融资融券制度、投资者情绪与股票市场系统性风险

Margin and Short-Selling System,Investor Sentiment and Systemic Risks of Stock Market

融资融券是否通过投资者情绪影响股票市场的系统性风险?文章从投资者情绪视角出发,利用融资融券标的五次大规模调整事件作为自然实验,采用双重差分模型(DID)探究了融资融券对股票系统性风险影响及机制。研究表明我国融资融券制度推出后,股票的系统性风险平均上升了6%,且融资制度和融券制度对系统性风险具有截然相反的影响。一方面,融资制度(杠杆机制)放大了投资者收益和风险,从而放大了投资者情绪,导致系统性风险上升;另一方面,融券制度(卖空机制)下,投资者乐观和悲观情绪都能得到充分表达,导致系统性风险下降。实证结果表明,我国的融资和融券交易发展不平衡,卖空机制的作用未得到充分发挥。该结论加深了对融资融券制度如何影响系统性风险的理解,同时也对如何解决融资融券的非对称式发展和维护我国资本市场的稳定提供了启示。

Does margin and short-selling trading affect the systemic risks of stock market through investor sentiment?From the perspective of investor sentiment,using five large-scale adjustment events of the margin trading system as natural experiments,we adopt the difference-in-differences model(DID)to explore the impact and mechanism of margin and short-selling trading system on the stock systemic risks.We find that after the introduction of margin and short-selling trading system,the systematic risks of the stocks have increased by 6%on average.Furthermore,the margin mechanism and short-selling mechanism have an opposite impact on systemic risks.The margin mechanism enlarges the investors'return and risk,thus enlarges the investors'sentiment,leading to the rise of systemic risks.On the contrary,both the investors'optimism and pessimism can be fully expressed under the short-selling mechanism,leading to the decline of systemic risk.The empirical results show that there is an unbalanced development between the margin trading and short-selling trading.The conclusions deepen the understanding of how the trading system affects systemic risks,and also provide inspiration for how to solve the asymmetric development of margin trading and short-selling trading to maintain the stability of China's capital market.