股票大甩卖风险与中国通的影响

IF 4.8 2区经济学 Q1 BUSINESS, FINANCE

Pacific-Basin Finance Journal Pub Date : 2024-11-19 DOI:10.1016/j.pacfin.2024.102591

Jiangze Bian , Qilin Qin , Wenjing Song , Jun Wang , Ge Zhang

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引用次数: 0

摘要

我们利用 2015 年中国股市暴跌期间保证金交易的细粒度账户数据，计算出每只股票在市场动荡期间的火卖风险敞口。当我们将低风险敞口的股票组成处理组，将高风险敞口的股票组成控制组时，我们发现使用这种设置的差分回归与根据股票是否在 2015 年后进入 STOCK-CONNECT 名单而设置的处理/控制组回归所产生的结果在性质上相似。当我们重新运行回归，考察 STOCK-CONNECT 计划的引入对具有类似火售风险的股票子样本的影响时，股市自由化对可由外国投资者交易的股票和不可由外国投资者交易的股票的影响之间的差异变得不显著。我们的实证结果为两个显著事件（引入 STOCK-CONNECT 和股票泡沫的形成与破灭）的影响混合在一起的猜想提供了支持证据。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Stock fire sale risks and the effect of China connect

We use granular account-level data from margin trading during the 2015 stock market crash in China to compute each stock's exposure to fire sale risks during the market turmoil. When we form the treatment group of stocks with low exposures and the control group of stocks with high exposures, we find that the diff-in-diff regression using this setting generates results qualitatively similar to the regression based on treatment/control groups setting according to whether the stock was in the STOCK-CONNECT list after 2015. When we re-run the regressions to examine the effects of the introduction of STOCK-CONNECT program in a subsample of stocks with similar exposures to fire sale risks, the difference between impact of stock market liberalization on stocks tradable by foreign investors and on stocks not tradable by foreign investors become insignificant. Our empirical results provide evidence supporting the conjecture that the effects of two salient events (the introduction of the STOCK-CONNECT and the stock bubble formation and burst) mix together.

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来源期刊

Pacific-Basin Finance Journal BUSINESS, FINANCE-

CiteScore

6.80

自引率

6.50%

发文量

157

期刊介绍： The Pacific-Basin Finance Journal is aimed at providing a specialized forum for the publication of academic research on capital markets of the Asia-Pacific countries. Primary emphasis will be placed on the highest quality empirical and theoretical research in the following areas: • Market Micro-structure; • Investment and Portfolio Management; • Theories of Market Equilibrium; • Valuation of Financial and Real Assets; • Behavior of Asset Prices in Financial Sectors; • Normative Theory of Financial Management; • Capital Markets of Development; • Market Mechanisms.