本文選題：融資融券 + 保證金水平�。� 參考：《復(fù)旦大學(xué)》2012年碩士論文

【摘要】：作為證券市場的雙向交易機(jī)制,滬深股市啟動的融資融券業(yè)務(wù)豐富了市場多空雙方的博弈模式,有利于建立穩(wěn)定的資本市場價格發(fā)現(xiàn)體系,是推進(jìn)金融創(chuàng)新、發(fā)展金融衍生品市場的一項(xiàng)基礎(chǔ)交易制度。利用國內(nèi)證券市場融資融券業(yè)務(wù)和期貨市場股指期貨,機(jī)構(gòu)投資者可以鎖定股市系統(tǒng)性風(fēng)險對其資產(chǎn)凈值的影響,進(jìn)而有效減少低賣高買的非理性趨勢行為。這些資本市場的風(fēng)險控制措施對于保護(hù)投資者利益和促進(jìn)資本市場長遠(yuǎn)健康發(fā)展都有積極意義。然而,國內(nèi)融資融券業(yè)務(wù)保證金設(shè)置機(jī)制較為簡單,存在著交易成本高、資金使用效率低等問題。為了推進(jìn)融資融券業(yè)務(wù)的發(fā)展,建立起能夠跟蹤股票價格歷史波動表現(xiàn)的保證金設(shè)置方法將成為提升融資融券交易效率的一個重要選擇。本文利用極值理論非參數(shù)估計(jì)法來計(jì)算融資融券市場及其相關(guān)個股的最優(yōu)保證金水平,比較分析其中優(yōu)劣,以求獲得能夠兼顧市場安全和效率的融資融券保證金估計(jì)方法。 保證金設(shè)置是證券信用交易機(jī)制的重大特征。一方面低于交易總額的保證金給予該證券交易以杠桿便利,另一方面合理的保證金水平有望規(guī)避標(biāo)的資產(chǎn)期間價格波動所帶來的市場交易風(fēng)險。保證金的設(shè)置應(yīng)當(dāng)考慮兩個目標(biāo)：第一是保證交易安全；第二是提供交易便利,提升交易效率。最優(yōu)保證金水平的設(shè)置就是在擬交易周期內(nèi),在可接受的價格波動極端值導(dǎo)致交易違約風(fēng)險小概率情況下,既保障交易安全又能顧及交易效率的最合理的保證金。融資融券樣本數(shù)量眾多,其價格收益率極值變化分布形式復(fù)雜,因此,參數(shù)估計(jì)法并不適用于融資融券保證金水平的設(shè)置。而在統(tǒng)計(jì)理論中,隨機(jī)樣本的總體分布與其極值分布是相互獨(dú)立的,且具有尖峰厚尾特征的金融時間序列往往都符合一種極值分布特征,從而,可以通過極限分布來替代總體精確分布,極值理論非參數(shù)估計(jì)法能夠適應(yīng)融資融券多樣本的情況。本文將分別用非參數(shù)方法中的Hill估計(jì)法和VAR-X估計(jì)法來設(shè)置融資融券保證金水平,并評價這兩種方法的優(yōu)劣。 本文首先介紹了國內(nèi)外證券信用交易保證金設(shè)置的相關(guān)研究成果。其次,介紹了國內(nèi)外融資融券業(yè)務(wù)模式及其保證金制度。第三、闡述了保證金設(shè)置的極值理論原理與方法,以及關(guān)于融資融券交易制度啟動對樣本價格波動性影響的檢驗(yàn)方法。最后,通過實(shí)證研究討論融資融券交易制度啟動對樣本價格波動的影響,進(jìn)而估計(jì)滬深兩市融資融券樣本股平均收益率和個股價格收益率序列的最優(yōu)保證金水平,以獲得融資融券市場及個股的最優(yōu)保證金水平,為我國融資融券市場保證金設(shè)定研究提供參考借鑒。 本文的創(chuàng)新點(diǎn)在于：1、使用雙重差分模型來檢驗(yàn)融資融券機(jī)制對相關(guān)樣本股價格基本波動特征在融資融券啟動前后的變化。2、通過對不同個股價格收益率序列所計(jì)算出保證金水平之間差異的分析,研究不同信用資產(chǎn)市場風(fēng)險的差異,以及設(shè)置其各自最優(yōu)保證金水平的必要性。3、通過擴(kuò)大樣本價格波動的單位周期來改善股價漲跌幅限制對融資融券最優(yōu)保證金設(shè)置的影響。 本文通過對滬深股市融資融券試點(diǎn)標(biāo)的證券的實(shí)證分析得到以下結(jié)論：融資融券機(jī)制啟動并沒有對融資融券樣本股價格基本波動特征產(chǎn)生影響；滬深股市融資融券標(biāo)的品種各價格波動單位周期的收益率時間序列均不服從正態(tài)分布,其尾部指數(shù)估計(jì)適用于極值理論Frechet分布；極值理論的Hill非參數(shù)估計(jì)方法能夠較為合理設(shè)置融資融券市場基準(zhǔn)保證金和融資融券樣本股保證金。 本文的不足之處在于：通過實(shí)證分析證明融資融券業(yè)務(wù)啟動對樣本股價格收益率波動基本特征的影響并不顯著,因此,在計(jì)算滬深兩市融資融券品種最優(yōu)保證金水平的過程中使用了融資融券啟動之前的市場數(shù)據(jù)。不過,隨著證券信用交易市場不斷壯大發(fā)展,融資融券業(yè)務(wù)對正常股票價格波動的影響也將逐步顯現(xiàn),這需要在未來的研究中密切跟蹤,以期進(jìn)一步優(yōu)化最優(yōu)保證金設(shè)置模式。
[Abstract]:As a two-way trading mechanism in the securities market, the financing margin business initiated by the Shanghai and Shenzhen stock markets enriches the game mode of the market, which is conducive to the establishment of a stable capital market price discovery system, is a basic trading system to promote financial innovation and develop the financial derivatives market. Stock index futures in the futures market, institutional investors can lock the stock market risk to their net asset value, and then effectively reduce the irrational trend behavior of low sale and high purchase. The risk control measures of these capital markets have positive significance to protect the interests of investors and promote the long-term healthy development of the capital market. The margin setting mechanism of margin trading is relatively simple, there are high transaction costs and low efficiency of use of funds. In order to promote the development of margin trading, the establishment of margin setting method to track the historical volatility of stock prices will be an important choice to improve the efficiency of financing margin trading. The non parametric estimation method is used to calculate the optimal margin level of the margin market and its related stocks, and to compare and analyze the advantages and disadvantages of this method in order to obtain the estimation method of margin margin deposit which can give consideration to the market security and efficiency.
