波动反馈、股权质押与股价周期波动加速效应  

Fluctuation Feedback,Share Pledge and Acceleration Effect of Stock Price Cyclic Volatility

作　　者：陆珩瑱[1] 朱晓宇 Lu Hengzhen;Zhu Xiaoyu(College of Economics and Management,Nanjing University of Aeronautics and Astronautic,Nanjing 211106)

机构地区：[1]南京航空航天大学经济与管理学院,南京211106

出　　处：《管理评论》2022年第1期59-68,共10页Management Review

基　　金：国家自然科学基金项目(72071109);南京航空航天大学基本科研业务费项目(NR2011005)。

摘　　要：针对股权质押行为对股价周期波动造成的影响,本文结合市场特性,选择波动反馈视角,将股权质押行为作为影响因子,构建EGARCH-M模型。研究发现,股权质押的过度增加对市场起到波动放大器的作用,在股指连续下跌阶段具有负面影响。实证结果显示,股权质押行为能够对股价周期波动构成加速效应,不仅如此,在5%水平上股权质押行为对股价周期波动所构成的加速效应呈现非对称性特征。熊市阶段股权质押行为的增加预示着市场发生平仓可能性的提升,可以将其视为市场利空预警信号。股指在股权质押行为的影响下体现出的负面波动程度远远强烈于利好正面程度,说明该行为能够加深股价周期性下跌,阻碍股价反弹。To explore the impact of stock pledge behavior on the periodic fluctuation of stock price,this paper builds an EGARCH-M model by taking market-specific characteristics into consideration and using stock pledge behavior as the influencing factor from the fluctuation feedback perspective.The research shows that excessive increase of stock pledge plays as fluctuation amplifier in the market,and has certain negative impact on the decline of stock index.The empirical results show that stock pledge behavior can accelerate the periodic fluctuation of stock price.Moreover,at the significant level of 5%,the acceleration effect of stock pledge behavior on the periodic fluctuation of stock price is asymmetric.In a bear market,the increase of stock pledge indicates higher possibility of closing positions in the market,which can be regarded as a warning signal of bad market.Under the influence of stock pledge,the negative volatility of stock index is far stronger than the positive volatility,which indicates that the behavior can deepen the cyclical decline of stock price and hinder the rebound of stock price.

关 键 词：股权质押行为 股价周期波动 波动反馈 

分 类 号：F832.51[经济管理—金融学]