融资融券规模，投资者情绪和股票崩盘风险

Margin Trading Scale, Investor Sentiment and Stock Market Crash Risk

摘要: 本文首先基于封闭式基金折价、IPO数量及上市首日收益、消费者信心指数和新增投资者开户数等6个单项情绪指标，检验其一阶滞后处理指标间相关性后，应用卡尔曼滤波方法构建投资者情绪指数。随后应用DCC-GARCH模型估计投资者情绪、融资融券规模、股市波动和银行利率四个变量两两之间的动态相关系数。最后应用TVP-SV-VAR模型做不同时期和不同时点下的脉冲响应分析。结果表明：1) 投资者情绪受银行利率的影响程度最大，持续性最强。2) 目前融资融券规模的变化并不能迅速的刺激投资者，融资融券规模的增加对于银行利率以及股价波动的冲击效应较大。3) 股市波动同银行利率的变化息息相关，银行利率的变动可以有效拉高或降低市场收益。对券商风控体系监管、强化信息披露要求和推进投资者教育等方面提出了相应的对策建议。

Abstract: This paper applies the Kalman filter method to construct an investor sentiment index based on six individual sentiment indicators, including closed-end fund discount, number of IPOs and first day of listing returns, consumer confidence index and number of new investor accounts, after testing their first-order lags to process the correlation between the indicators. The DCC-GARCH model was applied to estimate the dynamic correlation coefficients between the four variables of investor sentiment, financing and financing size, stock market volatility and bank interest rates. Finally, TVP-SV-VAR model was applied to analyse the impulse responses at different time periods and different points in time. The results show that 1) Investor sentiment is most influenced by bank interest rates and is the most persistent. 2) Changes in the current margin trading scale do not stimulate investors quickly, and an increase in the scale of financing and financing has a greater impact on bank interest rates and stock price volatility. 3) Stock market fluctuations are closely related to changes in bank interest rates, which can effectively raise or lower market returns. Corresponding countermeasures are proposed for the supervision of the risk control system of brokerage firms, the strengthening of information disclosure requirements and the promotion of investor education.