Short-sales Constraint, Stock Index Futures and Chinese Security Market Completeness
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摘要: 完全市场是所有金融深化、改革和创新的最终目标。然而,我国存在卖空限制的证券市场是不完全的,这导致了风险分担的无效以及社会福利的损失。文章利用金融经济学原理证明了,在我国卖空限制的市场条件下,引入股指期货这种金融创新产品可以促进证券市场的完全化。最后得出结论,股指期货的推出有利于促进我国证券化市场的完全化程度,有利于提高我国金融系统的资源配置和风险分担的功能。Abstract: Complete market is the target of all the financial deepening, reform and innovations. But Chinese security market is in complete under short-sale constraint, which causes the ineffectiveness of risk share and the loss of social welfare. We have proved that the market will become more complete with the stock index futures being introduced into the short-sale constrained market. This suggests that the introduction of stock index futures can enhance the completeness and risk sharing function of the Chinese short-sale constrained market.
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Key words:
- stock index futures /
- short-sale constraint /
- complete market /
- financial innovations
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