融资、融券交易及其波动对股价稳定性的影响一致吗*

本文区分并讨论了融资交易、融券交易及二者的波动对标的股价稳定性影响的不一致性。研究表明,融资交易提高了标的股价的整体稳定性却加剧了股价异常下跌频率,而融券交易对股价整体稳定性及异常下跌频率并不存在显著影响。更重要的是,融资交易的异常波动加剧了股价的不稳定,而融券交易的异常波动则有助于提高股价稳定性。本文的政策启示在于,应采取比较“温和”的方式调控融资交易以避免融资交易的过度波动加剧标的股价的不稳定。     

融资融券带来什么?

从8月1日起,证券公司开始实施的融资融券业务倍受人们关注,开展融资融券对于股市、投资者是良药还是苦酒呢?融资融券创新股市运作新模式。证券公司开展融资融券是今年我国资本市场推出的一项重大制度创新,是促进我国资本市场发展的有效举措,它不仅在价格发现、市场稳定、增强流动性、加强风险管理、完善市场交易机制中发挥积极作用,还对于加强货币市场与资本市场的沟通、为股市依法提供入市资金、有效打击非法融资、为股指期货等金融衍生品的推出创造条件、促进券商盈利模式的转轨等方面都将发挥重要作用。这是现代多层次证券市场的基础,对…     

证券公司融资融券业务风险管控措施研究

融资融券业务作为发达资本市场普遍实施的一种业务种类，从实践经验看，具有改善市场供求、平抑价格波动、发现公正价格、满足不同投资需求等积极作用，是完善资本市场机制、优化资本市场资源配置的重要手段和途径。融资融券业务不仅是与国际资本市场接轨的需要，同时也是我国资本市场自身的迫切要求。因此积极探索证券公司的融资融券业务全面风险控措施至关重要。     

中国式融资融券制度安排与股价崩盘风险的恶化

2010年开始实施的融资融券制度是中国资本市场重要的制度创新,旨在引入卖空机制以提高资本市场运行效率,本文从股价崩盘风险的角度采用双重差分法系统检验了该项政策对资本市场的影响。研究发现,与政策制定者的初衷相反,整体上,融资融券制度的实施不仅没有降低相关标的股票的股价崩盘风险,反而恶化了其崩盘风险。进一步的分析表明,这种负面效应,主要源自融资融券政策设计的两个特征:融资融券标的选择标准以及融资和融券两种机制的同时实施。标的选择标准使得标的股票本身股价崩盘风险较小,这导致卖空机制很难发挥作用,相反,对称性融资融券机制中的融资机制则为投资者提供了跟风追涨的渠道,最终,融资交易的杠杆效应和去杠杆效应加剧了崩盘风险的上升。     

证券公司融资融券业务风险管控措施研究

融资融券业务作为发达资本市场普遍实施的一种业务种类,从实践经验看,具有改善市场供求、平抑价格波动、发现公正价格、满足不同投资需求等积极作用,是完善资本市场机制、优化资本市场资源配置的重要手段和途径.融资融券业务不仅是与国际资本市场接轨的需要,同时也是我国资本市场自身的迫切要求.因此积极探索证券公司的融资融券业务全面风险控措施至关重要.     

从国际比较看融资融券对我国证券业的影响

2006年8月,中国证监会正式颁布了<证券公司融资融券业务试点管理办法>(下称<管理办法>)和<证券公司融资融券业务试点内部控制指引>(下称<内控指引>).作为一种全新的金融杠杆,融资融券政策贯彻到资本市场的最强大力量就是增大股市的流动性,即通过盘活证券公司手中的存量资本增大股票市场的资金供给量和需求量.融资融券业务的推出在最大程度上满足了券商的利益诉求.     

融资融券对于股票市场波动性的影响——基于中国A股市场分析

文章结合中国A股市场现状,分析融资融券交易对股市波动性的影响作用,在当前阶段,融资融券业务总体规模较小,对股市的影响作用也相对较弱,但是影响作用正在逐步加大;并且在股市波动中,融资交易属于是Granger原因,对股市波动性的影响作用是显著的,也是一个复杂变化的过程;而融券交易不是股市波动性的Gr anger原因,对股市的波动性的影响作用也不显著,但融券交易在股市波动中属于是单向影响作用。     

