摘要
2015—2016年中国A股市场发生了罕见的股灾,与之前股市的多次大跌不同,此次股灾具有下跌速度快、下跌幅度大和波及范围广等特点,先后共有16个交易日出现千股跌停,表现出极强的尾部系统风险。本文利用2015年第三季度至2016年第四季度A股市场数据,研究"国家队"持股的市场效应。研究发现:(1)"国家队"持股有效降低了股票价格的尾部系统风险,有利于稳定危机时期的股票市场;(2)"国家队"持股对左尾和右尾系统风险的影响存在非对称性,稳定市场的作用更多表现在对左尾系统风险的影响上,在市场剧烈波动时,显著降低股价随大盘暴跌的可能性;(3)危机时期"国家队"救市对尾部系统风险的影响主要通过为市场提供流动性和提振市场信心两个渠道;(4)"国家队"持股也在一定程度上损害了市场质量,导致股价同步性和交易成本增加。本文采用匹配—双重差分、工具变量等方法控制内生性等问题,并得到了一致稳健的结果。本文的研究丰富了金融市场危机、政府干预和市场稳定机制的相关文献,为危机时期维护市场稳定相关政策的制定以及市场恢复稳定后"国家队"的逐步退出提供了经验证据。
The debate on whether governments should intervene in the market during financial crises has gone on a long time. Some studies argue that government intervention restores faith in the market and has limited negative effects. Many other studies find that government intervention fails to achieve the original objective of improving economic conditions and can hurt market quality. Because of moral hazard and concerns of excessive intervention by governments in the private sector, we rarely see direct purchases of individual stocks by governments. Interestingly, one of the key measures used by China to battle the 2015-2016 stock market crash was the direct purchase of company stocks. Between June of 2015 and January of 2016, the Chinese A-share market experienced three major crashes. The total loss in market value was 36 trillion RMB, which accounted for 52% of China's gross national product in 2015.The stock price crashes triggered a market panic that destroyed investor confidence.To prevent further declines in stock prices and the outbreak of more serious systemic financial risk, the Chinese government implemented a series of rescue policies. In addition to lowering interest rates, suspending IPOs, banning short selling and restricting share sales by large shareholders, the Chinese government formed a national team to directly buy and sell individual company stocks. State-linked funds such as the China Securities Finance Corporation Limited (CSF)and the China Central Huijin Investment Limited (CCH)directly bought stocks from more than 1,000 firms starting on July 6, 2015.In terms of total market value, the national team holdings at one point exceeded 4,000 billion RMB, about 8.4% of the total market capitalization of all listed companies. We investigate the economic consequences of the Chinese government's intervention. Using Chinese stock market data from the third quarter of 2015 to the fourth quarter of 2016, we find that the direct purchase of stocks by the national team stabilized the Chinese stock market during the crash period. The national team s shareholdings significantly lowered firm-specific systemic tail risk as measured by the extreme dependence between individual stock returns and market returns in the left- or right-tail of the joint distribution. The national team's impact on stock price systemic tail risk was asymmetric;the government shareholdings had a stronger effect on systemic left-tail risk than on systemic right-tail risk. Our findings are robust to a series of alternative empirical designs such as propensity score matching and two-stage least-square regressions, which address possible endogeneity concerns. Further tests show that the national team's purchases functioned as a mechanism for providing extra liquidity and restoring investors' confidence, which led to the decrease in the systemic tail risk. We also find that the increase in the national team's shareholdings was associated with decreased market quality as measured by decreased pricing efficiency and increased transaction costs. Our study enriches the literature on financial crises, government interventions and the mechanism of market stabilization. We provide empirical evidence for policies to enhance the long-term stability of the financial system. Our findings have important theoretical and practical implications. They support the recent theoretical exploration by Brunnermeier et al.(2017) of the influence of direct government intervention via trading and provide empirical evidence for the pros and cons of government intervention in emerging markets. By affirming the positive role of the national teamin stabilizing the stock market at the cost of exacerbated price efficiency and transaction costs, our findings provide regulators with a more complete picture of the effect of direct government interventions.
作者
李志生
金凌
张知宸
LI Zhisheng;JIN Ling;ZHANG Zhichen(Zhongnan University of Economics and Law)
出处
《经济研究》
CSSCI
北大核心
2019年第4期67-83,共17页
Economic Research Journal
基金
国家自然科学基金项目(71771217)
中南财经政法大学金融学院学术研究团队建设项目的资助
关键词
股灾
"国家队"持股
尾部系统风险
Stock Market Crash
Government Shareholdings
Systematic Tail Risk
