对冲基金对中国A股市场的影响研究
摘要
从1637年的荷兰郁金香投机到2011年的欧债危机，全球经历了十次以上破坏力大、持续时间久、影响面广的金融危机。每次危机中，总有一种特殊的投资群体活跃于证券市场，金融危机非但没有严重影响他们，他们反而通过金融衍生品和复杂的交易策略创造了利润。在国际大型投行和商业银行大量卖出有价证券的时候，这种特殊的投资群体却在悄悄的接盘。他们就像证券市场的润滑剂，在市场价格较高时卖出有价证券，在市场价格较低时又买回有价证券，这种交易行为间接缓冲了证券市场的剧烈波动，这种特殊的群体就是国际对冲基金。
经过多年的摸索与研究，2010年初，中国证监会正式开通了证券市场两项最重要的对冲工具-股指期货和融资融券交易，为中国发展对冲基金奠定了基础。近年来，国际对冲基金通过投资公司的组织形式逐步进入了中国金融市场，被称为中国本土对冲基金主力军的阳光私募也不断壮大起来。然而，在没有任何实践经验和风险可控的情况下，如何发展对冲基金是摆在中国监管层面前的一个重要课题。
美国华尔街是主导当今全球金融市场的核心力量，其财富管理行业规模全球第一，其金融工程行业也是全球金融产品创新的领头羊。美国金融界信奉金融自由理念，没有货币管制为其金融市场提供了最大的资金基础，使其金融市场交投最为活跃，吸引了全球各大投资者机构参与投资。2010年，除去国家主权财富基金和ETF，全球财富管理行业总规模约83.6万亿美元，美国占比45%。全球对冲基金占总投资额2.1%，美国对冲基金占比68%①。所以，美国是全球财富管理规模最大的国家，全球多数对冲基金汇聚于美国。本文将借鉴美国的经验，分析美国对冲基金的收益、风险与监管，结合中国对冲基金当前的发展，研究对冲基金对证券市场中A股市场的影响性。由于中国只有融资融券和股指期货两种对冲工具，而分别使用这两种对冲策略的对冲基金通常为多空权益型和指数期货型，所以本文将拟合这两种对冲工具的实证数据模型，检验中国多空权益型对冲基金和指数期货型对冲基金对A股的影响性。目的是为市场参与主体理解发展对冲基金的价值和意义。也可以在一定程度上解决监管层对发展对冲基金的顾虑，使监管机构客观理解对冲基金对中国财富管理行业与证券市场的积极作用。同时，也为监管机构应对发展对冲基金和金融衍生品所需要进行的一系列改革提出建议。
本文通过拟合VAR模型和VEC模型检验融资融券对A股市场的影响性，并利用Granger因果检验、脉冲响应函数和方差分解检验了融资融券与市场的关系。同时，本文通过建立ARCH模型、GARCH模型及其扩展模型检验了股指期货对A股市场的影响性和信息非对称性冲击。本文认为以两种对冲工具为代表的对冲基金策略并不是导致市场异常波动的因素，反而起到了缓和市场波动的作用。所以，应当进一步放开管制，发展这两项业务，尤其是融资融券业务。应当在现有允许卖空的蓝筹股的基础上，逐步放开中小板和创业板标的卖空资格，使A股所有的企业都可以参与融资融券业务，这样，可以通过市场的力量剔除滥竽充数的垃圾企业，保护投资者利益。同时，在时机成熟时，监管层应当进一步开通期权和掉期等业务，从而进一步完善市场多样化的交易体系。最后，逐步引入国际优秀的对冲基金进入中国市场参与竞争，不但可以进一步提升中国基金行业的国际竞争力，而且可以引导中国影子银行的资金流进入证券市场，从而使证券市场更对称的发挥其投融资平台功能，实现中国财富管理行业的大发展。
From the1637Tulip mania to the2011European debt crisis, there have been more than tentimes of global financial crisis. In every crisis, there are always special investment entities involvedin security market. Financial crisis have few shock on them, they make great profits by usingfinancial derivatives and complicated strategies. They are more like lubricant in financial market,because they sell when assets are overvalued, and buy when assets are undervalued. These specialinvestment entities are hedge funds.
