本文關(guān)鍵詞：融資融券交易對我國股票市場的影響研究　出處：《華東師范大學(xué)》2013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 波動性 流動性

【摘要】：融資融券交易是海外證券市場普遍實(shí)施的一項(xiàng)成熟交易制度,我國于2010年3月31日開始試點(diǎn)該業(yè)務(wù),對于該業(yè)務(wù)會給證券市場帶來什么樣的影響,是加劇股市的波動,還是能平抑股價,對此問題學(xué)術(shù)界仍然存在爭議；此外,隨著融資融券業(yè)務(wù)的不斷發(fā)展,我國在2012年下半年和2013年年初開始進(jìn)行轉(zhuǎn)融資和轉(zhuǎn)融券業(yè)務(wù)試點(diǎn),該試點(diǎn)業(yè)務(wù)是否有助于解決目前融資融券業(yè)務(wù)中的問題,本文圍繞上述問題展開研究,試圖提出政策建議以進(jìn)一步完善我國融資融券業(yè)務(wù)的發(fā)展。 由于波動性和流動性是衡量股票市場最核心的指標(biāo),本文以股市的波動性和流動性為切入點(diǎn),首先將融資融券交易對股市波動性和流動性影響的相關(guān)文獻(xiàn)進(jìn)行整理,進(jìn)而探索出文本的研究思路和方法；其次,本文詳細(xì)介紹全球各主要市場及我國的融資融券交易模式、融資融券交易影響股票市場的作用機(jī)制及股市波動性和流動性的影響因素和衡量指標(biāo)；再次,本文以上海證券市場的日交易數(shù)據(jù)為依據(jù),通過向量自回歸和格蘭杰因果檢驗(yàn)的方法來實(shí)證檢驗(yàn)融資融券交易對股市波動性和流動性的影響；最后,結(jié)合實(shí)證結(jié)果和我國證券市場的實(shí)際情況,從轉(zhuǎn)融通機(jī)制、標(biāo)的證券的范圍、融券費(fèi)率及保證金比例方面提出相關(guān)建議。 根據(jù)上述理論分析和實(shí)證研究,本文得出以下結(jié)論： 融資融券交易能平抑股市價格的波動,起到一個價格穩(wěn)定器的作用,但目前該交易機(jī)制對證券市場的影響還比較弱；融資融券交易確實(shí)有助于提高市場的流動性,但其與股市流動性之間的關(guān)系不顯著。本文認(rèn)為造成上述情況的原因有三點(diǎn)：一是融資融券交易規(guī)模占比過��；二是融資買空與融券賣空發(fā)展不平衡,融券賣空交易規(guī)模太小；三是融資融券交易標(biāo)的證券數(shù)量太少。
[Abstract]:Margin trading is a mature trading system widely implemented in overseas securities markets. In March 31st 2010, China began to pilot the business, what kind of impact will the business bring to the securities market. Whether to increase the volatility of the stock market or to stabilize the stock price is still controversial in academic circles; In addition, with the continuous development of margin trading business, China began to transfer financing and securities trading pilot business in the second half of 2012 and early 2013. Whether the pilot business is helpful to solve the problems in the current margin and margin business, this paper focuses on the above issues and tries to put forward policy recommendations to further improve the development of short margin business in China. As volatility and liquidity are the core indicators to measure the stock market, this paper takes the volatility and liquidity of the stock market as the starting point. Firstly, the paper collates the relevant literatures about the influence of margin trading on the volatility and liquidity of stock market, and then explores the research ideas and methods of the text. Secondly, this paper introduces the main markets in the world and China's margin trading mode, the mechanism of margin trading affecting the stock market, the impact of volatility and liquidity of the stock market factors and measurement indicators; Thirdly, based on the daily trading data of Shanghai stock market, this paper empirically tests the impact of margin trading on the volatility and liquidity of the stock market by the methods of vector autoregression and Granger causality test. Finally, based on the empirical results and the actual situation of China's securities market, this paper puts forward some suggestions from the aspects of transfer mechanism, range of underlying securities, margin rate and margin ratio. Based on the above theoretical analysis and empirical research, this paper draws the following conclusions: Margin trading can stabilize the fluctuation of stock price and act as a price stabilizer, but the influence of this trading mechanism on securities market is weak. Margin trading does help to improve the liquidity of the market, but the relationship between margin trading and stock market liquidity is not significant. This paper believes that there are three reasons for the above situation: first, margin trading scale is too small; Second, the development of financing short selling and short selling of short securities is not balanced, the scale of short sale of short selling is too small; Third, margin trading securities trading target is too small.
【學(xué)位授予單位】：華東師范大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51

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