Research On Structural Characteristics And Risk Contagion In The Networks Of Equity Pledge

Equity pledge refers to the financing method in which the shareholders of a company pledged their equity holdings to the surplus party to obtain funds.Compared with bank loans with strict approval and slow process,equity pledge is not only convenient and low-cost,but also has no affection on shareholders' control and voting rights.The characteristics mentioned above lead to the rapid development of equity pledge in China.At the same time,however,the volatility of stock prices and the over-high proportion of shareholder pledges also make the risk of forced liquidation in the business continue to gather,and may even lead to systemic risks.Therefore,the research on equity pledge business and the risk contagion of forced liquidation is particularly important.This paper applies complex networks theory into the stock pledge repo business market,and the equity pledge network in this thesis was constructed based on the real stock pledged repo business data.After studying the topological characteristics of the equity pledge network,the nodes in the network and their socialist structure,the SIR model of the forced liquidation risk in the equity pledge network is constructed according to the actual situation of the equity pledge business.In this network simulation of forced liquidation risk contagion is carried out.First of all,this paper analyzes the stock pledge repo business in recent years and finds that the scale of stock pledged repo business is continuously expanding.The number of listed companies involved and the number of shareholders participating in it are also increasing,almost reaching out for every single stock.To the point.However,since the beginning of 2018,the prices of various stocks in China's A-share market have been falling,and the market value of stocks pledged at the high level of stock prices has been shrinking.If the stock price continues to fall,the pledged shareholders will face the dilemma of supplementing mortgage assets.Once the requirements for the guaranteed ratio in the pledge contract cannot be met,the stocks pledged by these shareholders are likely to be forced to liquidate,which will trigger a “share price crash”.Furthermore,the controlling shareholder of a listed company may even lose control of the share due to forced liquidation,triggering “control transfer risk”.With the superposition of various macroeconomic factors,the risk of future stock pledged repo business may threaten the stability of the entire stock market.Secondly,this paper takes the shareholders of the listed company,the securities company and its asset management company participating in the stock pledge repo business as nodes to build an equity pledge network.By studying the topology of the network,it is found that the connections of the nodes in the network are not close,and the density of the network is low,which is a typical sparse network.And the network has obvious scale-free nature,that is,there are a small number of nodes in the network with very large degrees,but nodes with large degrees are theoretically crucial to the stability of the network.Over time,the scale of the network has continued to expand,and the number of nodes and the number of edges in the network are growing rapidly.At the same time,the connectivity of the network is continuously enhanced,and the interaction between nodes is increasing.When a node in an important position in the network encounters a risk situation,it is easily transmitted to the entire network.Finally,considering that when the stock price falls,the shareholders of the listed company that pledged the equity may not be able to replenish the pledge assets in time,resulting in the shares they hold being forced to liquidate.The forced liquidation will further worsen the market environment and accelerate the decline of stocks,which may cause the shareholders who have not been affected to face the dilemma of supplementing the pledge,resulting in the spread of risks in the equity pledge network.Based on this risk contagion mechanism,this paper constructs a SIR model of forced liquidation risk in the equity pledge network.Based on the impact of different market shocks,simulate the contagious situation of forced liquidation risk in the 2017 equity pledge network.It is found that the infection of the forced liquidation risk in the network is conditional—when the stock price falls between 60% and 70%,the contagion effect of the forced liquidation risk in the equity pledge network is very obvious,while in other conditions there is no obvious contagious effect.