涨跌停、融资融券与股市波动率——基于A股市场的比较研究 阅读全文
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Title | Price Limit, Margin Trading and Stock Market Volatility——Evidence from A-Share Stock Market
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作者 | 王朝阳 王振霞 |
Author | Wang Chaoyang and Wang Zhenxia |
作者单位 | 中国社会科学院财经战略研究院 |
Organization | National Academy of Economic Strategy, CASS |
作者Email | wangcy@aliyun.com;kelly_wzx@126.com |
中文关键词 | 涨跌停 融资融券 熔断机制 波动率 |
Key Words | Price Limit; Margin Trading; Circuit Breaker; Volatility |
内容提要 | 涨跌停制度实施近20年来,已经成为中国A股市场的一种习惯和依赖。本文以上证综指不同时期的波动率为基础,通过综合比较A股市场、中国台湾市场与美国、中国香港市场的波动率,从宏观层面证明实施涨跌停制度的市场并没有表现出更加稳定的特征;基于AH股对比的微观分析表明,涨跌停制度在实施初期发挥了稳定市场的作用,但此后的政策效果逐渐衰退;在引入融资融券制度后,由于涨跌停制度的局限性,A股市场的波动率进一步加大。熔断机制与涨跌停制度虽然在目标上有共同点,但两项制度的作用机制存在差异,如果同时实施则会产生冲突。本文认为,现行涨跌停制度与其他交易制度之间的不兼容,是贯穿近年来市场剧烈波动的一条重要线索。促进中国股市健康发展,需要进一步完善交易制度,让市场发挥决定性作用;注重监管协调,更好地发挥政府作用;严厉打击违法交易行为,建立公开、公正、公平的市场环境。 |
Abstract | In the last more than 20 years, price limit mechanism is known as an absolutely necessary regulation in Chinese stock market. This paper use E-GARCH model to compares the Chinese stock market volatility with other markets those without price limit. Our empirical evidence suggests price limit may cause higher volatility. Then, based on the difference in differences (DID) approach, we compare the volatility between A-share and H-share market, we find that there is no evidence shows price limit can moderate volatility in long term. Further, after introduce of margin trading mechanism, the price limit is more ineffective then before. Moreover, price limit is not compatible with circuit breaker mechanism. In the future, government should deepen reform the regulation of the financial sector, improve trading mechanism, crack down on illegal trade and build a fair, transparent and predictable stock market. |
文章编号 | WP1137 |
登载时间 | 2016-12-06 |
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