Study on the influence of short-sales constraints on skewness ??? Based on the Shanghai and Shenzhen stock markets

Based on the margin transaction in Chinese stock market, this paper discusses the effects of margin to China securities market, especially the impact of short-selling constraints on the skewness of stock returns. The empirical results indicate that short selling system significantly increases the skewness of returns distribution. While the short selling constraints make the return distribution left skewed. And margin transaction system reduces the volatility and liquidity of individual stock, but apparently increases the β coefficient of stocks.