【摘要】：自滬深證券交易所1990年成立以來，我國股票市場的投資品種越來越豐富，投資規(guī)模逐步擴大，制度建設(shè)不斷完善，，運行機制日益規(guī)范。盡管如此，高波動等問題一直困擾著我國股市的健康發(fā)展，做空機制的缺乏是重要原因之一。在國外成熟證券市場上，融資融券是股市最基本的業(yè)務(wù)之一，理論上它具有平抑股價波動，增加股市流動性，滿足投資者多樣化的投資需求等積極效應(yīng)。因此，長期以來人們期待融資融券交易能夠改變我國股票市場的“單邊市”格局。我國融資融券業(yè)務(wù)試點自2010年3月31日正式啟動，它是繼我國股權(quán)分置改革后，對我國資本市場發(fā)展影響巨大的一項金融創(chuàng)新，是完善市場運行機制的重要補充，也是我國資本市場不斷走向成熟的重要標志。融資融券的實際市場效應(yīng)在國外學(xué)術(shù)界仍存在著相當多的爭議，它作為我國資本市場一項重要的制度創(chuàng)新，對我國股票市場具備怎樣的實際效應(yīng)，更有待于進一步的檢驗。本文的研究目的是實證檢驗我國融資融券交易試點期間和轉(zhuǎn)常規(guī)后的市場效應(yīng)，以為如何進一步完善融資融券制度和提高市場質(zhì)量提供相關(guān)的實證依據(jù)。 本文先是闡述了融資融券交易及其市場效應(yīng)的理論基礎(chǔ)，然后選取較具代表性且可量化的Anderson波動性指標和Amihud非流動性指標作為衡量市場效應(yīng)的評價依據(jù)，運用Panel-Data回歸模型、VAR模型、Granger因果關(guān)系檢驗、脈沖響應(yīng)函數(shù)分析以及多元線性回歸等方法，分別檢驗融資融券對標的股票和對股市大盤的影響，研究結(jié)果發(fā)現(xiàn)，試點期間融資相對于融券更能平抑波動，增強流動性，而轉(zhuǎn)常規(guī)后融券平抑股價波動的功能開始顯現(xiàn)，但兩個階段的影響系數(shù)均較小，本文據(jù)此為如何完善我國融資融券制度，促進股票市場穩(wěn)定、健康發(fā)展提出相關(guān)對策建議。
[Abstract]:Since the establishment of Shanghai and Shenzhen Stock Exchange in 1990, the stock market of our country has more and more investment varieties, the scale of investment has gradually expanded, the system construction has been continuously improved, and the operating mechanism has become more and more standardized. However, the problems of high volatility have been puzzling the healthy development of Chinese stock market, and the lack of short-selling mechanism is one of the important reasons. In foreign mature securities market, margin financing is one of the most basic business of stock market. Theoretically, it has the positive effects of stabilizing stock price fluctuation, increasing stock market liquidity and satisfying investors' diversified investment demand. Therefore, it has long been expected that margin trading can change the "one-sided market" pattern in China's stock market. Since March 31, 2010, the pilot project of margin trading in China has been officially launched. It is a financial innovation that has a great impact on the development of capital market after the reform of split share structure in China. It is also an important supplement to the improvement of market operation mechanism. Also is our country capital market unceasingly moves toward the maturity the important symbol. The actual market effect of margin financing is still controversial in foreign academic circles. As an important institutional innovation in China's capital market, what kind of practical effect on the stock market of our country needs to be further tested. The purpose of this paper is to empirically test the market effect of margin trading in China during the trial period and after switching to conventional trading so as to provide relevant empirical evidence for how to further improve the margin trading system and improve the market quality. This paper first expounds the theoretical basis of margin trading and its market effect, and then selects the representative and quantifiable Anderson volatility index and Amihud illiquidity index as the evaluation basis of market effect. By using Panel-Data regression model and Granger causality test, impulse response function analysis and multivariate linear regression, the effects of margin and margin on the underlying stock and the stock market are tested respectively. During the pilot period, the financing can stabilize the fluctuation and enhance the liquidity, but the function of stabilizing the fluctuation of stock price is beginning to appear, but the influence coefficient of the two stages is small. According to this, this article is how to perfect the system of margin and short margin in our country. To promote the stability of the stock market, the healthy development of the relevant countermeasures.
【學(xué)位授予單位】：山東財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51;F224

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