【摘要】 近年来,高杠杆交易行为引发多方关注,其对资产价格以及投资者行为的影响值得深入研究。本文利用股票市场制度建设提供的外生冲击,采用倾向得分匹配—多期倍差法(PSM-DID),研究杠杆交易对机构投资者结构以及资产价格暴跌风险的影响。通过控制不同层面的影响因素,本文实证发现,杠杆交易会显著增加股价的暴跌风险;机构投资者,尤其是以公募基金为代表的机构投资者,会显著降低杠杆交易标的持有量,且融资做多越活跃的交易标的,这种投资规避行为越明显;同时,机构投资者的规避行为与股价暴跌风险显著相关。本文的结论对于加强杠杆交易监管和投资策略制定,具有重要的借鉴意义。更多还原

【Abstract】 In recent years, high-leverage trading causes multiple concerns, which drives further study on the impact over asset prices and investor behaviors. Taking the construction of China’s stock market as the external shock, this paper uses the Propensity Score Matching—Difference in Difference method(PSM-DID) to study the impact of leveraged transactions on the crash risk of asset prices and the structure of institutional investors. After controlling variables at different levels, we find that leveraged trading significantly increases the crash risk of stock prices,and the institutional investors, especially the mutual funds, significantly reduce the holdings of stocks under high leveraged transactions. The more leveraged buying, the more severer deleveraged selling. The avoidance behavior of investors is significantly related to the asset price crash risk. The conclusion of this paper means to improve the supervision of leveraged transactions and the strategy of investment.更多还原