我国股票市场熔断机制的磁力效应:基于自然实验的证据

发布时间：2018-08-03 18:18

【摘要】：本文利用自然实验的思路,以2016年1月4日和7日为熔断组,以2015年沪深300指数跌幅超过7%的3个交易日为控制组,检验熔断机制对股票市场产生的效应。结果显示,在指数下跌至熔断临界值之前,熔断机制会加剧卖单的大量涌现,导致市场订单流不平衡性提高,存在显著的磁力效应。在指数下跌5%之前,熔断机制对已经跌停的股票并不产生影响;在指数下跌5%-7%之间,熔断机制和涨跌停板制度存在叠加效应,订单流不平衡性进一步恶化。在股指下跌的过程中,熔断机制的磁力效应存在从沪深300成分股向非成分股的溢出。此外,股指期货交易、融资融券、沪港通净流入都会对熔断机制的磁力效应产生影响。
[Abstract]:In this paper, using the idea of natural experiment, taking January 4 and 7, 2016 as the fuse group, and taking the three trading days when the Shanghai and Shenzhen 300 index dropped more than 7% in 2015 as the control group, to test the effect of the melting off mechanism on the stock market. The results show that before the index falls to the critical value of melting break, the mechanism of melting break will aggravate the emergence of a large number of selling orders, resulting in the imbalance of market order flow and the existence of significant magnetic effect. Before the index fell by 5 percent, the fuse mechanism had no effect on the stocks that had fallen by the limit, and between the index and the limit of 5 percent, there was a superposition effect between the breaker mechanism and the price limit system, and the imbalance of order flow worsened further. In the process of stock index falling, the magnetic effect of the melting mechanism is spillover from Shanghai and Shenzhen 300 component to non-component. In addition, stock index futures trading, margin financing, and the net inflow of Shanghai Stock Connect will have an impact on the magnetic effect of the melting break mechanism.
【作者单位】：上海外国语大学国际工商管理学院;浙江大学经济学院;
【基金】：国家自科基金青年项目“基于文本挖掘的网络信息与股票市场关联机制研究”(71303210);国家自科基金“基于投资者关注度与社交学习解释股市过度波动”(G030202)的资助
【分类号】：F832.51

【相似文献】