极端下跌事件的正反馈效应与监管限制溢出

发布时间：2018-06-01 11:23

本文选题：监管限制 + 跨市场风险　；参考：《中国管理科学》2017年09期

【摘要】：本文探讨了在市场之间联系愈发紧密情况下,针对单一市场"围堵"式的临时监管限制措施可能引发的跨市场风险。以2015年股指急剧下跌后对股指期货交易加大管制为背景,本文发现,一系列限制措施出台后,股指期货市场出现整体流动性萎缩,现货市场则出现了较为显著的收益率与成交量的正反馈效应,造成极端下跌事件的自我实现。本文认为,对股指期货交易的过度限制,使得机构投资者在下跌行情中无法通过期货对冲风险,加剧了现货市场抛售压力,引发了现货市场极端下跌事件。因此,监管层在设计和运用监管限制时应当审慎、全面分析目前的市场关联结构变化,避免政策的失灵和不恰当政策带来的风险。
[Abstract]:This paper explores the possible cross market risk caused by the temporary regulatory restrictions on a single market "containment" under the increasingly close links between markets. The background of increasing control of stock index futures trading after the sharp fall of the stock index in 2015 is the background. This paper finds that after a series of restrictions are introduced, the stock index futures market has an overall flow. In the spot market, the spot market has a more significant positive feedback effect on the rate of return and volume, which causes the self realization of the extreme fall event. This article holds that the excessive restrictions on stock index futures trading make institutional investors unable to hedge against wind risk in the fall market, exacerbating the spot market selling pressure and triggering the spot market. There is an extreme decline in the market. Therefore, regulators should be careful when designing and applying regulatory restrictions to comprehensively analyze current changes in market related structures to avoid policy failures and risks caused by inappropriate policies.
【作者单位】：上海交通大学安泰经济与管理学院;
【基金】：国家自然科学基金资助项目(71271136)
【分类号】：F724.5

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