摘要
如何抑制证券市场过度反应,促进市场平稳健康发展,已成为各国监管机构防范金融系统性风险的关键问题。而熔断机制作为股票市场的价格稳定制度之一,已有研究对其利弊效应却一直颇有争议。中国证监会于2016年1月1日起在A股市场实行指数熔断机制,但该制度仅实施4天便因频繁触发阈值而被叫停。因此,科学合理地评估熔断机制的政策效应及其失灵的原因,具有重要的理论价值和现实意义。本文选取2015年12月4日至2016年2月4日的中国股市交易数据,使用市盈率、流通市值加权换手率、融资买入额占比和上涨下跌家数比4个指标,运用主成分分析法(PCA)构造日频投资者情绪综合指数,并运用结构向量自回归模型(SVAR)探究熔断机制实施前后投资者情绪与市场波动之间的关系。实证结果表明:第一,熔断机制实施后,投资者情绪明显悲观且波动加剧,市场出现异常波动,投资者情绪变动是市场剧烈波动的重要因素,这说明熔断机制可以作用于投资者情绪,进而对市场波动性产生影响;第二,股指期货交易、沪港通资金净流入和融券交易总体能够缓解股票市场的剧烈波动。研究结论不仅对熔断机制的作用提供理论上的补充,还对完善中国股票市场交易制度、改进投资者结构和因地制宜制定政策具有重要借鉴意义。
How to restrain the excessive volatility and promote the steady development of securities market to prevent systemic financial risks has been a hot issue for regulators all over the world.The Circuit Breaker,as one of the market-stabilized mechanism,has been controversial about its pros and cons.It was implemented by China Securities Regulatory Commission(CSRC)on January 1st,2016,but was repealed only in 4 days for frequent triggers.It is of theoretical and practical value to evaluate the policy effect and the cause of failure scientifically.This paper uses the data sample from December 4,2015 to February 4,2016 in Chinse A-share market.we build the Investor Sentiment Composite Index by principal component analysis(PCA)based on 4 indicators of price-earnings ratio,turnover,the proportion of financing purchases and the ratio of rising and falling households.Then we construct a Structural Vector Autoregression Model(SVAR)to demonstrate the relationship between investor sentiment and market volatility.Empirical results show that investor sentiment becomes pessimistic and experiences more violent swings due to the implementation of the policy.The change of investor sentiment is an important cause of the violent market fluctuation.Besides,the trading of Share Price Index Futures,Securities lending transactions and Shanghai-Hong Kong Stock Connect program can generally alleviate the violent fluctuations.The results contribute not only enrich current literature on mechanism of Circuit Breaker,but also have important implications to perfect Chinese stock market trading system,improve investor structure and formulating prudent policies.
作者
屠新曙
于培云
TU Xinshu;YU Peiyun
出处
《深圳社会科学》
2021年第4期38-54,共17页
Social Sciences in Shenzhen
