調查A股惡意賣空者 China gives short shrift to ‘malicious’ bears

In the wake of the Chinese stock market’s dramatic fall early this month, police and securities regulators announced they had launched an investigation into “malicious short selling” in the equity futures market.

中國股市本月初出現戲劇性下跌後，警方和證券監管機構宣佈，他們對股指期貨市場的“惡意賣空”展開了調查。

The announcement was part of a raft of measures intended to stabilise the market after it fell 30 per cent from its peak in mid-June, but it also raised the question: what makes short selling “malicious”?

這一宣佈是一攬子措施的一部分，目的是在股市從6月中旬觸及的高點下滑30%後穩住市場，但它也帶出了一個問題：哪些賣空行爲屬於“惡意”？

The lurid terminology, coupled with a lack of detail on what behaviour is being targeted, has led critics to suspect that the investigation is an extralegal attempt to intimidate would-be sellers. But lawyers say that bearish bets can be illegal if they are based on inside information or made with the intent to influence prices.

聳人聽聞的術語，加上對於哪些行爲屬於打擊目標語焉不詳，導致批評者懷疑這項調查是恐嚇潛在賣家的法外企圖。但律師們表示，看跌押注如果基於內部信息或者意在影響價格，確實有可能觸犯法律。

“Short selling itself is neutral market behaviour and not a crime. But if it involves market manipulation, insider trading or false statements, then it becomes illegal as a violation of either securities law or criminal law,” said Liu Junhai, professor at Renmin University law school in Beijing.

“賣空本身是中性的市場行爲，不構成犯罪。但是，如果它涉及市場操縱，內幕交易或虛假陳述，那麼它就構成非法行爲，違反了證券法或者刑法”，中國人民大學法學院教授劉俊海表示。

Meng Qingfeng, vice-minister of public security, said last week that police had found evidence of “manipulation of securities futures”. The China Securities Regulatory Commission, the securities regulator, also said “market manipulation” is part of its definition of malice.

公安部副部長孟慶豐上週表示，警方已經找到了“操縱證券期貨”的犯罪線索。中國證券監督管理委員會(CSRC)也表示，“市場操縱”是其對“惡意”定義的一部分。

Classic stock market manipulation involves “pump-and-dump” schemes in which a group of investors colludes to bid up the price of a single stock, then sells it before the price crashes. Similar tactics can be used to temporarily pressure a stock’s price downward.

經典的股市操縱手法涉及“炒高再拋售”伎倆，一羣投資者串通哄擡某一隻個股的價格，然後在價格崩潰之前拋掉它。類似的戰術可用來打壓一隻股票的價格。

Yet such tactics would appear difficult to execute in China’s large and highly liquid index futures market. Turnover on futures pegged to the CSI 300 index totalled Rmb756bn ($122bn) on July 1, the day before the regulator announced its probe of short sellers. The CSI 300 tracks the largest companies listed in Shanghai and Shenzhen, so manipulating the underlying index would also seem to be challenging.

然而，這種戰術似乎很難在中國龐大且流動性很高的股指期貨市場執行。在監管機構宣佈調查賣空者的前一天，即7月1日，追蹤滬深300指數(CSI 300 index)的期貨的成交量達到7560億元人民幣（合1220億美元）。滬深300指數跟蹤在上海和深圳上市的大盤股，因此操縱標的指數似乎也是不容易的。

But some experts say the large role of margin finance in the market means that manipulating prices would not be as difficult as sceptics believe. In order to ensure that margin loans can be repaid, brokerages and grey-market margin lenders set stop-loss thresholds that trigger automatic selling of shares when the price drops below a certain level. If a short seller knew of a key index level below which a big wave of forced selling would be unleashed, he could exploit this knowledge, said Yan Yiming, an attorney specialising in securities law.

但一些專家表示，保證金融資在市場中的巨大作用意味着，操縱價格的難度不像懷疑論者所相信的那麼大。爲了確保保證金貸款得到償還，券商和灰色市場保證金放貸機構會設定止損門檻，當價格低於某個關口時，此類門檻會觸發股票的自動拋盤。專長於證券法的律師嚴義明介紹說，如果一個賣空者知道，股指低於某個關鍵水平將引發一波被迫拋售的浪潮，他就可以利用這一信息牟利。

“You pressure the index down a little bit, and that forces liquidation worth billions more. It wouldn’t take that much money,” said Mr Yan, who represented the former head of Everbright Securities’ high-frequency trading unit last year in a highly publicised insider trading case stemming from a computer glitch.

“你把指數壓低一點點，就會迫使額外的鉅額變現。這種操作需要的資金並不那麼多，”嚴義明表示。他曾在去年一起發端於一個電腦故障的令人矚目的內幕交易案中，代表股民起訴光大證券(Everbright Securities)。

Asked for a definition of “malicious short selling” at this month, Deng Ge, CSRC spokesman, said it was “cross-market or cross-maturity manipulation”. This explanation suggests authorities are focused on investors who placed bearish bets in both the futures and cash equities markets. A short seller hoping to profit from bearish bets in the futures market could try to manipulate the linked index downward to make his futures contracts pay off.

在被問及本月“惡意賣空”行爲的定義時，中國證監會新聞發言人鄧舸表示，“跨市場和跨期現市場操縱就是惡意做空”。這個解釋似乎表明，當局正聚焦於在期貨和現貨股市都進行看跌押注的投資者。希望獲利於期貨市場看跌押注的賣空者，可能試圖向下操縱掛鉤的股指，使他的期貨合約有利可圖。

Liu Yuhui, researcher at the Institute of Finance and Banking at the Chinese Academy of Social Sciences, a think-tank that advises the government, said regulators may be probing a surge of activity on futures linked to the CSI 500 index, which tracks a group of smaller companies.

向政府提供諮詢的智庫——中國社科院金融研究所的研究員劉煜輝表示，監管部門或許在調查與滬深500指數(CSI 500 index)——跟蹤中小企業——掛鉤的期貨交易活動激增的情況。

The launch of CSI 500 futures in April gave Chinese investors an approved tool for placing bearish bets on small and mid-cap stocks for the first time. Meanwhile, smaller shares were rising even faster than blue-chips during the broader share rally. Daily turnover on CSI 500 futures averaged a modest Rmb422m in May but suddenly surged to Rmb934bn on June 19 when the index began to plunge.

今年4月推出的滬深500指數期貨，使中國投資者首次擁有對中小盤股進行看跌押注的官方批准的工具。與此同時，在股市整體上漲的背景下，中小盤股比大盤藍籌股漲得更快。5月份，滬深500指數期貨的日均交易量爲4.22億元人民幣，不算高，但在6月19日，即股指開始大幅下挫的那一天，突然飆升至9340億元人民幣。

“We really did see some abnormal phenomena, this is undeniable. It was concentrated dumping in both the cash and futures markets, smashing the market,” said Mr Liu. Yet this, too, could be explained as a legitimate market response to panic selling. With the price of small-caps tumbling, it is natural that futures market activity would increase as investors rushed to hedge their exposures — or profit from the slide. It remains to be seen whether authorities will punish investors for

“我們確實看到了一些不正常的現象，這是不可否認的。那就是在現貨和期貨市場同時集中拋售，壓垮市場，”劉煜輝表示。然而，這也可以被解釋爲恐慌性拋售引發的正當市場反應。隨着小盤股的價格暴跌，期貨市場活動增加是自然的，因爲投資者會競相對衝自己的敞口——或者獲利於大盤下挫。尚不清楚當局會否針對具體交易懲罰投資者。不管怎樣，劉煜輝預計賣空規則將被收緊。