流动性危机与中国股灾之谜

Liquidity Crisis and China's Stock Market Crash

本文通过理论模型和实证分析研究了2015年我国的股市危机,理论模型借鉴Hong等(2006)过度自信和卖空限制产生资产泡沫的设置,并根据我国市场特性从两方面进行了拓展:允许一定程度的卖空和引入去杠杆冲击。过度自信者在不严格卖空限制下也会挤出其他投资者,推高资产价格形成泡沫;面对去杠杆冲击,杠杆交易者被迫出售资产,根据被挤出的投资者的需求函数,资产价格会经历一个非连续下跌,才能让后者重回市场吸收抛售者减持的份额,价格未调整到位时会产生流动性危机,本文以此机制来解释A股泡沫化和股市危机期间的千股跌停现象。实证分析证实了本文的假设,卖空限制对资产泡沫的形成起核心作用;在去杠杆阶段,流动性危机引发价格断崖式下跌,实证与理论模拟的结论一致,截面收益率方差的90%能得到解释。

In this paper,we study the Chinese stock market crisis in 2015. The theoretical model is based on the framework developed by Hong et al.（ 2006） in his study of the formation of the asset bubble caused by short sale constraints and overconfidence of investors. We have two extensions in our model to embrace the specialty of the Chinese market： risky assets can be sold short to a certain degree,and,an exogenous deleveraging shock is introduced in the model. The theoretic analysis indicates that,first,if the short sales are not strictly constrained,the asset bubbles can still form when permissive investors are crowded out by the overconfident investors; second,leveraged investors are required to liquidate their holdings when facing a deleveraging shock,the price of the asset needs to drop discontinuously,in order for the permissive investors to come back to absorb the reduced demand,illiquidity crisis is thus followed until the price drops to a low level accepted by the permissive investors. We use this mechanism to explain the formation of the bubble and origin of the liquidity crisis in the Chinese stock market. Our results are supported by the empirical study,in which we show that,in the bubble formation phase,the short sale constraints play a central role. In the deleveraging phase,the actual data is qualitative similar with the numerical simulations of our theoretical model. Our model can explain 90% of the cross sectional variance of the asset returns in the deleveraging phase.