融资融券扩容的风险溢出效应与治理研究

The Risk Spillover Effects and Governance Research in Deregulation of Margin Trading and Short Selling

本文以我国融资融券的制度改革为背景,考察了渐进式扩容的金融风险溢出效应及治理机制。研究发现,随着行业中融资融券标的股票比例上升,同行业股票价格崩盘风险显著增加,表明融资融券不仅直接影响标的股票的价格波动,还可能将风险溢出到同行业其他股票中。机制分析发现,风险溢出效应主要由融资交易造成。进一步的分析表明,较高的会计信息质量,或较好的信息环境,或投资者较强的信息搜集与处理能力,均有助于缓解风险溢出效应。本文的研究结论为今后制定与实施金融监管政策、防范系统性金融风险提供了一定的启示。

This paper takes the deregulation of margin trading and short selling as the setting,and analyzes the spillover effects of financial risk caused by the step-wise reform,as well as its governance.We find that as the proportion of the margin trading and short selling stocks within an industry increases,the stock price crash risk among industry peers rises significantly,indicating that margin trading and short selling not only directly impacts the price volatility of tradable stocks,but also spill over risks to other stocks within the industry.Mechanism analysis finds that the risk spillover effect is primarily driven by margin trading.Further analysis reveals that risk spillover effect is alleviated when the company has high-quality accounting information,when the information environment is better,and when investors have stronger capabilities to collect and process information.Our findings provide insights for future formulation and implementation of financial regulatory policies and prevention of systemic financial risks.