A Study on the Effectiveness of Short-selling Regulation using Artificial Markets

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概要

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• Since the subprime mortgage crisis in the United Sates, stock markets around the world have crashed, revealing their instability. To stem the decline in stock prices, short-selling regulations have been implemented in many markets. However, their effectiveness remains unclear. In this paper, we discuss the effectiveness of short-selling regulation using artificial markets which is an agent-based model of financial markets. We indicate that the short-term regulation contributes to the market stability because of the prevention of the decline in stock price but the long-term regulation inhibits it because of bubbles emergence. First, we constructed an artificial market that allows short-selling and an artificial market with short-selling regulation and have observed the stock prices in both of these markets. We found that the market in which short-selling was allowed was more stable than the market with short-selling regulation, and bubbles emerged in the regulated market. Next, we evaluated the values of assets of agents who used three trading strategies, specifically, these agents were fundamentalists, chartists, and noise traders. The fundamentalists had the best performance among the three types of agents. Finally, we compared the price variation in the market in which short-selling was regulated with that in which it was not regulated after markets satisfied a regulation condition. Thus, we confirmed that the former rebounded faster than the latter.

• 進化経済学会の論文

著者

• Mizuta Takanobu

  SPARX Asset Management Co., Ltd.

• Yagi Isao

  Interdisciplinary Graduate School of Science and Engineering, Tokyo Institute of Technology

• Izumi Kiyoshi

  School of Engineering, The University of Tokyo

関連論文

• A Study on the Effectiveness of Short-selling Regulation using Artificial Markets
• Investigating the Impact of Trading Frequencies of Market Makers : A Multi-Agent Simulation Approach

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