卖空机制、股价信息含量与暴跌风险--基于融资融券交易的经验证据

文章利用我国逐步推出融资融券交易的自然实验机会,运用双重差分的研究设计,考察了卖空机制对股价反映负面消息效率的影响。文章以2007-2012年的数据为样本研究发现：相对于非标的股票,融资融券标的股票在成为标的之后,其股价对市场的向下波动及时做出了调整,使得股价对市场正负向波动反应之间的不对称性显著降低,表明标的股票更加及时和充分地吸收了有关公司价值的负面信息;同时,相对于非标的股票,融资融券标的标的股票在成为标的之后,其股价暴跌风险显著降低。文章结果表明,我国股市推出融资融券交易后,卖空机制提高了市场对标的股票负面消息的定价效率。     

论融资融券对中国资本市场的影响

融资融券业务的正式开展催生了中国股市的做空机制,这是继股权分置改革后又一对中国资本市场发展具有根本性影响的金融创新制度。发展融资融券制度,将改变中国股市＂单边市＂状况,不仅能起到稳定市场的作用,还将为券商行业带来重大发展机遇。同时,还可以为投资者提供新的交易方式和一种规避风险的工具。作为一种创新产品,将阐述融资融券制度及重大意义,并浅析该制度对中国资本市场带来的深刻影响。     

融资融券交易对我国股市波动的影响机制研究

融资融券交易在我国正式启动已逾七年,若要将其稳定股市的作用切实得到发挥,首要之义是清楚两融对于股票在现实经济中的运转规则.清楚了解之后才能帮助监管部门对市场的管理行之有效,在应对风险时将损失降低.本文将融资融券两种交易的作用机制分开研讨,通过对比使两融的影响机制更加清晰,以期为我国两融业务的监管提供科学的决策依据.     

融券制度与内部人寻租——来自准自然实验的经验证据

内部人寻租一直以来是理论与实务界关心的重点,如何有效抑制内部人寻租行为是资本市场的重大课题。本文以内部人交易度量内部人寻租,分析了融券制度对内部人寻租的影响。研究发现:(1)融券制度对内部人寻租有显著抑制作用,并且融券规模越大,内部人寻租越少。(2)相比于国有企业,非国有企业当中融券制度对内部人寻租的抑制作用更加明显。本文还将内部人交易分方向进行回归,结果显示融券制度对内部人寻租的抑制作用主要体现在卖出方向上。本文进一步分析了融券制度影响内部人寻租的路径,发现“竞争效应”和“信息效应”是融券制度影响内部人寻租的两条重要路径。本文考虑了竞争性解释——分析师关注的作用,发现分析师关注并不能影响本文结论的正确性;本文还利用反面事实推断、倾向得分匹配、反向因果检验等方法,确保实证结论的稳健性。本文的研究结果,丰富了内部人寻租的特征及影响因素研究,有利于市场监管部门加强对内部人寻租行为的控制;扩充了有关融券制度的文献,为卖空制度的推行及完善提供理论依据。     

Rolling settlement and market liquidity

This paper investigates the impact on UK stock and option markets of the change from an account based settlement system to a rolling settlement procedure. Such a change increases the transaction costs of short-term margin traders, and is likely to impact on the liquidity of the underlying market, as well as trading in the options market. Evidence is presented that the settlement procedure does impact on the liquidity of the market. Further, we find that rolling settlement increased market liquidity, consistent with the exit of margin traders as a result of the increase in short selling costs. Associated with this increase in liquidity is a significant reduction in nonoptionable stock trading volume, implying that margin trading may have been more prevalent in stocks without options. Finally, it is shown that while trading in stock options increased, the volatilities implied from call and put option prices indicate that put options have become relatively more expensive. This reflects the change in demand induced by the new settlement procedure, especially in terms of the increase in short selling costs.     

保险资金持股与股价崩盘风险——市场“稳定器”还是崩盘“加速器”?

现阶段,有关保险资金持股与资本市场稳定相互关系的讨论多止于推测,少有学者以大样本数据进行实证考察。在理论上,保险资金持股上市公司,一方面可以抑制经理人负面信息隐藏,作为市场“稳定器”降低股价暴跌风险;另一方面,也能引发投资者跟风炒作,导致市场情绪高涨和股价高估,成为股价崩盘风险的“加速器”。本文基于2007—2016年中国沪深两市A股上市公司的数据,实证分析保险资金持股上市公司是否加剧市场暴跌及其作用机制。结果显示:保险资金持股加剧了股价崩盘风险,是公司股价崩盘的“加速器”。这一结论在经过DID模型、工具变量回归、PSM+OLS等内生性分析,以及稳健性检验之后依然成立。进一步研究表明,相比于民营、小型和财产保险公司,在股市投资规模更大的国有、大型和人寿保险公司更能引发市场跟风炒作,加剧股价崩盘风险;不过,当保险资金作为前十大股东参与公司治理时则能够降低股价崩盘风险。本文不仅为保险资金持股与资本市场稳定相互关系的讨论提供了经验证据,也为规范保险资金股权投资,维护资本市场稳定提供有益借鉴。     

