融资融券存在的马太效应分析——基于券商的视角.doc

1、 毕业论文外文资料翻译 题 目 融资融券存在的马太效应分析 基于券商的视角 学 院 经济学院 专 业 金融学 班 级 金融 1003 学 生 学 号 指导教师 二一三 年 四 月 十九 日济南大学毕业论文外文资料翻译 1 Jena Economic Research Papers ,2012 - 058 Margin Trading Bans in Experimental Asset Markets Woolridge Abstract In financial markets, professional traders leverage their trades because it al

2、lows to trade larger positions with less margin. Violating margin requirements, however, triggers a margin call and open positions are automatically covered until requirements are met again. What impact does margin trading have on the price process and on liquidity in financial asset markets? Since

3、empirical evidence is mixed, we consider this question using experimental asset markets. Starting from an empirically relevant situation where margin purchasing and short selling is permitted, we ban margin purchases and/or short sales using a 2x2 factorial design to a allow for a comparative static

4、 analysis. Our results indicate that a ban on margin purchases fosters efficient pricing by narrowing price deviations from fundamental value accompanied with lower volatility and a smaller bid-ask-spread. A ban on short sales, however, tends to distort efficient pricing by widening price deviations

5、 accompanied with higher volatility and a large spread. Keywords: margin trading, Asset Market, Price Bubble, Experimental Finance 济南大学毕业论文外文资料翻译 2 1. Introduction However, regulators can only have a positive impact on the life-cycle of a bubble, if they know how institutional changes affect prices

6、in financial markets. Note that regulation is a double-edged sword since decision errors may lead from bad to worse. Given the systemic risk posed by speculative bubbles and their long history, it may be surprising how little attention bubbles have received in the literature and how little understoo

7、d they are. This ignorance is partly due to the complex psychological nature of speculative bubbles but also due to the fact that the conventional financial economic theory has ignored the existence of bubbles for a long-time. But even if theories on bubble cycles have empirical relevance, it is cle

8、ar that the issues surrounding the formation and the bursting of bubbles cannot be analyzed with pencil and paper. Conclusions on bubble cycles must be backed with quantitative data analysis. Given the limited number of observed empirical market crashes and their non-recurring nature, an experimenta

9、l analysis of bubble formation involving controlled and replicable laboratory conditions seems to be a promising way to proceed. The paper is organized as follows. Section II reviews the related literature, Section 0 presents the details of the experimental design and section IV reports the data ana

10、lysis. In section V, we summarize our findings and provide concluding remarks. 2. Leverage in asset markets Do margin requirements have any effects on market prices? Fisher (1933) and also Snyder (1930) mentioned the importance of margin debt in generating price bubbles when analyzing the Great Cras

11、h of 1929. The ability to leverage purchases lead to a higher 济南大学毕业论文外文资料翻译 3 demand, ending up in inflated prices. The subsequently appreciated collateral allowed to leverage purchases even more. This upward price spiral was fueled by an expansion of debt. From the end of 1924, brokers loans rose

12、four and one-half times (by $6.5 billion) and in the final phase broker s borrowings rose at more than 100% a year until the bubble crashed. Then, after the peak of the bubble, a debt spiral was initiated. Investors lost trust and started to sell assets. Excess supply deflated prices resulting in a

13、depreciation of collateral. Triggered margin calls lead to forced asset sales pushing supply even further. An increase in defaults on debt, and short sales exacerbated supply and finally assets were being sold at fire sale prices. It only took 6 weeks to extinguish half of the total of brokers credi

14、t. Finally, in 1934, the U.S. Congress established federal margin authority to prevent unjustifiable increases or decreases in stock demand since margin requirements can prevent dramatic price fluctuations by limiting leveraged trades on both sides of the stock market: extremely optimistic margin pu

15、rchasers and extremely pessimistic short sellers.Recent experimental evidence suggests short sale constraints to increase prices. Ackert et al. (2006)and Haruvy and Noussair (2006) find prices to deflate even below fundamental value in the latter study while King, Smith, Williams, and Van Boening (1

