本文關(guān)鍵詞： 融資融券 流動(dòng)性 波動(dòng)性 股票市場(chǎng) 實(shí)證檢驗(yàn)　出處：《華東師范大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：2010年3月31日,融資融券正式亮相于我國(guó)證券市場(chǎng),學(xué)術(shù)界對(duì)于它能否有效提高我國(guó)股市運(yùn)行機(jī)制仍然存在著爭(zhēng)議。值此融資融券推出近兩年的契機(jī),本文利用上海證券市場(chǎng)的經(jīng)驗(yàn)數(shù)據(jù),研究融資融券交易推出后對(duì)我國(guó)股票市場(chǎng)究竟產(chǎn)生了怎樣的影響。 考慮到衡量股票市場(chǎng)表現(xiàn)的兩個(gè)最核心指標(biāo)是波動(dòng)性及流動(dòng)性,因此本文以股票市場(chǎng)的波動(dòng)性和流動(dòng)性屬性為切入點(diǎn),首先對(duì)股市波動(dòng)性、流動(dòng)性以及融資融券的相關(guān)文獻(xiàn)進(jìn)行整理分析,進(jìn)而探索出本文在此問(wèn)題上可進(jìn)一步研究的方向和思路；其次,本文詳細(xì)分析了融資融券的投資特點(diǎn)、交易模式,以及流動(dòng)性、波動(dòng)性的影響因素和測(cè)量指標(biāo),這為后面的實(shí)證部分鋪墊了度量基礎(chǔ)；然后,通過(guò)介紹融資融券影響股市波動(dòng)性和流動(dòng)性的傳導(dǎo)機(jī)制這一理論基礎(chǔ)上,實(shí)證研究融資融券對(duì)我國(guó)股市波動(dòng)性和流動(dòng)性的影響。本文采用對(duì)比分析、VAR回歸計(jì)量、統(tǒng)計(jì)檢驗(yàn)等多種定量手段檢驗(yàn)融資融券與股市波動(dòng)性和流動(dòng)性之間的變動(dòng)關(guān)系,以及融資融券對(duì)于市場(chǎng)波動(dòng)性和流動(dòng)性的具體影響方向。最后,結(jié)合實(shí)證結(jié)果與我國(guó)股票市場(chǎng)的實(shí)際情況,本文從推行市場(chǎng)化、證券監(jiān)管、投資者、證券公司等幾個(gè)不同角度提出了融資融券發(fā)展的相關(guān)建議。 根據(jù)上述這一系列的理論分析和實(shí)證研究,本文最終得出了以下幾點(diǎn)結(jié)論： (1)融資融券交易是我國(guó)股市波動(dòng)性變化的顯著原因,它能在一定程度上降低股市的波動(dòng)性,這與本文的假設(shè)一致。但值得注意的是脈沖響應(yīng)函數(shù)顯示融資融券降低股市波動(dòng)性的效應(yīng)不是立刻凸顯的,股市波動(dòng)性在初始階段先是上升而后才開(kāi)始慢慢下降,并在最后的市場(chǎng)操作階段有一個(gè)最大幅度的降低。另外,融資融券與股市波動(dòng)性之間只存在單向的因果關(guān)系,股市波動(dòng)性并不是融資融券的顯著原因,這一結(jié)果與我國(guó)股票市場(chǎng)的特殊情況有關(guān)。我國(guó)金融市場(chǎng)波動(dòng)過(guò)于頻繁,導(dǎo)致融資融券交易者投資比較謹(jǐn)慎。 (2)融資融券與股市流動(dòng)性之間的因果關(guān)系不顯著。通過(guò)分析融資融券在我國(guó)的這兩年交易情況,發(fā)現(xiàn)融資融券交易額相對(duì)于整個(gè)市場(chǎng)的交易額較小,融券業(yè)務(wù)的發(fā)展受限,導(dǎo)致其對(duì)市場(chǎng)流動(dòng)性的影響力度被削弱了。
[Abstract]:On March 31 , 2010 , the financing bills appeared in China ' s securities market , and the academic circle still has a dispute about whether it can effectively improve the running mechanism of China ' s stock market . Considering that the two most core indexes of stock market performance are volatility and liquidity , this paper analyzes the volatility and liquidity of the stock market by analyzing the volatility and liquidity of the stock market , and then explores the influence factors and measures of the financing bills on the volatility and liquidity of the stock market . Based on the above - mentioned series of theoretical analysis and empirical research , this paper concludes with the following conclusions : ( 1 ) The financing margin trading is the main reason for the fluctuation of stock market volatility in our country . It can reduce the volatility of stock market to some extent , which is consistent with the assumption of this paper . But it is worth noting that impulse response function shows that the effect of reducing the volatility of stock market is not immediately obvious , and the volatility of stock market is not the obvious reason of financing bills . ( 2 ) The causal relationship between the financing bonds and the stock market liquidity is not significant . Through analyzing the two - year transaction of the financing bonds in our country , it is found that the transaction amount of the financing bonds is relatively small relative to the transaction amount of the whole market , and the development of the margin financing business is limited , which leads to the weakening of the influence on the market liquidity .

【學(xué)位授予單位】：華東師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

【引證文獻(xiàn)】

相關(guān)碩士學(xué)位論文 前1條

1 林源;融資融券交易對(duì)我國(guó)股票市場(chǎng)的影響研究[D];華東師范大學(xué);2013年

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本文編號(hào)：1458296