融资交易、杠杆牛市与股灾危机

Margin Trading,Leveraged Bull Market and Stock Market Crash

2014年11月,以融资交易为代表的杠杆资金迅速进入股市,股价随之快速上涨,直至2015年6月,股价急速下跌,杠杆资金主动或被动清仓,股灾发生。为科学地回答融资交易与本轮杠杆牛市及股灾危机的关系,本文构建了VECM-MGARCH-in-Mean-BEKK模型,对融资交易与股价之间的互动关系进行全面考察。研究结果发现:融资交易余额和股价指数存在协整关系,虽然股价指数为弱外生变量,股指的变化在长期领先于融资余额的变化,并且仅存在股价指数对融资余额的单向波动溢出,但是在均值层面,两者具有显著的短期双向引导关系,呈现出正反馈效应,融资交易发挥着"助涨助跌"的作用,加剧了股市波动。此外,融资余额和股价指数的波动对其增长率的交叉影响是不对称的,股价指数的波动抑制了融资余额的增长,具有明显的风险约束作用,而融资余额波动对股价指数的上涨却有着显著的推动作用。本文的实证结果对评估我国当前融资融券制度的合理性以及明确我国未来资本市场改革方向与发展路径具有重要意义。

Since November 2014,the stock price began to rise quickly as the scale of margin trading and other leverage trading soared. Until June 2015 ,when stock prices fell sharply,leveraged funds faced active or passive clearance and then stock market crash crisis happened. To give a scientific answer of the relationship between margin trading, leveraged bull markets and stock market crash crisis, this paper constructs the VECM-MGARCH-in-Mean-BEKK model to study the interactive relationship between margin trading and stock price comprehensively. It finds that co-integration exists between margin trading and stock price index. Stock price index is a weakly exogenous variable which means that stock price index leads margin trading in the long run,and there only exists unidirectional volatility spillover effect from stock price index to margin trading,but in mean level,margin trading and stock price index have a short-run bidirectional causality relationship and exhibit positive feedback effect. This means margin trading enhances investor overreaction and intensifies stock market volatility. It also finds that the cross-impact of volatility on the growth of margin trading and stock price index is asymmetric：stock price index volatility constraints margin trading growth and has obvious risk binding effect, while margin trading volatility results in an increase in stock price index. The empirical results have an important meaning for the assessment of rationality of the current margin trading system and for the decision of future reform direction and development path of China＇ s caoital market.