熔断机制存在磁吸效应吗?——来自中国股票市场的经验证据  

Does There Exist Magnetic Effect in the Circuit Breaker Mechanism? Evidence from China's Stock Market

作　　者：方先明[1] 赵泽君 FANG Xian-ming;ZHAO Ze-jun

机构地区：[1]南京大学经济学院

出　　处：《中央财经大学学报》2018年第6期22-36,共15页Journal of Central University of Finance & Economics

基　　金：国家社会科学基金项目"影子银川交叉传染风险量度及控制机制研究"(项目编号:14BGL031);国家社会科学基金重大项目"互联网金融的发展;风险与监管研究"(项目编号:14ZDA043);南京大学中国特色社会主义经济建设协同创新中心项目

摘　　要：熔断机制设计的目的是抑制股票交易过程中价格的剧烈波动,然而其在中国股票市场的实践却与制度安排的初衷背道而驰。笔者从股票价格的波动性和股价与交易量的变化速度两个维度,基于沪深A股市场的日频数据和日内高频数据,采用事件研究和计量检验相结合的方法,研究中国股票交易市场中熔断机制的磁吸效应。结果发现,在熔断机制即将实施时,股票交易价格即呈现出下行的异常波动,且在熔断机制实施期间波动加剧;不同规模、不同行业上市公司的股票价格对熔断机制实施的反应并无明显差异;熔断机制实施期间股价和交易量在熔断设定价格附近以正的加速度向熔断触发点逼近。为此,笔者从培育成熟的投资者、加强机构投资者稳定市场的能力、审慎进行制度安排等方面,提出促进中国股票市场健康发展的对策与建议。In the mature capital market,the circuit breaker mechanism can inhibit the violent fluctuation of the stock price,while,in China＇s stock market,it violates the original intention of the institutional arrangement. Based on the daily and intraday high-frequency data of Shanghai and Shenzhen A-share markets,using event study and econometric test,from the perspectives of volatility of stock price and the speed of change of stock price and trading volume,we studies the magnetic effect of the circuit breaker mechanism in China＇s stock market. We find stock price will fluctuate downside abnormally facing the circuit breaker mechanism and fluctuate violently during the implementation of the mechanism; the stock price of listed companies in different scale and in different industries has no obvious difference in response to the implementation of the circuit breaker mechanism; stock price and trading volume accelerate the trigger of the fuse in the vicinity of the trigger point. At last,given that the circuit breaker mechanism enables investors to calm down,reduces herding effect and the market volatility and stabilizes the market,the countermeasures and suggestions are put forward to promote the healthy development of China＇s stock market,from the aspects of fostering mature investors,strengthening institutional investors＇ capability of stabilizing markets and arranging prudent system.

关 键 词：熔断机制 磁吸效应 事件研究法 

分 类 号：F832.5[经济管理—金融学]