26 巻 (2011) 1 号 p. 208-216
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. An artificial market that is an agent-based model of financial markets is useful to observe the market mechanism. That is, it is effective for analyzing causal relationship between the behaviors of market participants and the transition of market price. 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 have demonstrated that our artificial market had some properties of actual markets. We found that the market in which short-selling was allowed was more stable than the market with short-selling regulation, and a bubble emerged in the regulated market. 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.