熔断机制与磁吸效应:来自中国证券市场的实证证据

Circuit Breakers and Magnet Effect: Empirical Evidence from Chinese Security Market

本文检验了中国证券市场2016年年初实行的熔断制度对股票价格的影响。实证证据显示,熔断机制引发了磁吸效应,熔断组的股票相比于控制组,在指数临近熔断阈值时表现出更为显著的下跌倾向。同时,本文发现磁吸效应对前期股价表现较好、流动性较差以及融资买入比例较高的股票影响程度较大。而在熔断后,前期股价表现较好、流动性较好的股票的价格恢复更多,融资买入比例的高低对股价恢复程度没有显著影响。本文的研究从实证角度证实了熔断机制中磁吸效应的存在及影响因素,同时表明磁吸效应是熔断机制未能实现稳定市场功能的重要原因。

This paper examines the impact of circuit breakers on the stock price using the empirical evidence from Chinese security market in 2016.The empirical evidence indicates that circuit breakers trigger the magnet effect and stocks on trading days with circuit breakers show a significant downward tendency when index is near the thresholds of circuit breakers,compared to stocks on the control group.In addition,the magnet effect is more significant for stocks with better past returns,lower liquidity and higher trading leverage.Moreover,stocks with better past returns and higher liquidity obtain higher returns on the next trading day,while trading leverage has little impact.The results not only contribute to the previous literature by demonstrating the existence of magnetic effects and investigating its influencing factors,but also illustrate that the magnet effect is one of the most important reasons why the circuit breakers mechanism fails to realize the function of stabilizing the price.