融资融券制度对尾部系统风险的非对称影响——基于A股市场极值相关性的研究

融资融券交易制度的推出能否有效降低个股随市场暴涨暴跌的概率是广泛关注的问题.文章利用Patton提出的SJC Copula函数, 估计了个股与大市尾部相关性, 并使用双重差分法分析了融资融券交易制度推出的政策处置效应, 发现融资融券制度降低了标的个股左尾 (下跌) 极值相关性, 但加剧了右尾 (上涨) 极值相关性.进一步分析表明, 上述结果来源于融资融券交易对极值相关性的非对称影响.具体而言, 融资交易对左尾极值相关性影响不显著, 但加剧了右尾极值相关性, 融券交易则同时显著降低了左尾和右尾极值相关性.由于融券交易规模远小于融资交易, 融资融券交易对左尾极值相关性的总体影响为负, 对右尾总体影响为正.研究结论认为, 融资交易追涨模式导致个股跟随大盘暴涨, 而融券交易将悲观交易者信息纳入股价, 有利于抑制股价过度上涨, 而逆向平仓也适当降低了个股暴跌概率.因此, 监管者应灵活控制融资交易杠杆, 完善融券交易机制以发挥其股价稳定器功能.

Asymmetric effect of margin trading and short selling on tail systematic risk:An empirical analysis of extreme dependence in Chinese A-share Market

Whether the introduction of margin trading and short selling decreases extreme co-movements between individual stocks and market index is an essential issue. Using the symmetrized Joe-Clayton copula (Patton9]) , left and right tail dependence between individual stocks and market index are estimated, and a difference-in-difference (DID) analysis is applied to examine the treatment effect of margin trading and short selling. The paper finds that the newly introduced mechanism decreases left tail dependence, but increases right tail dependence. Further regression analysis finds that the above asymmetric effects result from the different impacts of margin trading and short selling on tail dependence. Particularly, margin trading has no significant effect on left tail dependence, but increases right tail dependence; short selling decreases both left and right tail dependence. As margin trading volume is far beyond short selling volume, the net effect is positive for right tail dependence, but negative for the left. Therefore, positive feedback trading strategies by margin traders amplify right tail dependence, while short selling incorporates the belief of pessimistic investors and cools down the market sentiment. Therefore, regulators should control the leverage ratio of margin trading, and improve the short selling mechanism to utilize its role as a price stabilizer.