摘要
如何平衡市场的稳定性和有效性是金融监管面临的重要问题。利用2018年1月债券市场偏离度监管这一政策冲击,本文考察了以提高交易预期成本而非限制交易为主要特征的新型稳定性监管对市场稳定性和有效性的影响。研究发现,偏离度监管显著降低了高偏离债券的波动性,相比涨跌停板和熔断等传统稳定性监管政策更好地实现了市场稳定的目标。机制分析表明,这种新型稳定性监管有效限制了因负外部性产生的磁吸效应,以及订单不平衡带来的波动性外溢效应所导致的波动性增加。但与此同时,本文也发现偏离度监管使得部分投资者选择等待估值变动和延迟交易,这显著降低了债券价格对基本面的预测能力,且这种价格有效性的下降在民企和低评级企业中更加明显。进一步考察对实体经济的影响后发现,市场定价效率的下降会对金融资源的配置产生结构性的影响,导致民企和低评级企业债券融资和投资水平的显著下降。上述结果表明,债券市场的新型稳定性监管政策较好实现了市场稳定的目标,但对市场效率和金融资源的配置产生了结构性的影响。本文的发现为监管机构更全面地评价估值偏离度监管的经济后果、制订更为灵活有效的稳定性监管政策提供了参考。
Stability and price informativeness are critical dimensions of market efficiency.A stable market reduces uncertainty for firms,while informative pricing facilitates optimal resource allocation,both of which enhance the financial market's support for the real economy.However,existing research indicates that while financial regulation can mitigate market volatility,it may also introduce policy noise and diminish price informativeness.Thus,finding a better balance between market stability and price informativeness presents a significant challenge for financial regulators.Previous studies on the stock market have shown that trading and price restrictions—such as price limits,circuit breakers,and limits on quoted price—can sometimes fail to decrease price volatility and maintain market stability.This failure can be attributed to two main factors.First,these restrictions affect all market participants,potentially reducing liquidity and causing negative externalities that increase volatility as limits approach(the magnet effect).Second,limitations on price and trading can lead to order imbalances,further exacerbating future volatility(the volatility spillover effect).Additionally,prior research suggests that such restrictions can reduce price informativeness due to trading interference effects.This raises a crucial question:Are there alternative regulatory approaches that can more effectively balance market stability and price informativeness?Furthermore,how might such policies influence investor behavior differently?The China interbank bond market offers an ideal setting,as it has implemented regulations that directly penalize institutions trading outside of designated price thresholds without imposing trade limits.In January 2018,the China Securities Regulatory Commission(CSRC)issued the Notice on Further Strengthening the Supervision of Bond Trading by Securities and Fund Management Institutions,which clearly stipulates that if the bond price in transactions deviates from the benchmark valuation by more than 1%,it must be reported to the risk management department with a reasonable explanation.Otherwise,the CSRC will impose penalties on institutions that do not comply,including suspending their business operations and holding responsible individuals accountable(hereinafter referred to as“price-valuation deviation regulation”).Utilizing this exogenous price-valuation deviation regulation policy,we examine the impact of this new-type stability-oriented regulation on both the stability and price informativeness of the bond market.Our findings indicate that the price-valuation deviation regulation in the China interbank bond market enhances market stability without increasing volatility due to magnet or volatility spillover effects.However,because the deviation threshold is based on third-party bond valuations,which are slow-moving and may not accurately reflect bonds'fundamental values,some high-deviation trades are postponed,leading to diminished bond price informativeness.This decline in secondary market price informativeness subsequently affects the primary market and the real economy,resulting in structural shifts in financial resource allocation.Specifically,the policy results in higher bond issuance costs and lower investment and financing levels for firms with high price-valuation deviations,particularly for privately owned and lowrated firms.This paper contributes to the literature in three significant ways.First,it enhances the understanding of stabilityoriented regulations in financial markets.While existing literature has highlighted that trading restrictions like price limits and circuit breakers fail to achieve an effective trade-off between stability and price informativeness,our findings suggest that institution-targeted regulations can mitigate negative externalities associated with these limits,thereby achieving a better balance.Second,this research adds to the body of work on the Chinese bond market by exploring regulatory im-pacts on bond transactions—an area less examined compared to topics like issuance,rating and default disposal.Third,it contributes evidence regarding the real effects of financial markets by demonstrating how bond market transaction price informativeness influences investment and financing decisions within real enterprises.
作者
郑怡君
吴文锋
胡悦
ZHENG Yijun;WU Wenfeng;HU Yue(Antai College of Economics and Management,Shanghai Jiao Tong University)
出处
《经济研究》
CSSCI
北大核心
2024年第12期167-185,共19页
Economic Research Journal
基金
国家自然科学基金项目(72310107002、72303065、72495153)的资助。
关键词
金融监管
市场稳定性
市场有效性
偏离度监管
债券市场
Financial Regulation
Market Stability
Market Efficiency
Price-valuation Deviation Regulation
Bond Market
作者简介
郑怡君,电子信箱:zhengyijun@sjtu.edu.cn;通讯作者:吴文锋,电子信箱:wfwu@sjtu.edu.cn;胡悦,电子信箱:anthonyhy321@sjtu.edu.cn。
