本文選題：融資融券交易　切入點(diǎn)：波動(dòng)性　出處：《東北財(cái)經(jīng)大學(xué)》2013年碩士論文

【摘要】：我國(guó)股市自誕生以來(lái),就一直缺乏針對(duì)單個(gè)股票的做空機(jī)制,因此,股價(jià)經(jīng)常大起大落,股市系統(tǒng)性風(fēng)險(xiǎn)很大。2010年3月31日,融資融券交易正式運(yùn)行,這使中國(guó)股票市場(chǎng)擁有了針對(duì)單個(gè)股票的做空機(jī)制,降低了系統(tǒng)性風(fēng)險(xiǎn)。引入融資融券業(yè)務(wù)對(duì)于完善我國(guó)資本市場(chǎng)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(gè)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(chǎng)的流動(dòng)性,擴(kuò)大了市場(chǎng)上股票的供給和需求,增加了股票市場(chǎng)交易的頻率,給股票市場(chǎng)注入了新的動(dòng)力。引入融資融券業(yè)務(wù)改變了我國(guó)股票市場(chǎng)長(zhǎng)期以來(lái)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(chǎng)的功能,使市場(chǎng)存在一種價(jià)格穩(wěn)定機(jī)制,使股票價(jià)格不會(huì)大幅偏離其價(jià)值,一定程度上緩和了股票市場(chǎng)的波動(dòng),有利于價(jià)值投資理念的發(fā)展,將對(duì)股票市場(chǎng)的長(zhǎng)期穩(wěn)定健康發(fā)展有積極地作用。 波動(dòng)性和流動(dòng)性是反映股票市場(chǎng)有效性的重要指標(biāo),低波動(dòng)性且高流動(dòng)性的市場(chǎng)的有效性顯然較高,這是各國(guó)股票市場(chǎng)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(shí)證檢驗(yàn)融資融券交易對(duì)股市波動(dòng)性和流動(dòng)性的影響具有重大的現(xiàn)實(shí)意義。在2010年1月31日之前,中國(guó)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(guó)股票市場(chǎng)相關(guān)程度比較高的香港或臺(tái)灣市場(chǎng)為研究對(duì)象研究融資融券對(duì)股票市場(chǎng)的影響,從而猜測(cè)融資融券對(duì)中國(guó)股市的影響。因?yàn)橄愀刍蚺_(tái)灣市場(chǎng)與大陸市場(chǎng)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(guó)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(guó)開展之后所產(chǎn)生的數(shù)據(jù)進(jìn)行實(shí)證分析,從理論和實(shí)證的角度分析融資融券交易對(duì)市場(chǎng)流動(dòng)性和波動(dòng)性的影響。最后,本文針對(duì)研究結(jié)果,結(jié)合我國(guó)市場(chǎng)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(cái)經(jīng)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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本文編號(hào)：1687901