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  本文選題：融資融券交易　切入點：波動性　出處：《東北財經(jīng)大學(xué)》2013年碩士論文

【摘要】：我國股市自誕生以來,就一直缺乏針對單個股票的做空機(jī)制,因此,股價經(jīng)常大起大落,股市系統(tǒng)性風(fēng)險很大。2010年3月31日,融資融券交易正式運(yùn)行,這使中國股票市場擁有了針對單個股票的做空機(jī)制,降低了系統(tǒng)性風(fēng)險。引入融資融券業(yè)務(wù)對于完善我國資本市場有著十分重要的作用。融資融券業(yè)務(wù)為券商開創(chuàng)了一個新的業(yè)務(wù)領(lǐng)域,為投資者提供了嶄新的盈利模式,提高了市場的流動性,擴(kuò)大了市場上股票的供給和需求,增加了股票市場交易的頻率,給股票市場注入了新的動力。引入融資融券業(yè)務(wù)改變了我國股票市場長期以來一直是“單邊市”的局面,這種既可以買空又可以賣空的交易機(jī)制有利于充分發(fā)揮股票市場的功能,使市場存在一種價格穩(wěn)定機(jī)制,使股票價格不會大幅偏離其價值,一定程度上緩和了股票市場的波動,有利于價值投資理念的發(fā)展,將對股票市場的長期穩(wěn)定健康發(fā)展有積極地作用。 波動性和流動性是反映股票市場有效性的重要指標(biāo),低波動性且高流動性的市場的有效性顯然較高,這是各國股票市場所要努力達(dá)到的主要目標(biāo)。目前,融資融券業(yè)務(wù)的開戶數(shù)、交易額均在大幅上升,因此實證檢驗融資融券交易對股市波動性和流動性的影響具有重大的現(xiàn)實意義。在2010年1月31日之前,中國大陸地區(qū)還不存在融資融券業(yè)務(wù),很多學(xué)者是以和中國股票市場相關(guān)程度比較高的香港或臺灣市場為研究對象研究融資融券對股票市場的影響,從而猜測融資融券對中國股市的影響。因為香港或臺灣市場與大陸市場有明顯的區(qū)別,所以得出的研究結(jié)論未免有偏差。本文首先回顧了國內(nèi)外關(guān)于賣空機(jī)制的研究成果,然后運(yùn)用融資融券業(yè)務(wù)在中國開展之后所產(chǎn)生的數(shù)據(jù)進(jìn)行實證分析,從理論和實證的角度分析融資融券交易對市場流動性和波動性的影響。最后,本文針對研究結(jié)果,結(jié)合我國市場融資融券交易的整體環(huán)境,提出了自己的政策建議。
[Abstract]:Since the birth of China's stock market, there has been a lack of short-selling mechanism for individual stocks. As a result, stock prices often fluctuate and the stock market has a very high systemic risk. On March 31, 2010, margin trading officially went into operation.This enables the Chinese stock market to have a short-selling mechanism for individual stocks and reduces systemic risk.The introduction of margin trading plays an important role in perfecting China's capital market.Margin financing has opened up a new business area for securities dealers, provided investors with a new profit model, enhanced the liquidity of the market, expanded the supply and demand of stocks in the market, and increased the frequency of trading in the stock market.The stock market was given new impetus.The introduction of margin trading has changed the situation that the stock market in our country has been a "one-sided market" for a long time. This trading mechanism, which can not only buy short but also short sell, is conducive to giving full play to the function of the stock market.The existence of a price stabilization mechanism in the market will ensure that the stock price does not deviate substantially from its value, which to a certain extent alleviates the fluctuation of the stock market and is conducive to the development of the concept of value investment.Will have a positive effect on the long-term stable and healthy development of the stock market.Volatility and liquidity are important indicators to reflect the efficiency of stock market. The efficiency of low volatility and high liquidity market is obviously high, which is the main goal of stock market in many countries.At present, the number of open accounts and the turnover of margin trading are all rising significantly, so it is of great practical significance to empirically test the impact of margin trading on the volatility and liquidity of the stock market.Before January 31, 2010, there was no margin trading in mainland China. Many scholars studied the impact of margin lending on the stock market in Hong Kong or Taiwan, which has a relatively high degree of correlation with the Chinese stock market.So as to speculate the impact of margin lending on the Chinese stock market.Because the Hong Kong or Taiwan market is obviously different from the mainland market, the conclusion of the study is somewhat biased.This paper first reviews the research results of short selling mechanism at home and abroad, and then makes an empirical analysis by using the data generated after the development of margin and short selling business in China.The influence of margin trading on market liquidity and volatility is analyzed theoretically and empirically.Finally, according to the research results, combined with the overall environment of margin trading in China, this paper puts forward its own policy recommendations.
【學(xué)位授予單位】：東北財經(jīng)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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本文編號：1687901