Short selling mechanism, market risk reduced: Evidence from a share market of China

摘要

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.