摘要
本文基于独特的证券公司信用账户数据研究了信用账户杠杆对投资者行为的影响,并以此为基础分析了融资机制对股市稳定的影响。研究发现,随着信用账户杠杆的升高,融资交易者的行为更容易受到股票近期表现的影响:近期股价上涨后增加融资买入,近期股价下跌后增加平仓卖出。进一步研究发现:一方面,高杠杆下追涨买入的股票在短期内的超额回报显著为负;另一方面,仅有微弱的证据表明高杠杆下的杀跌卖出规避了损失。这些发现说明投资者在高杠杆下的交易存在非理性行为。最后,本文发现融资机制对股市稳定的影响会随市场杠杆变化:在市场杠杆较低时,融资交易起到了稳定市场的作用;在市场杠杆较高时,融资交易显著增大了股价波动率和股价暴跌风险。
High leverage in financial markets is often the main factor contributing to financial crises.Typical examples of stock market crashes due to leveraged trading include the collapse of the Chinese stock market in 2015 and that of the U.S.stock market in 1929.Researchers often use the difference-in-differences method to study the effect of margin-trading mechanisms on stock pricing in China,in terms of how the return volatility,price crash risk and other pricing efficiency indicators of the underlying stocks change relative to those of a control group after a margin-trading mechanism is imposed,or how the above indicators change as the volume of margin trading increases.However,the conclusions of these studies are inconsistent.Many studies report that margin-trading mechanisms can improve information transparency and information efficiency,thereby promoting pricing efficiency.Few studies examine the negative effects of margin-trading mechanisms on market stability.This may be due to the behavior patterns of margin traders:in the Chinese stock market,most margin traders are individual investors,who often exhibit irrational behavioral deviations.When margin account leverage is high,a trader has a higher risk background;if investors investment ability cannot sufficiently cope with this change in risk background,they may exhibit more irrational behavior.Further,in certain situations,the formation in the market of a“herd”of traders exhibiting similar irrational trading behavior can negatively affect market-pricing efficiency.Therefore,understanding the behavioral characteristics of margin traders offers critical insights into the role of the margin trading mechanism.There is little research in this area.We use a unique secure company-margin account dataset that comprises approximately 10,000 marginal investors daily positions and trading activities from February 2014 to January 2017.We calculate the leverage ratio of each account at a daily level,and study its effect on the investor s positive feedback trading,a phen
作者
朱光伟
蒋军
王擎
ZHU Guangwei;JIANG Jun;WANG Qing(Institute of Chinese Financial Studies,Southwestern University of Finance and Economics)
出处
《经济研究》
CSSCI
北大核心
2020年第2期84-100,共17页
Economic Research Journal
基金
阐释党的十九大精神国家社科基金专项(18VSJ073)
国家自然科学基金专项项目(71950010)
中央高校基本科研业务费专项资金项目(JBK1805003、JBK1901058)的阶段性成果
关键词
信用账户杠杆
正反馈交易
股市稳定
Margin Account Leverage
Positive Feedback Trading
Stock Market Stability
