杠杆融资交易与股市崩盘风险——来自融资融券交易的证据  

The Effect of Leverage Trading on Stock Price Crashes: Evidence from Margin-Trading and Short-Selling in China

作　　者：吕大永[1] 吴文锋[1] Lv Dayong;WU Wenfeng(Antai College of Economics and Management,Shanghai Jiao Tong University,Shanghai 200030,China)

机构地区：[1]上海交通大学安泰经济与管理学院,上海200030

出　　处：《系统管理学报》2019年第1期116-122,133,共8页Journal of Systems & Management

基　　金：国家自然科学基金资助项目(71772121;71850010);国家自然科学基金国际合作与交流重大项目(71320107002)

摘　　要：以我国融资融券交易制度的推出为背景,研究杠杆融资交易及其波动对标的股价崩盘的影响。研究表明,杠杆融资交易显著加剧了标的股价的崩盘风险,更重要的是,杠杆融资交易的波动进一步加剧了标的股价的崩盘风险。政策启示在于,针对融资交易的监管政策不仅要考虑融资交易额的变化,还应该关注融资交易波动可能带来的不利影响。Based on the initiation of margin-trading and short-selling in China,this paper focuses on the leveraged margin trading and its impact on the price crash of the underlying stock.It is found out that leveraged margin trading aggravates price crash risk.Moreover,the volatility of margin trading strengthens this effect.The policy implication is that the regulation on margin trading should take the volatility of margin-trading into consideration and avoid excessive price crash resulting from the volatility of leverage trading.

关 键 词：杠杆交易 市场风险 融资融券 

分 类 号：F830.2[经济管理—金融学] F830.9