Short sale constraints and the information content of trading

We examine changes in the information content of trading when short sale constraints between prohibition and restriction exist on a stock exchange. This is made possible by a unique institutional arrangement at the Stock Exchange of Hong Kong. It maintains a list of stocks which can be sold short under regulations. Stocks not on the list are prohibited from short selling. The list is revised on a quarterly basis based on predetermined criteria. We find that the probability of information-based trading (PIN) significantly increases when a stock is added to the list. Further analysis shows that this is mainly because uninformed traders are driven out of the market. Elimination of uninformed traders also causes the aggregate trading volume to decrease rather than increase. In comparison, the PIN does not change when a stock is dropped from the list. We also find that market liquidity, measured by volatility and bid–ask spreads, slightly decreases when a stock is added to the list and significantly increases when a stock is dropped from the list. Possible explanations are discussed.     

Financial leverage and market volatility with diverse beliefs

We study a general equilibrium model of asset trading with financial leverage, where the investors can engage in speculative trading with diverse beliefs about the asset??s fundamental value. We show that an increase in the leverage ratio causes the stock price to rise in the current period through a ??leverage effect??, and will result in more borrowing and more stock purchase that pumps the stock price higher in the subsequent period, known as the ??pyramiding effect??. There can also be a ??depyramiding effect?? when the price falls because lenders issue margin calls and force stock sales, contributing to further stock price plummeting. Price changes from depyramiding effect, however, may not take effect when margin calls are not triggered. We demonstrate that, under certain conditions, decreasing leverage ratios leads to lower stock price volatility, measured by the variation of prices caused by an exogenous shock, when the shock is unanticipated. The influences of dispersion of beliefs and available investment funds on the relation between financial leverage and market volatility are also examined. When the shock is anticipated, we demonstrate that reducing leverage ratios may not lower stock price volatility, which poses an important challenge to future studies on this issue.     

The relation between the informational content of implied volatility and arbitrage costs: Evidence from the Oslo Stock Exchange

This study investigates the proposition that volatility of stock returns can be predicted from the volatility implied by options on the Oslo Stock Exchange (OSE), conditional on the ability to perform arbitrage. Insights into the relation between the informational content of implied volatility and arbitrage cost can be distilled from Oslo Stock Exchange data. For Norwegian firms, options and their underlying stock trade on the Oslo Stock Exchange and have an overlapping set of market makers thereby lowering the cost of arbitrage. Other components of arbitrage trading costs, liquidity and dispersion of stock return volatility, vary widely across Norwegian firms. Moreover, restriction on the short selling of stock in Oslo allows further insight into the role of arbitrage costs in determining the informational content of implied volatility. The results yield support for the arbitrage cost hypothesis: the lower the arbitrage cost between the stock and the option, the greater the informational content of implied volatility.     

融资融券交易的市场冲击效应研究——基于中国台湾证券市场的经验与启示

融资融券交易是证券市场的重要组成部分,它的推出会对整个市场产生何种影响是非常值得研究的问题.文章利用中国台湾证券市场的融资融券交易数据,从市场流动性与波动性角度研究融资融券交易对整个市场的冲击效应.研究结果表明,融资买空交易有助于提升整个市场的流动性水平,在一定程度上可以改善市场流动性水平相对不足的状况,但融券卖空交易对市场流动性水平没有显著影响;融资买空与融券卖空交易并未显著影响整个市场的波动性水平.文章建议证券监管部门可以将融资融券交易保证金率作为市场调控工具,通过适时调整保证金率调控整个市场,避免市场出现大幅震荡.     

Effect of Short‐sale Constraints on Stock Price Manipulation

This paper examines the effect of short‐sale constraints on the stock price manipulation of an insider, who is subject to mandatory disclosure rules. We show that the privately informed insider may manipulate by trading against his or her information when short selling is banned. We find that stock price movement is asymmetric in the sense that prices fall by a larger percentage than they rise. In addition, we prove that removing short‐sale constraints increases price volatility. Finally, we explore the welfare implications of short‐sale constraints.