政策干预与市场风险——基于DID模型的平准基金对股票波动率实证检验  

Policy Intervention and Market Risk: Exploring the Impact ofStabilization Fund on Stock Volatility Based on DID model

作　　者：朱旻辰 吴文锋[1] 张广财 ZHU Minchen;WU Wenfeng;ZHANG Guangcai(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：《上海管理科学》2023年第5期90-98,共9页Shanghai Management Science

基　　金：国家自然科学基金项目(72103139,71772121,71790592)。

摘　　要：政府资金入市是提振股市交易者信心,获得市场流动性和降低市场风险的重要手段。基于中国A股上市公司数据,使用双重差分模型(DID)实证检验了平准基金对中国股票市场风险的积极作用。实证结果表明,平准基金具有显著的维稳效应,引入平准基金使股票波动率降低13.2%。机制研究发现,平准基金主要通过两个渠道来影响市场指数的低波动率:一是通过自身持有股票的低波动率平抑市场整体波动;二是利用其持有股票组合的反向操作对冲其他股票的波动影响。特别是,当非平准基金组合大跌时,平准基金的对冲倾向更加明显。对此,研究认为政府应加快资本市场制度改革,完善资本市场平抑机制,在“市场失灵”引发异常波动时,适时引入战略平准基金增强市场投资信心,维护资本市场繁荣稳定。Government bailout is an important means to boost the confidence of stock market traders,obtain market liquidity and reduce market risks.Based on the data of China′s A-share listed companies,this paper empirically tested the positive effect of stabilization funds on the risk of China′s stock market by using the DID model.The empirical results show that the stabilization fund has a significant stabilization effect,and the introduction of stabilization fund reduces the stock volatility by 13.2%.Mechanism research shows that stabilization funds mainly affect the low volatility of market index through two channels:one is to calm the overall market volatility through the low volatility of their own stocks;The other is to use the inverse operation of its portfolio of stocks to hedge the volatility of other stocks.In particular,when the non-stabilization fund portfolio fell sharply,the stabilization fund hedge tendency is more obvious.In view of this,this paper argues that the government should accelerate the reform of capital market system,improve the market stabilization mechanism,and timely introduce strategic stabilization fund to enhance market investment confidence and maintain the prosperity and stability of the capital market when“market failure”causes abnormal fluctuations.

关 键 词：平准基金 中国A股 异常波动 

分 类 号：D83[政治法律—政治学] D90[政治法律—外交学]