刘珺：为什么情绪在中国市场上有这么大的影响？

时间:2019年08月21日　作者：　

目前流动性是金融市场上让众人关注的一个问题。今年5月24日央行接管包商银行的事件也都出人意料地将隔夜拆解利率推高了几十个基点，二级和三级银行发行可转让存单也几近停顿。

这种极端反应有多种解释。

第一个可能原因是宏观经济流动性的供应量下降到了可行的最低水平以下。但根据中国人民银行发布的有关实体经济融资总额数据显示，中国年增长率为两位数，足以支撑GDP同比增长。

第二个可能原因是市场流动性崩溃是通过银行间供求关系的重大变化产生的。但是，银行间供求关系并没有发生重大的破坏。当大银行打开水龙头时，小银行就充满了流动性。而尽管年轻投资者的行为发生了转变，但是大多数个人储蓄最终还是会流向大银行。

第三个解释可能最为有力。主要关注于心理流动性的变化，与市场参与者对从实际供需动态到市场恐慌的羊群效应等因素的感知有关。投资者往往对于诸如包商银行的负面事件反应过度，随后的心理流动性冻结可能导致市场出现真实的流动性紧缩。

所有的发达经济体都表现出这三个流动性维度。但在中国，心理因素的影响是巨大的，其根本原因在于我国的间接融资体制。

商业银行决定流动性是紧缩的还是宽松的，拥有大量国有股权的商业股东也拥有与商业银行类似的组合，经营模式和风险偏好也很相似。系统的同质性导致平行的市场行为。没有反补贴力量的情况下，负面事件很容易被过度解释。

因此，要解决流动性挑战，中国金融体系的重组势在必行。首先要促进股票和债务市场融资，还需要发展多层次资本市场，满足公司在其生命周期各个阶段的融资要求。此外，市场参与者需要充分多样化。

作者 | 刘珺，IMI学术委员、中国投资有限责任公司副总经理

英文原文如下：

Why Sentiment Wields an Outsized Influence in China’s Markets?

Liu Jun, Member of IMI Academic Committee, Vice President, China Investment Corporation

Everyone is talking about liquidity. From the stock market crash in the last quarter of 2018, to the recent turmoil triggered by the freezing of redemptions on a fund run by Neil Woodford, a star UK stock picker, investors are worrying about the risks of not getting their money back.

Similar fears are testing nerves in China’s interbank market, the main financing platform for financial institutions. The event that sparked panic was the announcement on May24 that the People’s Bank of China was seizing Baoshang Bank, an Inner Mongolia-based lender, amid credit risk concerns.

The idiosyncratic problems faced by a little-known regional bank unexpectedly drove the overnight lending rate up by dozens of basis points, and the issuance of negotiable certificates of deposit — short-term liquid debt instruments — by second and third-tier banks came to a near halt.

The incident harks back to the liquidity shock of June 5 2013, when social media spread misleading information about a lending dispute between two banks.

Panic followed a relatively normal late-payment transaction and the term qianhuang, or “money famine”, was coined. The ensuing liquidity crunch lasted more than three months and pushed up the overnight rate to apeak of more than 10 per cent.

There are multiple possible explanations forsuch an extreme reaction.

The first plausible cause would be if the supply of macroeconomic liquidity had fallen below a viable minimum. But this was not the case: PBoC data on the Aggregate Financing to the Real Economy — the volume of funds provided to the private sector by China’s domestic financial system — show annual growth rates in double digits. Though the rate has fallen from a high of about 50 per cent in 2004 to a low of 11.2 per cent in 2019 it is still ample to support GDP year-on-year growth — which declined to 6.2 per cent in the second quarter of this year, according to figures released on Monday.

A second possible explanation might be a collapse of market liquidity via a significant change in the interbank supply-demand relationship a market that represents the overwhelming majority of the institutional financing activities. Yet here, too, there has been no significant disruption. The dominant suppliers of liquidity are the commercial banks. In particular China’s Big Four — Bank of China, China Construction Bank, Agricultural Bank of China and Industrial and Commercial Bank of China — use their vast branch networks to suck up huge supplies of customer deposits.

On the receiving side are hundreds of banks: joint-stock lenders city commercial and rural commercial banks and co-operatives. As the big banks turn on the tap the smaller ones are flooded with liquidity. And most individual savings still end up with the big banks, despite a behavioural shift among younger investors.

But the third explanation is potentially the most powerful. This centres on changes in what might be termed psychological liquidity and relates to market participants perception of factors ranging from the real supply-demand dynamic to the herd effect of market panic. Investors often overreact to negative events such as the Baoshang case — the subsequent psychological liquidity freeze can thus lead to a very real liquidity squeeze in the marketplace.

All developed economies exhibit these three dimensions of liquidity. But in China, the psychological element exerts outsized influence. The root cause lies in China’s system of indirect financing.

Total bank assets amount to about Rmb270tn ($39tn) compared with just Rmb30tn ($4.4tn) for other financial institutions, according to the latest data. The commercial banks clearly determine whether liquidity is tight, neutral or loose. Given that they share the same business mix and have a similar blend of commercial shareholders with substantial state-owned stakes, their operating models and risk appetites are similar too. The systemic homogeneity naturally leads to parallel market behaviours — as dominant operators in the market, with no countervailing forces, it is easy to see how negative events can be over-interpreted.

A restructuring of China’s financial system is imperative if its liquidity challenges are to be addressed. First, market financing facilities in equity and debt should be promoted in order to wean the economy off an overdependence on bank lending. A second natural priority should be the development of a multi-layered capital market to satisfy the various financing needs of companies at various stages in their life-cycles.

Until then, market participants need to be well diversified to avoid the one-way lurches that result from the current structure of financing.

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