股市流动性踩踏危机的形成机理与应对机制

发布时间：2018-04-11 02:28

本文选题：流动性危机 + 计算实验　；参考：《管理科学学报》2017年03期

【摘要】：中国股票市场2015年出现的股市异常波动,在金融活动中属于一类由严重流动性缺失而导致的恐慌性踩踏现象,探索其中的机理具有典型的学术和实践意义.本文基于"情景-应对"型风险管理思想、利用计算实验生成各种风险"情景",揭示了高杠杆融资在投资者非理性行为和中国市场微观机制作用下引致股市流动性踩踏危机的机理.计算实验的结果刻画了2015年中国股市流动性危机中连续单边暴跌、流动性缺失大面积传染和危机后持续震荡的三个典型特征.实验表明融资杠杆在投资者的技术分析策略和适应性转换动态资产配置作用下,对市场泡沫的形成与破灭起到推波助澜的作用,并引起个股板块联动和流动性缺失传染,最终导致连锁强行平仓,从而引发了流动性踩踏危机;连续竞价的订单簿撮合机制和涨跌幅限制在股灾中加剧了流动性踩踏危机.据此,本文提出了保持低融资杠杆、引入临时做市商提供紧急流动性、通过大宗交易系统收购强行平仓头寸等应对措施来缓释流动性踩踏危机的新机制.
[Abstract]:The abnormal volatility of Chinese stock market in 2015 belongs to a kind of panic stampede caused by serious lack of liquidity in financial activities. Exploring its mechanism has typical academic and practical significance.This paper is based on the "situation-response" risk management thinking,By using computational experiments to generate various risk "scenarios", this paper reveals the mechanism of the stock market liquidity stampede crisis caused by highly leveraged financing under the action of investors' irrational behavior and the micro mechanism of Chinese market.The results of the calculation experiment depict the three typical characteristics of the successive unilateral collapse, the massive contagion of lack of liquidity and the sustained volatility after the stock market liquidity crisis in 2015.The experiment shows that the financing lever, under the action of the investors' technical analysis strategy and adaptive conversion dynamic asset allocation, contributes to the formation and burst of the market bubble, and causes the linkage of individual stocks and the contagion of lack of liquidity.The chain finally forced the closure, triggering a liquidity stampede crisis; successive bidding bookkeeping mechanisms and price limits exacerbated the liquidity stampede crisis.Based on this, this paper puts forward a new mechanism to ease the liquidity stampede crisis by maintaining low financing lever, introducing temporary market makers to provide emergency liquidity, and purchasing forced positions in bulk trading system to relieve the liquidity stampede crisis.
【作者单位】：中山大学管理学院;中山大学高级金融研究院;天津大学管理与经济学部;中国社会计算研究中心;
【基金】：国家自然科学基金资助项目(71320107003;71532009;71671191) 中山大学高校基本科研业务费资助项目(16WKPY06) 天津市教委社会科学重大项目(2014ZD13)
【分类号】：F832.51

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