中文摘要：
2015-2016年A股市场发生了罕见的股灾,与之前股市多次大跌不同,此次股灾表现出下跌速度快、下跌幅度大和波及范围广等特点,先后共有16个交易日出现千股跌停,表现出极强的尾部系统风险。为避免股价进一步下跌导致更为严重的系统性金融风险的爆发,2015年7月由中证金融有限责任公司和中央汇金有限责任公司为代表的“国家队”在市场上公开买入股票,受到各界广泛关注。至今为止,“国家队”是否稳定了市场,其稳定市场的渠道等问题尚未得到充分研究,这些问题对于我国建立稳定金融市场的长效机制具有非常重要的现实意义,有待进一步探讨。本文以2015年第三季度至2016年第四季度A股市场所有上市公司为研究样本,以“国家队”持股为研究视角,采用SJC Copula函数计算个股随大盘暴涨暴跌的条件概率,作为尾部系统风险的度量指标,研究“国家队”持股对尾部系统风险的影响。在此基础上,本文进一步探索了“国家队”降低尾部系统风险的传导机制和影响渠道。本文同时对“国家队”持股的负面效应进行了探索,加深了对“国家队”持股市场效应的理解。本文的实证研究结果表明:(1)“国家队”持股有效降低了股票价格的尾部系统风险,有利于稳定危机时期的股票市场;(2)“国家队”持股对左尾和右尾系统风险的影响存在非对称性,稳定市场的作用更多表现在对左尾系统风险的影响上,在市场剧烈波动时,显著降低股价随大盘暴跌的可能性;(3)危机时期“国家队”救市对尾部系统风险的影响主要通过为市场提供流动性和提振市场信心两个渠道;(4)“国家队”持股也在一定程度上损害了市场质量,导致股价同步性和交易成本增加。(5)“国家队”的退出并未显著增加尾部系统风险,降低市场稳定性。本文采用子样本回归、匹配—双重差分、工具变量等方法控制内生性等问题,并得到了一致稳健的结果。本文的研究丰富了金融市场危机、政府干预和市场稳定机制的相关文献,为危机期间维护市场稳定相关政策的制定以及市场恢复稳定后“国家队”的逐步退出提供了经验证据。
英文摘要：
The Chinese A-stock market experiences a sudden and drastic crash from MidJune 2015 to January 2016.The Chinese government formed a so-called “national team” to directly purchase stocks of more than 1,000 firms to stabilize the market and restore investor confidence.“National team” mainly consists of China Securities Finance Corporation Limited(CSF)and China Central Huijin Investment Limited(CCH),and receives much attention from various fields.Until now,little researches focus on whether and how “national team” stabilize the stock market.These questions are greatly meaningful to building a long-term system to stabilize financial market of our country and remain to be further discussed.Using the Chinese stock market data from the third quarter of 2015 to the fourth quarter of 2016,this paper investigates how the Chinese government's intervention via direct stock trading has affected stock price systematic tail risk,selecting “national team” as research object,using SJC Copula function calculating the conditional probability of stock-price drastic increase or decrease on great increase or decrease of market-price to measure the systematic tail risk.This paper also investigates the channel how “national team” affect stock price systematic tail risk.Besides these,this paper give some insight on the adverse impact the “national team” may have on stock market and help deepen the understanding of market impact of “national team”.The empirical results of this paper find:(1)the national team plays an effective role of reducing systematic tail risk,and has the function of stabilizing the stock market during the crash period;(2)the national team's impact on stock price systematic tail risk is asymmetric,as the government shareholdings have a stronger effect on systematic left-tail risk than on systematic right-tail risk;(3)the national team decreases systematic tail risk mainly through providing extra liquidity and restoring investors' confidence;(4)the national team exerts an adverse impact on market quality by decreasing pricing efficiency and increasing transaction costs;(5)the exitance of national team does not increase the systematic tail risk or destabilize the stock price.Our findings are robust to a series of alternative empirical designs such as propensity score matching,and two-stage least-square regressions to ease possible endogeneity concerns.Out study enriches the literature on financial crisis,government intervention,and mechanism of market stabilization,and also provides empirical evidence for policy making to enhance the long-term stability of the financial system.
