平准基金干预与上市公司股票定价效率——“价值发现”与“价格扭曲”  

Stabilization Fund Intervention and Stock Pricing Efficiency of Listed Companies——"Value Discovery"and"Price Distortion"

作　　者：郑冠群[1] 牟浩天 ZHENG Guanqun;MOU Haotian

机构地区：[1]西安电子科技大学经济与管理学院

出　　处：《金融监管研究》2024年第6期93-114,共22页Financial Regulation Research

基　　金：教育部人文社科基金青年项目“我国证券市场系统性关联风险识别与干预——基于投资者复杂网络结构视角”(18YJC790233)的资助。

摘　　要：2015年股灾后,我国成立平准基金,其对资本市场的影响,引起了业界和学界的广泛关注。本文收集整理了我国A股市场2014—2021年平准基金的交易数据,并利用该数据实证检验了平准基金干预对上市公司股票定价效率的影响,揭示了其影响机制、渠道及异质性表征。研究发现:平准基金交易这一典型的政府直接干预行为对上市公司股票定价效率的影响呈现非线性特征,随着平准基金持股比例由低至高,股票定价效率先升后降。这种倒U型关系反映了平准基金影响上市公司股票价格两种相反的作用机制,即“价值发现”和“价格扭曲”。从作用渠道来看,随着平准基金持股比例由低至高,投资者对上市公司基本面信息的关注度先升后平,而投机性交易倾向在干预强度突破阈值后显著提升。平准基金对上市公司股票定价效率的影响在公司产权性质、市值规模、平准基金交易方向、持股周期等多个方面表现出异质性。本文从股票定价效率角度拓展了政府直接干预市场的相关文献,对于我国建立更规范、更高效的证券市场具有现实意义。The impact of the stabilization fund,established by the government after the stock market crash in 2015,on the capital market has received widespread attention from both the industry and academia.This paper collects and collates the trading data of the stabilization fund in the China A-share market from 2014 to 2021 and uses this data to empirically test the impact of stabilization fund intervention on the stock pricing efficiency of listed companies,revealing its impact mechanisms,channels,and heterogeneous characteristics.This paper finds that the impact of the typical government direct intervention behavior of stabilization fund trading on the stock pricing efficiency of listed companies shows nonlinear characteristics.As the shareholding ratio of the stabilization fund increases from low to high,the stock pricing efficiency first rises and then falls.This inverted U-shaped relationship reflects two opposing mechanisms by which the stabilization fund affects the stock prices of listed companies,namely"value discovery"and"price distortion".In terms of the channels of action,as the shareholding ratio of the stabilization fund increases from low to high,investors'attention to the fundamental information of listed companies first rises and then levels off,but the tendency for speculative trading significantly increases after the intervention intensity exceeds the threshold.In addition,the impact of the stabilization fund on the stock pricing efficiency of listed companies shows heterogeneity in aspects such as the nature of corporate property rights,market capitalization size,the trading direction of the stabilization fund,and the holding period.This paper expands the relevant literature on government direct market intervention from the perspective of stock pricing efficiency and has practical significance for China to establish a more standardized and efficient securities market.

关 键 词：平准基金 股票定价效率 价值发现 价格扭曲 

分 类 号：F830.9[经济管理—金融学]