本文關(guān)鍵詞：融資融券對我國股市波動性影響實證分析　出處：《蘭州商學(xué)院》2012年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 融資融券 股市波動性 實證分析

【摘要】：以“轉(zhuǎn)融通”機制運行的融資融券業(yè)務(wù)將改變我國股票市場單邊交易的不足，標志著我國做空機制的形成，是證券交易制度的重大改革，也是資本市場發(fā)展的一個里程碑。融資融券交易是典型的信用交易，具有明顯的的杠桿作用，不管是融資買多還是融券賣空，都能夠以小博大，且都將影響股票市場的供給和需求，進而對市場波動帶來影響。 本文采用實證研究、對比分析和定性分析相結(jié)合的研究方法，，通過對證券公司相關(guān)部門實地調(diào)研，在全面了解融資融券業(yè)務(wù)運行現(xiàn)狀的基礎(chǔ)上，實證研究選取上海和深圳兩市融資融券交易業(yè)務(wù)的總體數(shù)據(jù)，時間跨度為2010年3月至2011年10月，以包含融資融券試點股票的滬深300指數(shù)作為代表A股市場波動性的指數(shù)，采用VAR模型對滬深300指數(shù)的波動率、融資業(yè)務(wù)余額、融券業(yè)務(wù)余額三個時間序列數(shù)據(jù)進行實證分析，以此來說明賣空機制推出后融資交易、融券交易對我國股市波動性的實際影響。然后，在模型研究的基礎(chǔ)上，運用協(xié)整分析、格蘭杰因果關(guān)系及誤差沖擊檢驗，分析滬深300指數(shù)與融資、融券之間的相互關(guān)系，探討融資融券影響股市波動性的因素，并進一步通過這些因素來分析預(yù)測融資融券對股市整體發(fā)展及個股的投資可能產(chǎn)生的影響。最后，根據(jù)實證研究結(jié)果，對比分析國外成熟市場上的融資融券業(yè)務(wù)運作模式，對融資融券在我國未來的發(fā)展、轉(zhuǎn)融通機制的進一步完善提出了相應(yīng)的對策建議。
[Abstract]:In the "refinancing" mechanism of financing business will change the unilateral lack of trading in China's stock market, marking the formation of China's short mechanism, is a major reform of the securities trading system, a milepost is the development of the capital market. The margin trading is a typical credit transaction, has obvious leverage. Regardless of the financing to buy more or short sales, are able to deduct, and will affect the stock market supply and demand, and the impact on market volatility.
This paper uses empirical research, comparative analysis and qualitative analysis, through the relevant departments of the securities company on-the-spot investigation, based on a comprehensive understanding of the operation status of the margin trading business, the overall data for empirical research in Shanghai and Shenzhen city two margin trading business, the time span is from March 2010 to October 2011, to include the Margin pilot Shanghai and Shenzhen 300 stock index as a representative of A stock market volatility index, using the VAR model of the CSI 300 index volatility, financing balance, the balance of three securities time series data for empirical analysis, in order to explain the mechanism of short sales after the introduction of financing transactions, the actual effect of margin trading on Chinese stock market volatility. Then, on the basis of the model, using cointegration analysis, causality test and error Grainger impact analysis, Shanghai and Shenzhen 300 index and financing, The relationship between the margin of the margin, the influence factors of stock market volatility, and further through these factors to analyze and predict the impact of margin trading on the stock market investment and the overall development of stocks may be produced. Finally, according to the results of empirical research, comparative analysis of margin financing business operation mode of foreign mature markets, on the margin in the the future development of our country, this paper proposes corresponding countermeasures to further improve the refinancing mechanism.

【學(xué)位授予單位】：蘭州商學(xué)院
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F224;F832.51

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本文編號：1393871