指数熔断机制加剧了市场波动吗?——基于中国A股市场的自然实验

Does Circuit Breaker Increase Market Volatility? Evidence from Natural Experiment on China's A-share Market

中国证券市场在2015—2016年出现剧烈的异常波动,为防范系统性风险,维护市场稳定,中国证监会于2016年1月1日在A股市场上引入指数熔断机制,却因频繁触发阈值最终于1月8日宣告暂停。笔者基于指数熔断机制在中国A股市场的自然实验,利用沪深300指数的1分钟序列数据,采用倾向评分法和双重差分法研究了该制度对市场波动性的影响及其产生的"磁吸效应"。实证结果表明,证券市场暴跌情形下指数熔断机制并未增加市场波动性,2016年1月4日和1月7日沪深300指数的价格、成交量和成交额波动率较样本期间内其他具有较大跌幅的交易日没有显著差别;然而指数熔断机制确实具有强烈的"磁吸效应",当沪深300指数的累计跌幅接近熔断阈值时,指数下跌速度加快,价格、成交量和成交额的波动率明显增加。笔者在此基础上指出了指数熔断机制的设计问题,并提出了相应的政策建议。

China＇s securities markets experienced abnormal surge during 2015-2016. Thus the circuit breaker mechanism for index was implemented by China Securities Regulatory Commission on January 1 st, 2016, aiming at smoothing out market fluctuations. However it was suspended on January 8th because the threshold was triggered frequently. Based on the natural experiment of circuit breaker on China＇s A-share mar- ket, this paper applies propensity score matching （PSM） and difference in differences （DID） methods to ana- lyze the influence on market volatility using 1 minute sequence data of CSI 300 index. Empirical results show that circuit breaker doesn＇t raise market volatility under the circumstances of the stock market crash. There was no significant difference between January 4th and 7th, 2016, and other trading days with market slump in our sample period in terms of volatility of price, volume and turnover of CSI 300 index. Nevertheless, circuit breaker has strong magnet effect. When the cumulative decline of CSI 300 index was close to the threshold of circuit breaker, the index fell faster and the volatility of price, volume and turnover increased surprisingly. Design prob- lems of circuit breaker and related policy recommendations are proposed on the basis of our findings.