Early2010, China opened stock index futures and margin trading, which are considered as themost important hedging instruments of securities market, the opening laid the foundation fordeveloping hedge funds industry in China. More and more global hedge funds and foreigninvestment companies are entering the Chinese market by different ways, and private securitiesfunds which are regarded as Chinese hedge funds are also growing up. But the problem is faced byregulators that how China develops hedge funds industry without experience.
U.S. asset management industry is the biggest in the world. Its financial engineering industry isalso the leader of global financial innovation. U.S. financial sectors believe in the principle offinancial freedom, non-monetary controls provide foundation of the largest capital for U.S. financialmarket, in2010, the total size of global asset management industry is$83.6trillion withoutsovereign wealth fund and ETF, the U.S. accounted for45%. Global hedge funds is2.1%out of$83.6trillion, U.S. accounted for68%. Therefore, the United States is the largest country of theglobal wealth management, most hedge funds around the world gathered in the United States. Thispaper will analyze U.S. hedge funds return、risk、regulation, as well as China’ s hedge funds, inorder to test hedge funds’ shock on A stock market. Because China currently opened margin tradingand index futures, which are mainly used by the L/S equity strategy and index future strategy,therefore, this paper will fit time series of these two hedge tools to empirical model, so as to testshock effect on A stock market of the L/S hedge funds and the index future hedge funds. Thepurpose of study is for reader to understand value and significance of developing hedge funds, thepaper’s result could make regulators to understand hedge funds are positive for China’s assetmanagement industry and security market. At the same time, this paper will give suggestions forregulator how to develop hedge funds and financial derivatives.
This paper will test the shock effect on A stock market of margin trading by fitting of VAR andVEC model, and examine its relationship with market by using Granger causality test、impulseresponse function and variance decomposition. Also, I will examine the volatility of the stock indexfutures through the establishment of the ARCH model、GARCH model and its extended model.
This paper argues that the L/S equity hedge funds and the index future hedge funds withhedging instruments do not cause the unusual fluctuations in the market, but ease market volatility.Therefore, government should gradually deregulate the eligibility of short-selling for small boardand GEM on the basis of short-selling of blue-ship stocks, and make all A shares companiesinvolved in margin trading business. This can delist those poor performed companies by marketforce, so that protect the interests of investors. Furthermore, government should gradually introduceU.S. hedge funds entering into Chinese market to participate in the competition. This will not onlyenhance the competitiveness of China’s hedge fund industry, but also can lead the capital flows ofshadow banks into securities market, whose functions of investing and financing platform will bemore effective, so as to achieve big progress of China’s asset management industry.
经过多年的摸索与研究，2010年初，中国证监会正式开通了证券市场两项最重要的对冲工具-股指期货和融资融券交易，为中国发展对冲基金奠定了基础。近年来，国际对冲基金通过投资公司的组织形式逐步进入了中国金融市场，被称为中国本土对冲基金主力军的阳光私募也不断壮大起来。然而，在没有任何实践经验和风险可控的情况下，如何发展对冲基金是摆在中国监管层面前的一个重要课题。
美国华尔街是主导当今全球金融市场的核心力量，其财富管理行业规模全球第一，其金融工程行业也是全球金融产品创新的领头羊。美国金融界信奉金融自由理念，没有货币管制为其金融市场提供了最大的资金基础，使其金融市场交投最为活跃，吸引了全球各大投资者机构参与投资。2010年，除去国家主权财富基金和ETF，全球财富管理行业总规模约83.6万亿美元，美国占比45%。全球对冲基金占总投资额2.1%，美国对冲基金占比68%①。所以，美国是全球财富管理规模最大的国家，全球多数对冲基金汇聚于美国。本文将借鉴美国的经验，分析美国对冲基金的收益、风险与监管，结合中国对冲基金当前的发展，研究对冲基金对证券市场中A股市场的影响性。由于中国只有融资融券和股指期货两种对冲工具，而分别使用这两种对冲策略的对冲基金通常为多空权益型和指数期货型，所以本文将拟合这两种对冲工具的实证数据模型，检验中国多空权益型对冲基金和指数期货型对冲基金对A股的影响性。目的是为市场参与主体理解发展对冲基金的价值和意义。也可以在一定程度上解决监管层对发展对冲基金的顾虑，使监管机构客观理解对冲基金对中国财富管理行业与证券市场的积极作用。同时，也为监管机构应对发展对冲基金和金融衍生品所需要进行的一系列改革提出建议。
