机构投资与金融稳定——基于A股ETF套利交易的视角被引量：29

Institutional Investment and Financial Stability:Evidence from A-share ETF Arbitrage Trading

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摘要大力发展机构投资者有助于完善资本市场基础制度,促进金融市场高质量发展。但机构投资者以及机构投资工具的无序发展也可能损害金融稳定。本文创新性地以ETF这一机构投资者最主要的高流动性指数化投资工具为切入点,探讨机构投资对金融稳定的影响和微观机制。本文发现:ETF并不能在市场压力时期为股票形成流动性缓冲,反而会加大股票的系统性尾部风险,引起金融不稳定。在进行指数股票切换准自然实验的工具变量回归以及多种稳健性检验后,上述结果仍然成立。机制分析表明,机构投资者的套利活动尤其是折价套利活动是ETF增加股票系统性尾部风险的重要微观机制。此外,ETF对股票系统性尾部风险的影响存在着门限效应和非对称效应,并且受市场交易制度灵活性的影响而存在异质性。借助ETF这一金融工具创新,本文将研究视角由机构投资者扩展到机构投资工具,对于辨证地理解机构投资对金融稳定的综合影响具有重要意义。 Developing institutional investors is an important way to improve capital market infrastructure and to promote the high-quality development of the financial market.However,it may also induce instability to financial market.Innovatively,we take ETFs,the major highly liquid indexing investment tool for institutional investors,as an example to research the impacts and micro-mechanisms of institutional investment on financial stability.We find that ETFs do not play a liquidity buffer role for its underlying stocks during market stress,but instead increase their systematic tail risk.These results are still robust after using instrumental variable regressions from a quasi-natural experiment that relies on the reconstitution of two major market indexes,and various other robust tests.The micro-mechanism analysis suggests that arbitrage activities of institutional investors,especially discount arbitrage activities,are an important channel for ETFs to increase the systematic tail risk of underlying stocks.In addition,further analysis shows that there exists threshold effect and asymmetric effect of ETFs′ impact on the systematic tail risk of its underlying stocks,and the impact is also heterogeneously affected by market trading flexibility.By using ETFs,we extend the research perspective from traditional institutional investors to institutional investment instruments.The results are helpful for dialectically understanding the comprehensive impact of institutional investment on financial stability.

作者姜富伟宁炜薛浩 Jiang Fuwei;Ning Wei;Xue Hao(School of Finance,Central University of Finance and Economics)

机构地区中央财经大学金融学院

出处《管理世界》 CSSCI 北大核心 2022年第4期29-41,共13页 Journal of Management World

基金国家自然科学基金面上项目(72072193,71872195) 国家社科重大项目(19ZDA098)的资助。

关键词机构投资金融稳定 ETF 系统性风险套利交易 institutional investment financial stability ETF systematic risk arbitrage trading

分类号 F832.51 [经济管理—金融学]

作者简介通讯作者:姜富伟。