证券市场杠杆交易的风险累积效应研究  

Research on Risk Accumulation Effect of Leveraged Trading in Securities Market

作　　者：孙春花 庞欢 李腊生[2] SUN Chun-hua;PANG Huan;LI La-sheng(College of Statistics and Mathematics,Inner Mongolia University of Finance and Economics,Hohhot,Inner Mongolia 010070;College of Statistics,Tianjin University of Finance and Economics,Tianjin 300222)

机构地区：[1]内蒙古财经大学统计与数学学院,内蒙古呼和浩特010070 [2]天津财经大学统计学院,天津300222

出　　处：《财经理论研究》2021年第6期40-51,共12页Journal of Finance and Economics Theory

基　　金：国家社科基金西部项目(20XMZ090);国家自然基金项目(71763020,71761029);全国统计科学研究项目(2015LY27);内蒙古自然科学基金项目(2015MS0703)资助。

摘　　要：本文从投资者私人信息的价值实现过程入手,解释个体投资者过度自信与杠杆交易行为的选择,探讨从众行为下股票收益率概率分布尾部特征与净杠杆率的相互关系,刻画比价效应的关联性所致个体行为的传染效应,推演单只股、市场组合单位风险值与杠杆率间的数量关系,揭示非系统性风险的演化及系统性风险的累积与集聚机理及过程。实证研究发现:我国证券市场杠杆交易存在一种自我强化过程,且赚钱效应是这一过程的促发条件;一旦这一过程被促发,关联性比价效应将导致这一过程的迅速扩散,由此非系统性风险演化为系统性风险;样本期单位风险值与净杠杆率存在显著正向线性关系,与杠杆率存在正向双曲线关系;融资融券规模小及投资者在证券市场的非对称选择行为导致的融资融券失衡都可能是其机制稳定市场效应不明显的根本原因。Starting with the value realization process of investors’private information,the choice of individual investors’overconfidence and leveraged trading behavior is explained.The relationship between the tail feature of stock return probability distribution and the net leverage ratio under herd behavior are discussed,the contagion effect of individual behavior caused by the correlation of the price comparison effect is depicted,the quantitative relationship between unit value-at-risk(VaR)and leverage ratio of the single stock and the market portfolio is deduced,and the evolution of non-systematic risks as well as the mechanism and process of systematic risk agglomeration is revealed.The empirical study shows that there is a self-reinforcing process in leveraged trading in China’s securities market,and the profit-making effect is the triggering condition of this process.Once this process is triggered,the correlation price comparison effect will lead to the rapid dissemination of this process,and thus the non-systematic risk will evolve into the systematic one.There is a significant positive linear relationship between unit VaR and net leverage ratio in the sample period,and a positive hyperbolic relationship between the two.The small scale of securities margin trading and the unbalanced securities margin trading caused by investors’asymmetric choices in the securities market may be the fundamental reasons why the market effect of its mechanism stability is insignificant.

关 键 词：比价效应 净杠杆率 概率分布尾部特征 非线性风险累积 

分 类 号：F832.5[经济管理—金融学]