个股视角下“国家队”选股策略的股市维稳作用

Impact of National Team′s Stock Selection Strategy on Stock Market Stabilization from the Perspective of Individual Stocks

大量经济学和金融学的研究表明,金融危机情景下的政府救市政策能够产生预期的维稳效果,但已有研究更多关注政府救市政策对金融市场整体的波动性和个体的系统性风险的影响。2015年中国股市出现速度快、范围广的暴跌现象,中国证券金融股份有限公司和中央汇金投资有限责任公司等“国家队”成员有选择地入场持股救市,从个股收益和收益波动性角度看,其选股策略是否发挥了股市维稳作用值得深入探讨。以2015年股灾后的“国家队”救市行为为研究对象,以2015年沪深A股上市公司上半年和下半年两个期间的观测值为研究样本,在对“国家队”选股策略进行分析的基础上,从个股收益和收益波动性的角度,实证检验“国家队”选股策略的股市维稳作用,以及这一作用在不同产权性质的被投资主体和不同的救市主体之间是否存在差异。进一步探讨“国家队”持股主要从哪些路径影响个股收益和收益波动性,以及这些影响路径与内部治理机制的关系。研究结果表明,“国家队”持股显著减轻了股灾对个股收益率的负面影响,同时缓解了股灾导致的个股收益波动,而这一维稳效应在民营上市公司中更为显著,且通过中央汇金投资有限责任公司持股发挥的股市维稳效应更为明显。从超额收益及其波动性、风险调整收益、投资者异质信念及其波动性等角度分析,“国家队”股市维稳效应依然存在。进一步研究表明,“国家队”股市维稳效应在分析师跟踪度高、股价信息含量低、高管持股比例高、关联交易比例低的样本中更为显著,说明“国家队”可能通过信号效应和信息治理效应实现维稳作用,且这一作用与内部治理机制形成互补效应。研究结果从个股收益和收益波动性角度证明了“国家队”选股策略的股市维稳作用,丰富了“国家队”选股决策方面的研究,也丰富了政府救市经济后果方面的研究;还说明“国家队”救市行为对民营上市公司金融风险的化解作用更为明显,且选股决策独立性更强的救市主体更能发挥积极作用,为中国金融市场稳定发展提供了经验证据;救市效应与内部治理效应的互补关系为上市公司完善内部治理机制和“国家队”制定投资决策提供启示意义。

A large amount of literature on economics and finance has proven that government bailout policies under financial crisis can generate positive effect on stabilization,but most of the attentions have been paid to the effect of government bailout policies on the volatility of the whole financial market and the individual systemic risk.In 2015,the stock market in China ex-perienced a rapid and wide-ranging slump.The National Team,including the China Securities Finance Co.,Ltd.(Zhengjin)and the Central Huijin Investment Ltd.(Huijin)selectively entered and bailed out the stock market.From the perspective of indi-vidual stock returns and volatilities,it is debatable whether the National Team's stock selection strategy contributed to the sta-bilizationof the stockmarket.Based on the data of Shanghai and Shenzhen A-share listed firms in the first half and the second half of 2015,this study focuses on the National Team's bailout behavior after the stock market crash in 2015 and analyzes the National Team's stock selection strategy,and then empirically tests the role of the National Team's stock selection strategy on the stabilization of the stock market from the perspective of individual stock returns and volatilities,and whether there are differences in the stabiliza-tion effect between state-owned enterprises(SOEs)and non-state-owned enterprises(non-SOEs),between Zhengjin and Huijin.This study discusses the main paths through which the National Team's shareholding affects the returns and volatilities of indi-vidual stocks,as well as the connection between these paths and internal governance mechanisms.The results show that the National Team's shareholdings significantly mitigate the negative effect of stock market crash on individual stock returns,and decrease the volatility of individual stock returns exacerbated by stock market crash.The stabiliza-tion effect is more significant in private firms,and the stock market stabilization effect from Huijin's shareholdings is more significant.From the perspective of excess returns and volatilities,risk-adjusted returns,investors'heterogeneous beliefs and volatilities,the National Team's stock market stabilization effect still exists.Further research shows that the stabilization effect of the National Team is more significant in the samples with higher analyst coverage,lower information content of stock price,higher proportion of senior executives'shareholding and lower proportion of related party transactions.This suggests that the National Team may achieve positive stabilization effect through signaling effect and information governance effect,and these effects are complementary to internal governance mechanism.This study proves the role of the National Team's stock selection strategy on the stock market stabilization from the aspect of individual stock returns and volatility,enhances the research on the National Team's stock selection decision and the economic consequences of government bailout.Meanwhile,the results also show that the National Team's bailout behavior has a more significant effect on resolving the financial risks of private firms,and the bailout team with greater independence in stock selection can play a more positive role,which provides empirical evidence for the stable development of China's financial market.In addition,the complementary relationship between the National Team's stabilization effect and internal governance effect provides enlightenment for listed firms to improve internal governance mechanism and for the National Team's investmentdecisions.