股市流动性踩踏危机的形成机理与应对机制

The mechanism and solution for the liquidity stampede crisis in stock markets

中国股票市场2015年出现的股市异常波动,在金融活动中属于一类由严重流动性缺失而导致的恐慌性踩踏现象,探索其中的机理具有典型的学术和实践意义.本文基于"情景-应对"型风险管理思想、利用计算实验生成各种风险"情景",揭示了高杠杆融资在投资者非理性行为和中国市场微观机制作用下引致股市流动性踩踏危机的机理.计算实验的结果刻画了2015年中国股市流动性危机中连续单边暴跌、流动性缺失大面积传染和危机后持续震荡的三个典型特征.实验表明融资杠杆在投资者的技术分析策略和适应性转换动态资产配置作用下,对市场泡沫的形成与破灭起到推波助澜的作用,并引起个股板块联动和流动性缺失传染,最终导致连锁强行平仓,从而引发了流动性踩踏危机;连续竞价的订单簿撮合机制和涨跌幅限制在股灾中加剧了流动性踩踏危机.据此,本文提出了保持低融资杠杆、引入临时做市商提供紧急流动性、通过大宗交易系统收购强行平仓头寸等应对措施来缓释流动性踩踏危机的新机制.

This paper proposes a scenario-based analysis and solutions for the liquidity stampede crisis in Chinese stock markets in 2015. The agent-based model simulates the realistic features of this liquidity stampede crisis, including monotonous downfall of prices, illiquidity contagion, liquidity dry-up of the whole market, and a slow recovery due to the permanent price impact of the liquidity crisis. More importantly, simulations show that a few margin purchases with high-leverages can cause the liquidity stampede crisis. When irrational investors employ chartist strategies to forecast prices and use the adaptive switching model for portfolio manage- ment, the high leverage will stimulate bubbles and crashes and generate illiquidity contagion, which leads to chain reactions of mandatory liquidation. Moreover, the transaction mechanism with continuous double auction and price limit aggravates the liquidity stampede crisis. Based on a scenario-based analysis, three effective so- lutions, namely, maintaining a low leverage, introducing temporary market makers to support emergency liq- uidity, and using the block trading system to buy the mandatory liquidation positions, are proposed.