16、993) find no effect. In a setting with information asymmetries, Fellner and Theissen (2006) find higher prices with short sale constraints but not depending on the divergence of opinion as predicted by Miller (1977). In a setting with smart money traders, Bhojraj, Bloomfield, and Tayler (2009) repor

17、t short selling to exacerbate overpricing, even though it reduces equilibrium price levels. Hauser and Huber (2012) find short selling constraints with two dependent assets to distort price levels. Our design deviates from the previous studies in several but one important way: We use a more empirica

18、lly relevant facility in that traders have to provide collateral facing the threat of margin calls. 济南大学毕业论文外文资料翻译 4 3. Implementing Margin Purchasing and Short Selling We conducted four computerized treatments utilizing a 2x2 factorial design as displayed in Table II. Starting from an empirically r

19、elevant situation where margin purchases Traders execute margin purchases when they purchase shares by using loan, collateralized with shareholdings evaluated at the current market value.11 In this case, traders make a bull market bet, i.e. they borrow cash to buy shares, wait for the price to rise

20、and sell them with a profit. However, a decline in prices depreciates collateral while keeping loan constant. When prices fall below a certain threshold, such that the loan exceeds the value of the shareholdings (i.e. debt equity), a margin call is triggered. Immediately, i) the trader s buttons are

21、 disabled, ii) outstanding orders are cancelled, and iii) the computer starts selling shares at the current market price until margin requirements are met again or until all shares have been sold.12 Traders execute short sales when they sell shares without holding them in their inventory, collateral

22、ized with sufficient cash at hand.13 In this case, traders make a bear market bet, i.e. they borrow shares to sell them in the market, wait for the price to decline, buy them back with a profit and return them. Note that the amount of debt equals the total amount the trader has to pay to buy back th

23、e outstanding shares. Thus, an increase in prices increases debt and reduces collateral (cash minus value of outstanding shares), simultaneously. When prices exceed a certain threshold, such that the amount to buy back outstanding shares exceeds collateral (i.e. debt equity), a margin call is trigge

24、red. Immediately, i)the trader s buttons are disabled, ii) outstanding orders are cancelled, and iii) the computer starts buying shares at the current market price until margin requirements are met again or until all short positions have been covered. Note that short sellers have to pay dividends fo

25、r their short positions at the end of each period.14 After period 15, both long and short positions are worthless.15 In any case, a margin call can lead to bankruptcy. However, the consequences of a margin call hold even during bankruptcy, i.e. outstanding positions continuously being closed althoug

26、h subjects are bankrupt. This is different to any other asset market experiment considering leverage 济南大学毕业论文外文资料翻译 5 4. Margin traders tend to make less money than others By leveraging purchases and sales, traders take more risks to be able to make more money. But do margin traders make more money

27、at all? To evaluate this question, we classify traders into types, i.e. margin traders, who trade on margin at least once, and others. Table X shows the average end- of round-earnings within types for each treatment along with the number of subjects. The spearman rank correlation between type and en

28、d of round earnings is negative in both rounds and in all three treatments. The coefficient is significantly different from zero only in MP|NoSS and NoMP|SS when subjects are once experienced . Subjects, who executed both margin purchases and short sales in MP|SS earned less than subjects who refrai

29、ned from trading on margin. This is significant only for inexperienced subjects . One final note on the distribution of earnings. Comparing the treatments by evaluating the dispersion of earnings using the coefficient of variation , we find that the average CV in the NoMP|NoSS is lower than any othe

30、r treatment Although not statistically significant, the results indicate that it is less risky to participate in markets with margin bans than in the markets where margin trading is permitted. 济南大学毕业论文外文资料翻译 6 5. Conclusion In an attempt to halt the decline in asset values, recent regulatory measure

31、s temporarily banned short sales in financial markets. To assess the impact of banning leveraged trading on market mispricing is a complicated task when being reliant on data from real world exchanges only. it is unclear if possible price increases following a ban on short sales would come from new

32、long positions or from covered short positions, and the announcement of such measures affects an uncontrolled reaction of the market. Owed to the uncontrolled uncertainties in the real world, asset mispricing can be measured only with weak confidence. In comparison to other experimental studies wher

