融资融券加大了极端行情的股价波动性吗——基于五类行情下的深市股票数据

Does Securities Margin Trading Aggravate Stock Price Volatility in Extreme Market Conditions: Based on the Stock Data of Shenzhen Stock Market in Five Market Conditions

以深市股票2013年1月至2016年5月的数据为基础,利用隐马尔科夫模型将市场行情分为慢涨、慢跌、快涨、快跌和宽幅震荡五类进行分组回归,分析融资融券在不同市场行情中对股价波动性影响的差异。研究表明,在市场暴跌时融资融券标的股票比非标的股票的价格波动性更大,而在其他四类市场行情中,融资融券标的股票价格波动性更小,且在暴涨行情中,融资融券对股价波动性的抑制作用最明显,这说明融资融券对股价波动性的影响存在明显的市场行情差异。进一步研究发现,融资融券规模的极度失衡导致融券应有的功能被大量的融资交易掩盖。

Based on the stock data of Shenzhen stock market from January 2013 to May2016,this paper uses the Hidden Markov Model to conduct grouping regression in five market conditions（slow rise,slow fall,rapid rise,rapid fall,and sharp fluctuation） and analyzes the differences in the influence of securities margin trading on stock price volatility in different market conditions. According to the research results： 1） in a slump condition,the underlying stocks under securities margin trading have a more significant price volatility than non-underlying stocks; 2） in the four other conditions,the underlying stocks under securities margin trading have a less significant price volatility than non-underlying stocks; and 3） in a sharp rise condition,securities margin trading produces an inhibitory effect on stock price volatility most significantly. Therefore,the influence of securities margin trading on stock price volatility obviously varies among the five market conditions. Further,the due functions of securities margin trading are overshadowed by large quantities of financing transactions when there is an extreme imbalance in the size of securities margin trading. Furthermore,government bailout alleviates the price volatility of specific stocks to some extent in a slump condition.