我国股票市场熔断机制的磁力效应:基于自然实验的证据  

Magnet Effects of Circuit Breaker in Chinese Stock Markets:Evidence of Natural Experiments

作　　者：杨晓兰[1] 金雪军[2] YANG Xiaolan JIN Xuejun(School of Business and Management, Shanghai International Studies Universit College of Economics, Zhejiang Universit)

机构地区：[1]上海外国语大学国际工商管理学院,上海200083 [2]浙江大学经济学院,浙江杭州310027

出　　处：《金融研究》2017年第9期161-177,共17页Journal of Financial Research

基　　金：国家自科基金青年项目"基于文本挖掘的网络信息与股票市场关联机制研究"(71303210);国家自科基金"基于投资者关注度与社交学习解释股市过度波动"(G030202)的资助

摘　　要：本文利用自然实验的思路,以2016年1月4日和7日为熔断组,以2015年沪深300指数跌幅超过7%的3个交易日为控制组,检验熔断机制对股票市场产生的效应。结果显示,在指数下跌至熔断临界值之前,熔断机制会加剧卖单的大量涌现,导致市场订单流不平衡性提高,存在显著的磁力效应。在指数下跌5%之前,熔断机制对已经跌停的股票并不产生影响;在指数下跌5%-7%之间,熔断机制和涨跌停板制度存在叠加效应,订单流不平衡性进一步恶化。在股指下跌的过程中,熔断机制的磁力效应存在从沪深300成分股向非成分股的溢出。此外,股指期货交易、融资融券、沪港通净流入都会对熔断机制的磁力效应产生影响。In this paper, we use the idea of natural experiment toexamine the effect of circuit breaker on the stock market. The two trading days （January 4th and 7th, 2016 ） are included in the Circuit Breaker Treatment, and three trading days when the HS300 stock index decreased more than 7% in 2015 are included in the Control Treatment. Based on the intraday stock trading data, the empirical results show that the circuit breakers when implemented significantly increased order imbalance and market participants displayed behavior consistent with the magnet effect. Especially, after the HS300 index fell by 5%, the circuit breakers played a role on increasing the order imbalance on stocks no matter they hit the price limit or not. The effect of circuit breaker was first observed in H300 index stocks and then in the non-HS300 stocks. The magnet effect of circuit breaker is sensitive to the trading volume of Share Price Index Futures, margin trading and trading from the channel of Shanghai-Hong Kong Stock Connect program. Our results have implications for improving the mechanism and regulation aimed at maintaining the stock markets during turbulent periods.

关 键 词：熔断机制 股票市场 磁力效应 涨跌停制度 

分 类 号：F832.51[经济管理—金融学]