33、e limits to margin debt and short sales are rare, our design involves margin requirements comparable to the real world. Highly levered investors face margin calls that lead to forced liquidation of positions, affecting a reinforcement of the swings of the market. We have studied the impact of levera

34、ge on individual portfolio decisions to find an increase in risk taking characterized by higher concentrations of risky assets eventually resulting in individual bankruptcies. Thus, our experimental results are in line with theories of margin trading by Irvine Fischer (1933) and by recent heterogene

35、ous agents models (Geanakoplos 2009) which conjecture such effects on asset pricing and portfolio decisions. As in any laboratory experiment, the results are restricted to the chosen parameters. The baseline Smith et al. (1988) asset market design has been challenged in recent studies (e.g. Kirchler

36、 et al. 2011), arguing that some subjects are confused about the declining fundamental value and believe that prices keep a similar level in the course of time. So it would also be interesting to investigate the effects of bans Jena Economic Research Papers 2012 - 05826 of margin purchases and short

37、 sales, to see if our treatment effects can be repeated in an environment with non-decreasing fundamental values. However, recent experiments by Hauser and Huber (2012) show similar effects using multiple asset markets with a complex system of fundamental values but without margin calls. It would al

38、so be interesting to see how margin requirements change performance in multiple sset markets. We leave these open questions to future research. 济南大学毕业论文外文资料翻译 7 References Abreu, D., and M.K. Brunnermeier, 2003, Bubbles and crashes, Econometrica 71, 173204. Ackert, L., N. Charupat, B. Church and R.

39、Deaves, 2006, Margin, Short Selling, and Lotteries in Experimental Asset Markets, Southern Economic Journal 73, 419 436. Adrangi, B. and A. Chatrath, 1999, Margin Requirements and Futures Activity: Evidence from the Soybean and Corn Markets, Journal of Futures Markets, 19, 433-455. Alexander, G.J, a

40、nd M.A Peterson, 2008, The effect of price tests on trader behavior and market quality: An analysis of Reg SHO, Journal of Financial Markets 11, 84 111. Bai, Y., E.C Chang, and J. Wang, 2006, Asset prices under short-sale constraints, Mimeo. Beber, A., and M. Pagano, 2010, Short-Selling Bans around

41、the World: Evidence from the 2007-09 Crisis, Tinbergen Institute Discussion Papers TI 10-106 / DSF 1. Bernardo, A. and I. Welch, 2002, Financial market runs, NBER Working Papers 9251, National Bureau of Economic Research, Inc. Bhojraj, S., R.J Bloomfield, and W.B Tayler, 2009, Margin trading, overpr

42、icing, and synchronization risk, Review of Financial Studies 22, 2059 2085. Blau, B. M., B. F. Van Ness, R. A. Van Ness, 2009, Short Selling and the Weekend Effect for NYSE Securities, Financial Management 38 (No. 3). 603-630 Boehmer, E., Z.R Huszar, and B.D Jordan, 2010, The good news in short inte

43、rest, Journal of Financial Economic 96, 80 97. Boehme, R.D, B.R Danielsen, and S.M Sorescu, 2006, Short-sale constraints, differences of opinion, and overvaluation, Journal of Financial and Quantitative Analysis 41, 455487. 济南大学毕业论文外文资料翻译 8 Jena Economic Research Papers ,2012 - 058 融资融券 禁令在实验资产市场 伍尔

44、里奇 摘 要 在金融市场，因为专业 的 交易者杠杆交易允许 以 较少的保证金 进行 更大 的 交易。然而，违反保证金要求，保证金和持仓 最低 要求得 不 到满足 时，会造成很大 的影响 。 融资融券交易对价格产生过程以及对金融资产市场的流动性 的影响 从实证的 分析 是混合的，我们考虑这个问题，实验资产市场。从一个经验相关的情况下，融资融券是允许的，我们禁止保证金购买或卖空采用 22设计为允许一个比较静态分析。我们的研究结果表明，在边缘 上采购禁令促进有效的定价通过缩小价格偏离基本价值伴随着较低的波动性和较小的价差。禁止卖空，然而，往往通过扩大价格偏离伴随着较高的波动性和大变形有效定价。 关键

