang, Zhe. === Thesis M.Phil. Chinese University of Hong Kong 2016. === Includes bibliographical references (leaves ). === Abstracts also in Chinese. === Title from PDF title page (viewed on …). === Detailed summary in vernacular field only. === Detailed summary in vernacular field only. === Detailed summary in vernacular field only.