融资融券非对称性与股价崩盘风险——基于风险对冲视角的分析

摘要/Abstract

摘要： 如何完善股票市场融资融券交易机制，避免股价暴跌，既对于防范系统性金融风险至关重要，亦对于“去杠杆”政策的落实具有借鉴价值。本文基于我国融资融券市场非对称性这一独特现象，考察其对股价崩盘风险的影响机理。研究发现：融资融券市场非对称性导致融资交易与融券交易无法实现风险对冲，加剧了股价崩盘风险；进一步利用中介效应模型验证了融资融券非对称性难以对冲信息风险与流动性风险，从而引发股价崩盘风险提升。本文研究表明，完善融资融券交易机制，加强融资杠杆与融券杠杆的风险对冲作用，对于降低股市波动与系统性金融风险，促进资本市场稳定健康发展具有重要意义。

关键词: 融资融券非对称性, 股价崩盘风险, 信息风险, 流动性风险, 风险对冲

Abstract: Finding out how to adjust the trading policy of margin trading and short selling to avoid stock price crash is essential in guarding against systematic financial risks and putting deleveraging policies into practice. In this paper we investigate the asymmetry between margin trading and short selling, a unique phenonemon in China, and analyze the mechanism of how it relates to stock price crash. We find that the asymmetry impedes the risk hedging between margin trading and short selling, resulting in a larger risk of stock price crash. Further evidence from mediating tests suggests that the asymmetry makes it hard to hedge information risk and liquidity risk, thus more likely to trigger stock price crash. Our study implies that improving the trading policies regarding margin trading and short selling is important for preventing financial risks and ensuring the healthy development of capital markets.

Key words: the asymmetry between margin trading and short selling, crash risk, information risk, liquidity risk, risk hedging

钟凯, 李昕宇, 王化成. 融资融券非对称性与股价崩盘风险——基于风险对冲视角的分析[J]. 管理评论, 2022, 34(5): 13-24.

Zhong Kai, Li Xinyu, Wang Huacheng. The Asymmetry between Margin Trading and Short Selling and Its Relationship with Stock Price Crash: Evidence from the Perspectives of Risk Hedging[J]. Management Review, 2022, 34(5): 13-24.

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