熔断机制对2016年年初股灾影响分析——基于CDS的实证研究

ANALYSIS OF CIRCUIT BREAKER’S IMPACT ON THE STOCK CRASH AT THE BEGINNING OF 2016 : EMPIRICAL STUDY BASED ON CDS

王龙宇

11649028

硕士

金融

王新杰

2018-05-31

2018-7-12

哈尔滨工业大学

深圳

熔断机制是指当股指波幅达到规定的熔断点时，交易所为控制风险采取的暂停交易措施。熔断机制最早起源于美国芝加哥商业交易所，后来发展到世界上很多国家与地区都实施了不同范围与幅度的熔断机制。我国于 2016 年 1 月 1 日开始正式实施以沪深 300 指数为基准的熔断机制，但由于屡屡熔断等原因，中国证监会宣布于 1 日 8 日起暂停实施熔断机制。熔断机制的推出本意在于稳定市场、减少价格的波动，但由于熔断的“磁吸效应”以及已有股票涨跌幅限制等原因，熔断的推出反而加剧了市场波动，引发了广泛的争议。本文研究的目的是探究在熔断实施期间熔断机制是否是造成股市下跌的主要原因，进而对监管层实施价格监管政策提出相应的建议。本文首先从熔断机制是否造成显著异常收益的角度来探究熔断实施期间是否造成了 A+H 两地上市公司股价的明显下跌，方式是通过均值调整模型进行事件研究，检验股票异常收益是否显著。其次通过配对样本检验内地香港两地上市的同一家公司在两个熔断日 A 股与 H 股下跌的幅度是否显著不同。再次用同样的方法分析两地上市公司的 CDS 数据以探究熔断期间 CDS 价格是否有显著上升以及熔断后是否逐渐回落。然后本文对港资公司与香港上市内地公司通过市场模型进行对比。之后本文对内地与香港政府的CDS 累计收益率以及相应的市场指数进行比较，探究宏观经济对于股市下跌的影响。最后，本文计算了各样本企业的 CDS 与中国政府的 CDS 相关系数，以研究宏观经济与微观企业的相关程度。本文得出的结论如下：1. 熔断期间 A+H 股样本企业的股价异常收益很显著，且熔断日 A 股跌幅大于 H 股跌幅，这支持熔断机制起到了助跌作用。2. 两地上市企业 CDS 价格变化在熔断期间并不显著而在熔断后显著上升，不支持熔断机制是造成股市下跌的主因。3. 通过市场模型发现，H 股内资企业的异常收益显著而港资企业不显著，这支持熔断机制确实对内资企业股价有负面影响。4. 中国政府与企业 CDS 价格的相关系数很高，CDS 持续走高与上证综指持续弱势支持宏观经济因素是导致股市萎靡不振的更为根本的因素。最后，本文提出相应的政策建议。政府可以选择在更合适的时机推出熔断价格限制型政策，以使熔断机制可以真正起到稳定股市的作用。

Circuit Breaker Mechanism means that Exchange adopts trade suspension measure to control risks when stock index reaches required striking point. Circuit Breaker originated from Chicago Mercantile Exchange and now is adopted by many different countries and regions all over the world in different degrees and ranges. China began implementing this based on Shanghai and Shenzhen 300 index at the beginning of 2016, but because of many reasons like frequent circuit breaks, CSRC suspended this on January, 8 2016.Circuit Breaker Mechanism aims at stabilizing the market and reducing the fluctuation of stock prices. But it aggravated fluctuation of market and caused widespread concerns because of its “magnet effect” and the narrow price limit measure that the Chinese stock markets already had.The purpose of this paper is to explore whether the Circuit Breaker is the main reason for the stock crash during the Circuit Breaker working period, and put forward corresponding advice for regulators. Firstly this paper studies whether Circuit Breaker causes obvious stock crash of those companies that are listed both in Hong Kong and Shanghai by checking the significance of abnormal return using mean adjustment model and event study method. And then we check whether the decline of stock price in Hong Kong and Shanghai is significantly different by using a two sample t-test. Then we explore whether the CDS spread change significantly during the Circuit Breaker period and whether CDS spread falls gradually after the suspension of Circuit Breaker. Then we compare the enterprises that are listed both in Shanghai and Hong Kong by using a market model. After that, we explore the CDS spread change and market index change of Chinese mainland government and Hong Kong government to explore the impact of Macro Economy on stock crash. At last, we compute the CDS spread correlation of Chinese government and mainland enterprises to explore the relation between Macro Economy and microenterprises.Our conclusions are as follows: First, the abnormal return of stock return is of great significance through mean adjustment model and decline of mainland stock is larger than their counterpart in Hong Kong during two Circuit Breaker days, which supports that Circuit Breaker has sped the stock crash.Second, CDS spread change of two exchanges listed companies is not significant during the period while it is significant after the Circuit Breaker, which does not support that Circuit Breaker is the main reason for declining.Third, we find that abnormal return of Chinese mainland enterprises’ stock price is significant by market model while insignificant for Hong Kong companies. It supports that Circuit Breaker does have negative impact on companies of mainland background.Fourth, the correlation between mainland government and enterprises is very large and significant, CDS spread continues to ascend even after the Circuit Breaker at a quicker speed and stock market keeps declining. It supports that macroeconomic factor is the more fundamental reason for declining.Finally, this paper puts forward corresponding policy recommendations. Government could implement Circuit Breaker at a more opportune moment, in order to make Circuit Breaker work better.

熔断机制 事件研究 两样本检验 CDS

Circuit Breaker Mechanism event study paired difference test CDS

中文

联合培养

南方科技大学

王龙宇. 熔断机制对2016年年初股灾影响分析——基于CDS的实证研究[D]. 深圳. 哈尔滨工业大学,2018.