本文通过拟合VAR模型和VEC模型检验融资融券对A股市场的影响性，并利用Granger因果检验、脉冲响应函数和方差分解检验了融资融券与市场的关系。同时，本文通过建立ARCH模型、GARCH模型及其扩展模型检验了股指期货对A股市场的影响性和信息非对称性冲击。本文认为以两种对冲工具为代表的对冲基金策略并不是导致市场异常波动的因素，反而起到了缓和市场波动的作用。所以，应当进一步放开管制，发展这两项业务，尤其是融资融券业务。应当在现有允许卖空的蓝筹股的基础上，逐步放开中小板和创业板标的卖空资格，使A股所有的企业都可以参与融资融券业务，这样，可以通过市场的力量剔除滥竽充数的垃圾企业，保护投资者利益。同时，在时机成熟时，监管层应当进一步开通期权和掉期等业务，从而进一步完善市场多样化的交易体系。最后，逐步引入国际优秀的对冲基金进入中国市场参与竞争，不但可以进一步提升中国基金行业的国际竞争力，而且可以引导中国影子银行的资金流进入证券市场，从而使证券市场更对称的发挥其投融资平台功能，实现中国财富管理行业的大发展。
From the1637Tulip mania to the2011European debt crisis, there have been more than tentimes of global financial crisis. In every crisis, there are always special investment entities involvedin security market. Financial crisis have few shock on them, they make great profits by usingfinancial derivatives and complicated strategies. They are more like lubricant in financial market,because they sell when assets are overvalued, and buy when assets are undervalued. These specialinvestment entities are hedge funds.
Early2010, China opened stock index futures and margin trading, which are considered as themost important hedging instruments of securities market, the opening laid the foundation fordeveloping hedge funds industry in China. More and more global hedge funds and foreigninvestment companies are entering the Chinese market by different ways, and private securitiesfunds which are regarded as Chinese hedge funds are also growing up. But the problem is faced byregulators that how China develops hedge funds industry without experience.
U.S. asset management industry is the biggest in the world. Its financial engineering industry isalso the leader of global financial innovation. U.S. financial sectors believe in the principle offinancial freedom, non-monetary controls provide foundation of the largest capital for U.S. financialmarket, in2010, the total size of global asset management industry is$83.6trillion withoutsovereign wealth fund and ETF, the U.S. accounted for45%. Global hedge funds is2.1%out of$83.6trillion, U.S. accounted for68%. Therefore, the United States is the largest country of theglobal wealth management, most hedge funds around the world gathered in the United States. Thispaper will analyze U.S. hedge funds return、risk、regulation, as well as China’ s hedge funds, inorder to test hedge funds’ shock on A stock market. Because China currently opened margin tradingand index futures, which are mainly used by the L/S equity strategy and index future strategy,therefore, this paper will fit time series of these two hedge tools to empirical model, so as to testshock effect on A stock market of the L/S hedge funds and the index future hedge funds. Thepurpose of study is for reader to understand value and significance of developing hedge funds, thepaper’s result could make regulators to understand hedge funds are positive for China’s assetmanagement industry and security market. At the same time, this paper will give suggestions forregulator how to develop hedge funds and financial derivatives.
This paper will test the shock effect on A stock market of margin trading by fitting of VAR andVEC model, and examine its relationship with market by using Granger causality test、impulseresponse function and variance decomposition. Also, I will examine the volatility of the stock indexfutures through the establishment of the ARCH model、GARCH model and its extended model.
This paper argues that the L/S equity hedge funds and the index future hedge funds withhedging instruments do not cause the unusual fluctuations in the market, but ease market volatility.Therefore, government should gradually deregulate the eligibility of short-selling for small boardand GEM on the basis of short-selling of blue-ship stocks, and make all A shares companiesinvolved in margin trading business. This can delist those poor performed companies by marketforce, so that protect the interests of investors. Furthermore, government should gradually introduceU.S. hedge funds entering into Chinese market to participate in the competition. This will not onlyenhance the competitiveness of China’s hedge fund industry, but also can lead the capital flows ofshadow banks into securities market, whose functions of investing and financing platform will bemore effective, so as to achieve big progress of China’s asset management industry.
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