极端下跌事件的正反馈效应与监管限制溢出  

Positive Feedback and Regulatory Spillover Effect During Market Crash

作　　者：丁逸俊 冯芸[1] 

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：《中国管理科学》2017年第9期81-96,共16页Chinese Journal of Management Science

基　　金：国家自然科学基金资助项目(71271136)

摘　　要：本文探讨了在市场之间联系愈发紧密情况下,针对单一市场"围堵"式的临时监管限制措施可能引发的跨市场风险。以2015年股指急剧下跌后对股指期货交易加大管制为背景,本文发现,一系列限制措施出台后,股指期货市场出现整体流动性萎缩,现货市场则出现了较为显著的收益率与成交量的正反馈效应,造成极端下跌事件的自我实现。本文认为,对股指期货交易的过度限制,使得机构投资者在下跌行情中无法通过期货对冲风险,加剧了现货市场抛售压力,引发了现货市场极端下跌事件。因此,监管层在设计和运用监管限制时应当审慎、全面分析目前的市场关联结构变化,避免政策的失灵和不恰当政策带来的风险。In this essay,the cross-market risk events caused by temporary regulatory restrictions are discussed under the circumstances that markets are linked much more closely than ever before.Over the past three decades,financial market risk events appeared one after another.Especially when facing sharp market crashes,financial regulators tend to urgently introduce a series of stringent regulatory restrictions to stabilize the market.However,it has been found that these temporary control measures can stabilize part of the market in the short term but may have a spillover effect on the associated market and lead to greater turbulence due to the tightening of financial markets,and also damage the quality of financial markets as a result.During the mid-2015 market crash in China,the China Financial Futures Exchange adjusted three times during a short period(August 25,August 28 and September 2)the exchange margin,intraday open position and intraday close position fee,which aimed at controlling over-speculation trades.However,the trading restrictions on stock index futures were likely to further reduce the spot market liquidity,increase the spot market selling pressure,which may cause the formation of positive feedback effect,thereby increasing the futures and spot market abnormal fluctuations.Based on this view,the VAR model is used to study the positive feedback effect between the CSI 300 index yield(CSI 300 stock index futures yield)and the volume.In the year 2015,a total of 23 intraday extreme market crash events are selected as the research sample(including 16 events before stock index futures trading restrictions,and 7 events afterwards).Focusing on the strict trading limits implemented on the stock index futures market during 2015 market crash,it is found that liquidity shrank in the stock index futures,and a significant positive feedback between return and order flow lead to the self-actualization of extreme events.Institutional investors fail to hedge risk via stock index futures due to the strict trading limits,whic

关 键 词：监管限制 跨市场风险 正反馈 

分 类 号：F724.5[经济管理—产业经济]