“国家队”救市、股价波动与异质性风险

The “national team” bailout,stock price volatility and idiosyncratic risk

2015年~2016年股灾以来,“国家队”救市是否起到了稳定市场的作用,受到了业界和学界的广泛关注.本研究利用2015年第三季度至2016年第四季度A股上市公司机构持股数据,探讨“国家队”救市对股价波动的影响.研究结果表明:“国家队”持股有效降低了股票价格的波动,并且这一作用显著区别于其他机构投资者;“国家队”持股稳定股票价格主要体现在对异质性波动的降低上,对系统性波动则没有显著影响.进一步研究发现,“国家队”持股通过改善信息环境、降低噪声交易、稳定投资者情绪以及减少投资者异质性信念来降低异质性波动.本研究拓展了政府干预市场和机构投资者相关的发现,对危机期间资本市场监管和系统性风险防范化解相关政策的制定具有启示意义.

During the 2015 ~ 2016 A-stock market crash,whether the"national team"has achieved the objective of stabilizing the market has attracted extensive attention from the industry and academic circles. Based on the Chinese stock market data from the third quarter of 2015 to the fourth quarter of 2016,this paper studies the influence of the"national team"shareholding on stock price volatility. Our results show that: the"national team"plays an effective role of reducing stock price volatility,which is significantly different from the role of other institutional investors; the "national team"stabilizes stock prices by reducing idiosyncratic volatility of stocks,and has no significant impact on systematic volatility; the "national team"reduces idiosyncratic volatility by improving the information environment,reducing noise trading,stabilizing investor sentiment,and reducing investors’ heterogeneous beliefs. Our study enriches the literature on government intervention and institutional investors in the stock market,and also provides insight on policy making to improve the regulation of the capital market and prevent and defuse systematic risk in crisis period.