Margin setting is a major feature of the securities trading mechanism. On the one hand, the margin is lower than the total amount of the transaction to be leveraged for the securities transaction. On the other hand, the reasonable margin level is expected to avoid the market risk caused by the price fluctuation during the underlying asset. The two goals should be taken into consideration: first, To ensure transaction safety; second is to provide transaction convenience and improve transaction efficiency. The optimal margin level is the most reasonable margin that guarantees transaction safety and can take account of transaction efficiency in a quasi transaction cycle, in the case of acceptable price fluctuation extremes that lead to small transaction default risk. Therefore, the parameter estimation method is not suitable for the setting of margin margin level. In the statistical theory, the overall distribution of the random sample is independent of the extreme value distribution, and the financial time series with the characteristics of the peak and thick tail often conforms to a kind of extreme value distribution. In this way, the limit distribution can be used to replace the overall accurate distribution, and the non parametric estimation method of extreme value theory can adapt to the multi sample of financing margin. This paper will use the Hill estimation method and the VAR-X estimation method in the non parametric method to set up the margin margin level and evaluate the advantages and disadvantages of the two methods.
This paper first introduces the relevant research results of security margin setting at home and abroad. Secondly, it introduces the mode of margin trading at home and abroad and its margin system. Third, it expounds the theory and method of the extreme value theory of margin setting, and the test of the influence of the start of the margin trading system on the volatility of the sample price. Finally, through the empirical study, we discuss the effect of the start of the margin trading system on the fluctuation of the sample price, and then estimate the optimal margin level of the average return and the stock price return sequence of the two markets in Shanghai and Shenzhen, in order to obtain the optimal margin level of the margin market and the stock market, for the margin market of our country. The research on setting up the margin of the field provides reference.
The innovation points of this paper are as follows: 1, using the dual difference model to test the change of the basic price fluctuation characteristics of the related sample stock before and after the start of financing margin of the related sample stock.2, through the analysis of the difference between the margin levels calculated by the price return sequence of different stocks, the differences in the risk of different credit assets are studied. And the necessity of setting up the optimal margin level of their respective.3, by expanding the unit cycle of the price fluctuation of the sample to improve the effect of the price limit on the margin optimal margin setting.
Through the empirical analysis of the securities in Shanghai and Shenzhen stock market, the following conclusions are obtained: the financing margin mechanism does not affect the basic price volatility of the financing margin model stock, and the time series of the unit cycle of price fluctuation in the stock market of the Shanghai and Shenzhen stock market is not subordinate to the normal score. The estimation of the tail index is suitable for the Frechet distribution of the extreme value theory, and the Hill nonparametric estimation method of the extreme value theory can reasonably set up the benchmark margin in the margin market and the margin of the margin for financing margin.
The inadequacies of this paper are as follows: through the empirical analysis, it is proved that the effect of the start of financing margin business on the basic characteristics of the volatility of the price and return of the sample stock is not significant. Therefore, in the process of calculating the optimal margin level of the two markets in Shanghai and Shenzhen, the market data before the start of margin lending is used. However, with the securities credit The trading market continues to grow, and the impact of margin trading on the volatility of normal stock prices will also gradually emerge. This needs to be closely followed in future research in order to further optimize the optimal margin setting model.

【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F224;F832.51

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本文編號：1875224