45、词 保证金 交易 ； 资产价格泡沫 ； 金融市场 ； 实验金融学 一、 介绍 然而，监管机构只能在气泡生命周期的一个积极的影响，如果他们知道制度变迁如何影响金融市场的价格。注意调节是一把双刃剑，因为决策失误可能导致更糟。由投机泡沫和悠久的历史所带来的系统性风险，它可能是令人惊讶的泡沫已经收到很少注意在文献和多么不理解他们。这种无知是由于投机泡沫的复杂的心 理自然也由于这样的事实，传统的金融经济学理论忽略了一个长期存在的泡沫。但即使在泡沫周期理论的实证的相关性，它是明确的，和周围的泡沫破裂的形成不能用铅笔和纸的问题进行了分析。对气泡周期的结论必须支持的和定量的数据分析。给出的经验观察到的市场崩溃

46、和非经常性的数量有限，气泡的形成涉及控制和复制的实验室条件下的实验分析似乎是一种很有前途的方法来进行。本文的组织如下。第二部分回顾了相关文献，第 0节提出的实验设计和第四节详细报告数据的分析。在第五节中，我们总结我们的研究结果提供的结论。 二、 在资产市场的杠杆 做保证金要求对 市场价格有什么影响？费舍尔（ 1933）和斯奈德（ 1930）在产生价格泡沫在分析 1929 大崩溃提到保证金负债的重要性。杠杆收购导致了更高的要求的能力，最终价格膨胀。随后欣赏允许杠杆购买更多的抵押。这价格螺旋上升的债务膨胀济南大学毕业论文外文资料翻译 9 了。从 1924 年底，经纪人贷款增长四倍半（ 650000

47、0000 美元），在最后阶段的经纪人的贷款增长超过 100%年直到泡沫崩溃。然后，泡沫的顶峰后，债务螺旋开始。投资者失去了信任，开始出售资产。供应过剩放气导致折旧抵押品的价格。触发的保证金要求，导致更进一步推动供应被迫出售资产。在债务违约的增加 ，和卖空加剧的供应和最后资产正在减价出售。它只花了 6 个星期的灭的经纪人信用总数的一半。最后，在 1934，美国国会成立了联邦利率的权力防止股票需求增加或减少由于不合理的保证金要求可以通过限制杠杆交易对股票市场双方防止价格大幅波动：非常乐观的边际购买者和极度悲观的卖空者。最近的实验证据表明卖空限制提高价格。供应过剩放气导致折旧抵押品的价格。触发的保证

48、金要求，导致更进一步推动供应被迫出售资产。在债务违约的增加，和卖空加剧的供应和最后资产正在减价出售。它只花了 6 个星期的灭的经纪人信用总数的一半。最后，在 1934，美 国国会成立了联邦利率的权力防止股票需求增加或减少由于不合理的保证金要求可以通过限制杠杆交易对股票市场双方防止价格大幅波动：非常乐观的边际购买者和极度悲观的卖空者。最近的实验证据表明卖空限制提高价格。阿克特等人。（ 2006）和（ 2006）发现 noussair 哈鲁维和通缩 甚至低于基本价值在后者的研究 而王，史密斯，威廉姆斯，和范 boening（ 1993）发现没有效果。在一个信息不对称的设置，费尔纳，泰森（ 2006）发现，较高的价格卖空限制而不是根据分歧意见作为预测的米勒（ 1977）。一个聪明的钱的商人， bhojraj，布卢姆菲尔德设置，和泰勒（ 2009）报告卖空加剧溢价，即使它降低了均衡价格水平。 Hauser 和胡贝尔（ 2012）发现与扭曲的价格水平两个相关资产卖空限制。我们的设计偏离在几个以前的研究的一个重要方式：但我们使用更多的经验相关设施，交易商提供保证金抵押要求面临的威胁。 三、 实施融资融券 我们进行了四次计算机处理采用 22 设计如表二显示。从一个经验相关的情况下，融资融券保证金购买交易执行时购买股票的贷款，抵押和持股在在这种情况下，当前的市场 v