中文摘要：

为了考察卖空机制对股票价格波动的影响，本文建立双重差分模型对A＋H股公司的A股和H股的月度数据进行实证研究，并在模型中加入时间虚拟变量，考察金融危机前后不同时期卖空对价格波动的影响。研究结果表明，在所划分的不同时期里卖空机制对价格波动的影响是不同的。在金融危机发生前，卖空机制能有效抑制价格波动；在金融危机愈演愈烈时，卖空机制会加剧价格波动；而在金融危机得到缓解时，卖空机制对价格波动没有显著的影响。

英文摘要：

In order to investigate the mechanism of short selling on price fluctuations, we do a empirical research on monthly data of A＋H shares company＇ s A shares and H shares using difference - in - differences model, and add time dummy variables to detect the impact of the short selling on price fluctuations in different time periods before and after the financial crisis. Our empirical results indicate that short selling has different effects on price fluctuations during the periods we divided. Before the crisis happened, short sales can effectively suppress the volatility of the stock price; when crisis intensified, the short selling will exacerbate price volatility, and when crisis eased, short selling has no significant effect on price volatility.