本文選題：融資融券 + 波動(dòng)性�。� 參考：《浙江工商大學(xué)》2013年碩士論文

【摘要】：融資融券與股市波動(dòng)性關(guān)系如何一直是理論界和實(shí)務(wù)界爭(zhēng)論的熱點(diǎn)問(wèn)題,到目前為止國(guó)際上還沒(méi)有統(tǒng)一的說(shuō)法。中國(guó)證券市場(chǎng)經(jīng)過(guò)數(shù)年的討論、研究和準(zhǔn)備之后,在2010年3月31日正式推出了融資融券交易機(jī)制。這一創(chuàng)新機(jī)制的引入,結(jié)束了我國(guó)證券市場(chǎng)多年的“單邊市”運(yùn)行態(tài)勢(shì),為投資者和券商等市場(chǎng)參與者提供了一種全新的盈利模式,同時(shí),這一新的交易機(jī)制也必然會(huì)對(duì)我國(guó)的證券市場(chǎng)波動(dòng)性產(chǎn)生深遠(yuǎn)的影響,圍繞這一課題展開(kāi)研究無(wú)疑具有重要的學(xué)術(shù)價(jià)值與現(xiàn)實(shí)意義。 本文在梳理現(xiàn)有文獻(xiàn)的基礎(chǔ)上,首先回顧了國(guó)內(nèi)外學(xué)者關(guān)于融資融券對(duì)股市波動(dòng)性影響的各種論述,并將主要觀點(diǎn)歸納分類,為本文奠定了研究基礎(chǔ)；同時(shí)對(duì)融資融券的概念、特征和發(fā)展歷程進(jìn)行了總結(jié),介紹了世界上幾種比較成熟的、具有代表性的融資融券交易制度,并與我國(guó)目前的融資融券交易制度相對(duì)比,結(jié)合我國(guó)實(shí)際情況分析了我國(guó)融資融券交易制度可能的發(fā)展方向；最后,論文主體部分介紹了股市波動(dòng)性的內(nèi)涵與幾種常用的度量方法,并且分析了融資融券對(duì)股市波動(dòng)性的作用機(jī)制。實(shí)證工作中選取我國(guó)股市融資融券交易的實(shí)際數(shù)據(jù),通過(guò)在GARCH模型的方差方程中添加虛擬變量的方法驗(yàn)證了融資融券交易機(jī)制的推出對(duì)我國(guó)股市波動(dòng)性影響的存在顯著影響,然后通過(guò)脈沖響應(yīng)函數(shù)、方差分解法等方法著重分析了融資融券強(qiáng)度影響股市波動(dòng)性的方向性和強(qiáng)度性。研究發(fā)現(xiàn),在融資融券交易推出前后兩個(gè)時(shí)間段里,市場(chǎng)的波動(dòng)性水平有顯著變化的,并且有理由認(rèn)為融資融券的推出是引起這一變動(dòng)的原因之一,在此基礎(chǔ)之上,融資、融券強(qiáng)度對(duì)股市波動(dòng)性影響的方向并非是相同的,本文的研究結(jié)果表明融資交易加大了股市波動(dòng)性,而融券交易最終降低了股市波動(dòng)性,另外,融資、融券強(qiáng)度對(duì)股市波動(dòng)性影響的強(qiáng)度也不是一成不變的,而是隨著時(shí)間的推移在逐漸增大,但是這一影響強(qiáng)度的絕對(duì)水平相對(duì)來(lái)說(shuō)還是很小的。 最后,根據(jù)前人及本文的研究并結(jié)合現(xiàn)實(shí)背景,有關(guān)當(dāng)局有必要根據(jù)融資融券交易強(qiáng)度對(duì)股市波動(dòng)性影響的特點(diǎn),制定出相關(guān)政策,發(fā)揮出融資融券交易機(jī)制的積極作用。
[Abstract]:The relationship between margin and stock market volatility has always been a hot issue in theoretical and practical circles. Up to now, there is no uniform explanation in the world. After several years of discussion, research and preparation, China's securities market formally launched the margin trading mechanism on March 31, 2010. The introduction of this innovative mechanism has put an end to the "one-sided market" operation situation of China's securities market for many years, and provided a brand new profit model for investors, securities firms and other market participants, at the same time, This new trading mechanism is bound to have a profound impact on the volatility of the securities market in China. There is no doubt that the research on this subject has important academic value and practical significance. On the basis of combing the existing literature, this paper first reviews the domestic and foreign scholars' various expositions on the impact of margin and margin on the volatility of the stock market, and summarizes and classifies the main points of view, which lays a foundation for the research of this paper, and at the same time, the concept of margin and margin. This paper summarizes the characteristics and development process, introduces several mature and representative margin trading systems in the world, and compares them with China's current margin trading system. Combined with the actual situation in China, this paper analyzes the possible development direction of the margin trading system in China. Finally, the main part of the paper introduces the connotation of the volatility of the stock market and several commonly used measurement methods. And analyze the mechanism of margin on the volatility of the stock market. In the empirical work, we select the actual data of margin trading in China's stock market, and verify that the introduction of margin trading mechanism has a significant impact on the volatility of China's stock market by adding virtual variables to the variance equation of the GARCH model. Then through impulse response function, variance decomposition and other methods, this paper mainly analyzes the directivity and intensity of the intensity of margin which affects the volatility of stock market. The study found that the volatility level of the market changed significantly in the two time periods before and after the launch of margin trading, and it is reasonable to think that the introduction of margin is one of the reasons for this change. On this basis, financing, The effect of margin intensity on stock market volatility is not the same. The results of this paper show that the financing transaction increases the volatility of the stock market, while the margin trading ultimately reduces the volatility of the stock market. The influence of margin intensity on stock market volatility is not fixed, but gradually increases over time, but the absolute level of this impact intensity is relatively small. Finally, according to the research of predecessors and this paper and the realistic background, it is necessary for the relevant authorities to formulate relevant policies according to the characteristics of the impact of margin trading intensity on the volatility of the stock market, so as to play an active role in the mechanism of margin trading.
【學(xué)位授予單位】：浙江工商大學(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)：1957293