發(fā)布時間：2018-05-11 12:44

  本文選題：融資融券 + 股票市場　； 參考：《安徽財經(jīng)大學》2012年碩士論文

【摘要】：2010年3月31日我國正式推出融資融券業(yè)務,該業(yè)務的推出徹底打破了我國股票市場只能買空而不能賣空的單邊格局。融資融券業(yè)務的推出不僅起到穩(wěn)定市場的作用,還將為券商帶來重大發(fā)展機遇。但融資融券業(yè)務的推出能否有助于提高股票市場和個股的流動性,無論是對成熟市場還是新興市場來說都是一個有待深入研究的問題。 本文首先定性地分析了融資融券對股票市場流動性影響的作用機制。爾后選取自2010年3月31日至2011年7月5日時間段的34個樣本數(shù)據(jù),運用“事件研究法”分別針對我國推出的融資融券業(yè)務以及試點券商正式運營對股票市場和行業(yè)個股流動性影響進行了研究。以SCRC行業(yè)分類標準和“事件研究法”的結論,選擇11只行業(yè)個股代表,采用VAR模型和Granger因果檢驗的方法深入研究了融資買空交易對股票市場和行業(yè)個股流動性的影響。針對研究結果結合我國股票市場的現(xiàn)狀,簡要提出了些許建議。 本文的研究結論如下： 1、結合我國股票市場推出融資融券業(yè)務時間相對較短的現(xiàn)狀,通過理論分析認為融資融券業(yè)務對我國股票市場的流動性產(chǎn)生一定的影響,但影響程度有限。 2、采用“事件研究法”對我國融資融券業(yè)務以及試點券商正式運營對股票市場以及個股的流動性影響進行分析,認為融資融券業(yè)務的推出對股票市場和個股的流動性都具有一定的提升作用。但試點券商正式運營對市場和個股的流動性影響甚微,隨著試點券商批次的增加,其對流動性影響的作用呈減弱趨勢。融資融券業(yè)務的推出比試點券商正式運營對市場、個股的流動性影響均大。 3、由于我國融券賣空業(yè)務交易量占融資融券業(yè)務總量比重很小,因此重點研究融資買空業(yè)務對流動性的影響更具有現(xiàn)實意義。一、我國融資買空業(yè)務是影響股票市場流動性變化的Granger原因,“中國中鐵股票”的融資買空業(yè)務不是該股流動性變動的Granger原因,11只行業(yè)代表個股中,有54%的股票拒絕了融資買空業(yè)務不是該股流動性變化的Granger原因的原假設；二、我國融資買空業(yè)務對市場和行業(yè)個股流動性的影響都比較微弱,該性質不僅表現(xiàn)脈沖響應函數(shù)中,也表現(xiàn)在方差分解中。無論是市場流動性還是行業(yè)個股流動性,其變動都主要來自于自身的影響。 4、根據(jù)以上實證結論分別從制度、監(jiān)管、券商及投資者角度,對我國融資融券業(yè)務的各個環(huán)節(jié)提出了相關意見。
[Abstract]:On March 31, 2010, our country formally launched the financing and short selling business, which completely broke the unilateral pattern that the stock market in our country can only buy short and not short. The introduction of margin-financing business not only plays a stabilizing role in the market, but also will bring major development opportunities for securities companies. But whether the launch of margin trading will help increase liquidity in stock markets and individual stocks is an issue that remains to be studied in both mature and emerging markets. Firstly, this paper qualitatively analyzes the mechanism of the effect of margin on stock market liquidity. From March 31, 2010 to July 5, 2011, 34 samples were selected, By using the event Research method, the paper studies the influence of the financing and short selling business and the formal operation of the pilot securities firms on the stock market and the individual stock liquidity of the industry respectively. Based on the conclusion of SCRC industry classification standard and "event study method", 11 representatives of individual stocks in industry are selected, and the effect of short selling on the liquidity of stock market and individual stock is studied by VAR model and Granger causality test. According to the research results and the current situation of China's stock market, some suggestions are put forward briefly. The conclusions of this paper are as follows: 1. According to the current situation of short time of short margin trading in stock market of our country, through theoretical analysis, it is concluded that margin and short margin business has certain influence on liquidity of stock market in our country, but the influence degree is limited. 2. Using the "event Research method" to analyze the liquidity influence of the stock market and the stock market in China, as well as the formal operation of the pilot securities firms. It is believed that the introduction of short-margin financing can enhance the liquidity of both stock market and individual stock. However, the formal operation of the pilot brokerage has little effect on the liquidity of the market and individual stocks. With the increase of the batches of the pilot securities firms, its effect on liquidity tends to weaken. The introduction of margin trading business than the formal operation of the pilot securities companies on the market, the liquidity impact of individual stocks are greater. 3, because the volume of short selling in short selling accounts for a small proportion of the total volume of short selling in China, it is of practical significance to focus on the impact of short selling on liquidity. First, the short financing business in China is the Granger reason that affects the liquidity change of the stock market. The short financing business of China Railway is not the Granger reason for the liquidity change of the stock. 54% of the stocks rejected the original assumption that short financing was not the Granger cause of the change in liquidity of the stock. Second, the impact of short financing on the liquidity of individual stocks in both markets and industries was weak, which not only reflected the impulse response function, It is also shown in variance decomposition. Whether market liquidity or industry individual stock liquidity, their changes are mainly from their own influence. 4. According to the above empirical conclusions, from the system, supervision, securities firms and investors, put forward the relevant opinions on each link of our country's margin and margin business.
【學位授予單位】：安徽財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51;F224

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本文編號：1873985