证券投资者保护基金对券商风险承担的逆周期调节  

The Impact of the Securities Investor Protection Fund System on Risk-taking by Securities Firms

作　　者：周先平[1] 皮永娟 向古月 ZHOU Xianping;PI Yongjuan;XIANG Guyue(School of Finance,Zhongnan University of Economics and Law;School of Economics and Management,Jingchu University of Technology)

机构地区：[1]中南财经政法大学金融学院 [2]荆楚理工学院经济与管理学院

出　　处：《金融市场研究》2024年第8期36-47,共12页Financial Market Research

基　　金：国家社科基金重点项目“全球价值链动态优化与金融稳定研究”(20AJY025)资助。

摘　　要：《证券投资者保护基金管理办法》颁布于2005年,作为一种市场化、间接被动式的证券投资者保护制度,学界对该制度的实证研究较少。证券投资者保护基金缴纳比例及其调整是该制度的一个核心内容,本文基于2009—2022年证券公司数据,利用双重差分法评估证券投资者保护基金制度对券商风险承担的影响。研究发现:(1)降低证券投资者保护基金缴纳比例具有逆周期调节效果,在经济平稳运行期间,对券商风险承担并无显著影响,而在宏观经济高不确定性时期,会显著降低券商风险承担。(2)这种逆周期调节效果在规模较大券商、上市券商中表现得更显著。(3)降低证券投资者保护基金缴纳比例会通过降低券商杠杆水平、提高券商盈利能力和减小券商盈利波动等渠道影响券商风险承担。(4)降低缴纳比例还有助于缓解券商融资约束、增强其持续发展能力。本文的政策启示是,资本市场也要建立包括证券投资者保护基金缴纳比例等工具在内的综合、全面的逆周期调控体系。The Regulations for the Management of the Securities Investor Protection Fund were promulgated in 2005 to safeguard the interests of investors and prevent risk in the securities market.But to date,despite the passage of time,there is relatively little literature on this market-oriented,indirect and passive securities investor protection system.Based on the available data of securities companies from 2009 to 2022,this study used Difference-in-Differences(DID)methodology to examine the impact of this system on risk-taking by securities firms.The findings of the study are as follows.The reduction of the reserve ratio of the Securities Investor Protection Fund has a counter-cyclical effect.It has no significant impact on brokers'risk-taking during periods of stable economic conditions,but significantly reduces brokers'risk-taking during periods of high economic uncertainty.@The countercyclical effect is more significant for larger and listed securities firms.The countercyclical mechanisms include leverage reduction,profitability improvement,and reduction of profit fluctuations.@The study recommends a comprehensive countercyclical regulatory system for the capital market.

关 键 词：证券投资者保护基金 缴纳比例 风险承担 逆周期调节 

分 类 号：F832.51[经济管理—金融学]