{"title":"Short selling mechanism, market risk reduced: Evidence from a share market of China","authors":"Xingyu Wang, Fan Wang","doi":"10.1109/ISRA.2012.6219107","DOIUrl":null,"url":null,"abstract":"This paper use VaR (value at risk) as the main risk measure and evaluate it by the quartile regression model, choosing the data from A share market for positive analysis. The results show that the VaR has decreased markedly since short selling mechanism was set up; the VaR series have remained volatile and displayed no trend without short selling mechanism; the VaR series have obvious decreasing tendency under short selling mechanism.","PeriodicalId":266930,"journal":{"name":"2012 IEEE Symposium on Robotics and Applications (ISRA)","volume":"25 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2012-06-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"5","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"2012 IEEE Symposium on Robotics and Applications (ISRA)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/ISRA.2012.6219107","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 5
Abstract
This paper use VaR (value at risk) as the main risk measure and evaluate it by the quartile regression model, choosing the data from A share market for positive analysis. The results show that the VaR has decreased markedly since short selling mechanism was set up; the VaR series have remained volatile and displayed no trend without short selling mechanism; the VaR series have obvious decreasing tendency under short selling mechanism.
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