發(fā)布時(shí)間：2018-06-22 10:04

  本文選題：賣空機(jī)制 + 波動(dòng)性�。� 參考：《華僑大學(xué)》2013年碩士論文

【摘要】：西方國(guó)家的賣空機(jī)制幾乎是隨著其證券市場(chǎng)的產(chǎn)生而產(chǎn)生的，自從賣空機(jī)制出現(xiàn)后，國(guó)內(nèi)外學(xué)者就對(duì)其進(jìn)行了大量的研究，但是得到的結(jié)果卻不盡相同：有人認(rèn)為賣空機(jī)制會(huì)加劇市場(chǎng)波動(dòng)；有人認(rèn)為賣空機(jī)制不僅不會(huì)加劇波動(dòng)反而會(huì)降低市場(chǎng)波動(dòng)。而我國(guó)證券市場(chǎng)二十多年以來都是只能做多的單邊局面，隨著我國(guó)證券市場(chǎng)的快速發(fā)展和人們對(duì)投資多樣化的需求，賣空機(jī)制成了我國(guó)證券市場(chǎng)發(fā)展的必然要求。2010年3月、4月，我國(guó)先后推出了融資融券業(yè)務(wù)試點(diǎn)和滬深300股指期貨，意味著我國(guó)從此有了賣空機(jī)制。本文第一部分運(yùn)用兩種不同的實(shí)證分析方法，分別探討了賣空機(jī)制對(duì)我國(guó)股票市場(chǎng)波動(dòng)性的影響。一種方法是協(xié)整和Granger因果檢驗(yàn)，結(jié)果發(fā)現(xiàn)賣空機(jī)制的推出，既不會(huì)加劇市場(chǎng)的波動(dòng)性，也不會(huì)降低市場(chǎng)波動(dòng)性；另一種是用EGARCH模型進(jìn)行分析，結(jié)果顯示賣空機(jī)制的推出會(huì)減少市場(chǎng)的波動(dòng)性，起到平穩(wěn)市場(chǎng)的作用。 本文第二部分研究我國(guó)賣空機(jī)制推出后能為投資者帶來的新的套利策略，根據(jù)存在套利機(jī)會(huì)的三種情況，具體介紹了三種套利策略。第一個(gè)是基于高度相關(guān)的兩只股票之間的成對(duì)交易套利。當(dāng)兩只股票價(jià)格發(fā)生大的偏離，通過融券借入高估的股票，在證券市場(chǎng)賣掉，買入被低估的證券，在兩只股票關(guān)系回歸均衡后，進(jìn)行反向交易，歸還融券股票，從而賺取利差。第二個(gè)是通過ETF基金和一籃子股票之間進(jìn)行套利。當(dāng)基金的凈值和市值發(fā)生偏離時(shí)，一是凈值大于市值，融券借入ETF基金，轉(zhuǎn)化成一籃子股票賣掉，等兩個(gè)價(jià)格平衡后，進(jìn)行平倉，賺取價(jià)差；二是凈值小于市值，融券借入一籃子股票申購(gòu)ETF基金，等價(jià)格平衡后，進(jìn)行平倉，賺取價(jià)差。第三個(gè)是利用我國(guó)目前唯一的金融期貨滬深300股指期貨進(jìn)行期現(xiàn)套利，通過指數(shù)現(xiàn)貨判斷股指期貨的不合理定價(jià)，進(jìn)行套利，，賺取價(jià)差。
[Abstract]:The short selling mechanism of the western countries almost comes into being with the emergence of its securities market. Since the emergence of the short selling mechanism, scholars at home and abroad have carried out a lot of research on it. But the results are not the same: some argue that short selling increases volatility, while others argue that short selling will reduce volatility rather than increase volatility. However, for more than 20 years, China's securities market has been only a long unilateral situation. With the rapid development of China's securities market and people's demand for diversification of investment, short selling mechanism has become an inevitable requirement for the development of China's securities market. In March, April, 2010, the short selling mechanism has become an inevitable requirement for the development of China's securities market. Our country successively launched the financing and short margin business pilot and the Shanghai and Shenzhen 300 stock index futures, which means that our country has a short selling mechanism from now on. The first part of this paper uses two different empirical analysis methods to explore the impact of short selling mechanism on the volatility of Chinese stock market. One method is cointegration and Granger causality test, and the results show that the introduction of short selling mechanism neither increases the volatility of the market nor reduces the volatility of the market; the other is analyzed with EGARCH model. The results show that the introduction of short-selling mechanism will reduce market volatility and play a stable role in the market. The second part of this paper studies the new arbitrage strategies that can be brought to investors after the introduction of short selling mechanism in China. According to the three situations where arbitrage opportunities exist, three arbitrage strategies are introduced in detail. The first is based on a pair of arbitrage between two highly correlated stocks. When the price of two stocks deviates greatly, they borrow overvalued stocks through short securities, sell them in the securities market, buy undervalued securities, reverse trade after the return of the relationship between the two stocks, and return the stocks to the margin, thus earning the spread. The second is arbitrage between ETF funds and a basket of stocks. When the net value of the fund deviates from the market value, one is that the net value is greater than the market value, the margin borrows the fund, converts into a basket of stocks to be sold, and after the two prices are balanced, the fund is liquidated to earn the spread of the price; the second is that the net value is less than market value, the second is that the net value is less than market value, Margin borrowed a basket of stocks to purchase ETF funds, and so on price balance, to clear positions, to earn spread. The third is to arbitrage the stock index futures in Shanghai and Shenzhen 300, which is the only financial futures in our country at present, to judge the unreasonable pricing of stock index futures by index spot, carry on arbitrage to earn the spread of the price.
【學(xué)位授予單位】：華僑大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51

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