本文選題：融資融券 + 價(jià)格發(fā)現(xiàn)��； 參考：《東華大學(xué)》2013年碩士論文

【摘要】：融資融券制度又稱為證券信用交易,是證券市場(chǎng)中重要的交易制度之一。隨著市場(chǎng)的逐漸成熟,賣空交易目的漸趨多樣化,融資融券制度已經(jīng)成為基礎(chǔ)交易制度中不可或缺的組成部分。融資融券交易通過改變股票供求彈性來實(shí)現(xiàn)其供求關(guān)系的變化,從而合理地確定股票價(jià)格。因此,融資融券交易的推出能從客觀上形成一種“價(jià)格發(fā)現(xiàn)”機(jī)制,使得市場(chǎng)上的股票價(jià)格接近實(shí)際價(jià)值,這在一定程度上提高了市場(chǎng)的定價(jià)效率。 我國(guó)于2010年3月31日正式推出融資融券業(yè)務(wù),改變了我國(guó)證券市場(chǎng)一直以來不能做空只能做多的“單邊市”格局。本文以我國(guó)滬深交易所參與融資融券業(yè)務(wù)的股票為研究對(duì)象,采用規(guī)范分析和實(shí)證分析相結(jié)合的研究方法,對(duì)我國(guó)融資融券交易價(jià)格發(fā)現(xiàn)功能進(jìn)行深入探討。緒論部分介紹了本文的研究背景、意義以及研究框架等內(nèi)容。第二章回顧了融資融券業(yè)務(wù)對(duì)股市的影響機(jī)制,總結(jié)現(xiàn)階段國(guó)內(nèi)外學(xué)者對(duì)融資融券業(yè)務(wù)研究的情況和不足之處。 論文第三章將融資融券業(yè)務(wù)的模式分為美國(guó)、日本、臺(tái)灣三種,分析了它們各自的特點(diǎn),總結(jié)了不同證券市場(chǎng)環(huán)境下融資融券業(yè)務(wù)模式的不同之處。第四章是本文的實(shí)證分析部分,選取參與融資融券業(yè)務(wù)83支股票作為研究對(duì)象,以融資融券業(yè)務(wù)的推出時(shí)間作為分水嶺,截取相同的樣本空間,應(yīng)用格蘭杰的計(jì)量模型,研究分析了金融時(shí)間序列的特征,進(jìn)行了脈沖響應(yīng)函數(shù)檢驗(yàn)。本文參照滬深300指數(shù)的構(gòu)造公式和方法,構(gòu)建出83支股票的價(jià)格指數(shù)與成交額作為模型的變量,這也是本文的創(chuàng)新點(diǎn)之一。最終發(fā)現(xiàn),成交額變化早于價(jià)格指數(shù)的變化,而且是引起價(jià)格指數(shù)變化的原因；而在融資融券制度推出之后,價(jià)格指數(shù)對(duì)于成交額變化帶來的沖擊反應(yīng)速度變快,在更短的時(shí)間內(nèi)恢復(fù)到正常的價(jià)格水平,因此證實(shí)了融資融券業(yè)務(wù)在我國(guó)也發(fā)揮了價(jià)格發(fā)現(xiàn)功能。最后,根據(jù)目前我國(guó)融資融券業(yè)務(wù)發(fā)展的現(xiàn)狀,參照發(fā)達(dá)國(guó)家融資融券業(yè)務(wù)的經(jīng)驗(yàn),依據(jù)實(shí)證分析得出的相關(guān)結(jié)論,提出了完善我國(guó)融資融券業(yè)務(wù)的政策建議。
[Abstract]:Margin trading system, also known as securities credit trading, is one of the most important trading systems in the securities market. With the maturity of the market, the purpose of short selling is becoming more and more diversified, and margin trading system has become an indispensable part of the basic trading system. Through changing the elasticity of stock supply and demand, margin trading realizes the change of its supply and demand relationship, so as to reasonably determine the stock price. Therefore, the introduction of margin trading can objectively form a "price discovery" mechanism, which makes the stock price on the market close to the actual value, which to a certain extent improves the pricing efficiency of the market. On March 31, 2010, our country formally launched margin financing business, which has changed the pattern of "one-sided market", which has been unable to short and only long in China's securities market. This paper takes the stock of Shanghai and Shenzhen Stock Exchange as the object of study, adopts the research method of combining normative analysis and empirical analysis, and probes into the function of price discovery of margin trading in China. The introduction part introduces the research background, significance and research framework of this paper. The second chapter reviews the influence mechanism of margin trading on the stock market, summarizes the current domestic and foreign scholars on margin trading research and shortcomings. In the third chapter, the models of margin trading are divided into three types: the United States, Japan and Taiwan, and their respective characteristics are analyzed, and the differences of the models in different securities market environment are summarized. The fourth chapter is the empirical analysis part of this paper, select 83 stocks involved in margin trading as the research object, take the launch time of margin trading as watershed, intercept the same sample space, and apply Granger's measurement model. The characteristics of financial time series are analyzed and the impulse response function is tested. According to the formula and method of Shanghai and Shenzhen 300 index, this paper constructs the price index and turnover of 83 stocks as the variables of the model, which is one of the innovations of this paper. Finally, it is found that the change of turnover is earlier than the change of price index, and is the cause of the change of price index, and after the introduction of margin financing system, the impact of price index on the change of turnover becomes faster. In a shorter period of time to return to the normal price level, so confirmed that margin lending in China also played a price discovery function. Finally, according to the current situation of our country's margin business development, referring to the experience of the developed countries' margin and margin business, according to the empirical analysis of the relevant conclusions, put forward the policy recommendations to improve the margin and short margin business in China.
【學(xué)位授予單位】：東華大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F224

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本文編號(hào)：1950210