摘要
中国股市自2016年1月1日起开始基于沪深300指数变化实施熔断制度,但该制度仅实施4天便因多次导致股市熔断而被叫停。基于这一准自然实验,文章采用清晰断点回归设计来评估熔断制度在中国股市的实践效果及其原因。文章先基于沪深300指数在熔断制度执行前后的日度数据和每分钟数据估计了两种波动率,然后进行断点回归估计。结果发现:熔断制度的实施显著加剧了两种度量下的股市波动,且该波动具有持续的溢出效应;熔断阈值附近存在过度交易行为,并由此对股市变化产生"磁吸效应"。对此,文章进一步基于我国熔断制度推出的宏观经济背景、股市制度特征、熔断制度的设计以及在熔断阈值附近的投资者心理和交易特征进行解释。
Chinese security regulators implemented the circuit breaker （CB） on the basis of CSI 300 Index on January 1, 2016. However, CB was repealed only in 4 days because it repeatedly triggered market halting. Taking this event as a quasi-experiment, this paper uses the sharp regression discontinuity design （RDD） to evaluate the efficacy of the CB on the preset purpose of reducing volatility in Chinese stock market. The volatility of SCI 300 Index is estimated firstly from both a daily dataset and a minute dataset covering days before and ＇after the implementation of the CB. The results from sharp RDD show that the implementation of CB leads to a significant and persistent increase of SCI 300 volatility under two measures, investors overact when the SCI 300 Index decreases close to thresholds of triggering market halting, producing a ＂magnet effect＂ on the change of the SCI 300 index. The reasons of the failure of CB are further explained with the economic background and the existing stock market institutions when implementing CB, the design of CB and the role of breaker thresholds on panic selling short and overreactions of investors.
作者
高彦彦
王逸飞
GAO Yan-yan WANG Yi-fei(School of Economics and Management, Southeast University , Nanjing 211189, China Business School, University of Sydney, Sydney NSW 2006, Australia)
出处
《华东经济管理》
CSSCI
北大核心
2017年第6期104-112,共9页
East China Economic Management
基金
国家社会科学基金重点项目(15AJL004)
中央高校基本业务科研费专项资金项目(2242016S20013)
关键词
熔断制度
波动率
断点回归设计
过度交易
磁吸效应
circuit breaker
volatility
regression discontinuity design
over-trading
magnet effect
