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中文摘要：
采用计算实验的方法研究卖空机制的引入对股票市场的影响。构建双向连续竞价的人工股票市场平台，设定投资者依据价值因素、价格趋势因素和噪声因素预估股票收益，建立市场卖空交易机制及投资者在禁止卖空和允许卖空情形下的交易模型，对引入卖空机制前后以及不同保证金要求下的股票价格、波动性和流动性进行研究。研究结果表明，卖空交易具有高卖空低买回的特点，从而在下跌的市场中提升股价，在上涨的市场中抑制股价，并有效地降低市场波动，提高市场流动性。随着保证金比例的减小，市场波动和买卖价差先减小后增加，而市场深度一直增加；通过对订单簿的研究发现，过低的保证金会加剧买卖订单的不平衡，甚至出现流动性“枯竭”，说明流动性先增加后减小；保证金比例的进一步减小会导致市场崩溃；过高的杠杆比率反而会对市场质量造成损害。
英文摘要：
Based on computational experiment, this paper investigates impacts of short sale introduction on stock market. Re- searchers construct an artificial stock market platform of bidirectional continuous auction, in which investors estimate stock re- turns according to factors like fundamental value, price trend and noise, and build market short sale mechanism and investors＇ trading model in conditions with and without short sale to explore stock price, market volatility and liquidity with different margin requirements before and after the introduction of short sale. The results show that short sellers tend to sell short when the price is high and cover short when the price is low, which makes short sale prevent price from increasing further in a rising market and from dropping in a falling market, reduce market volatility and enhance liquidity. With the reduction of margin ratio, market vol- atility and price difference decrease afore and increase after, while market depth keeps increasing. By investigating the order book, we find that the fact that too low margin ratio causes the aggravation of order imbalance even depleted liquidity, which in- dicates that market liquidity is enhanced afore and impaired after. The further decrease of margin ratio leads to market crash, ex- cessive leverage ratio impairs market quality.
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