本文選題：融資融券 + 證券市場(chǎng)　； 參考：《南京大學(xué)》2014年碩士論文

【摘要】：2010年我國(guó)融資融券試點(diǎn)建立,我國(guó)的融資融券交易獲得了迅速發(fā)展,融資融券的重要地位日益顯現(xiàn)。我國(guó)的證券市場(chǎng)具有高換手率而流動(dòng)性不足的特點(diǎn),市場(chǎng)扭曲較為嚴(yán)重,投機(jī)性較強(qiáng)。能否合理利用融資融券機(jī)制和其保證金制度這一杠桿,增強(qiáng)市場(chǎng)的流動(dòng)性,抑制波動(dòng)性和泡沫,一直是學(xué)界爭(zhēng)論的焦點(diǎn),這一問(wèn)題的研究也對(duì)我國(guó)融資融券制度的實(shí)施具有重大的現(xiàn)實(shí)意義。對(duì)于融資融券及保證金制度對(duì)證券市場(chǎng)的作用,學(xué)界持有不同的觀(guān)點(diǎn)。有些學(xué)者持樂(lè)觀(guān)態(tài)度,認(rèn)為融資融券能夠造福證券市場(chǎng)；而有些學(xué)者認(rèn)為融資融券的實(shí)施,反而會(huì)“助長(zhǎng)殺跌”,惡化證券市場(chǎng)的環(huán)境；也有觀(guān)點(diǎn)認(rèn)為,沒(méi)有明顯的證據(jù)表明融資融券對(duì)證券市場(chǎng)有正向或負(fù)向作用。而對(duì)于保證金能否作為調(diào)控杠桿控制融資融券交易及市場(chǎng)運(yùn)行情況,學(xué)者們也有相應(yīng)的三種不同觀(guān)點(diǎn)。傳統(tǒng)上,實(shí)證方法一直是經(jīng)濟(jì)學(xué)研究的主要方法。而在近年發(fā)展中,新興的實(shí)驗(yàn)研究方法以其可控制性、可重復(fù)性等優(yōu)點(diǎn),體現(xiàn)出獨(dú)特的經(jīng)濟(jì)學(xué)研究?jī)?yōu)勢(shì),并逐步成為經(jīng)濟(jì)學(xué)研究的重要方法。本文希望運(yùn)用實(shí)驗(yàn)研究方法對(duì)這一議題進(jìn)行實(shí)驗(yàn)研究,為已有的實(shí)證研究提供有力的補(bǔ)充。同時(shí),目前實(shí)驗(yàn)研究大多關(guān)注了融資融券制度對(duì)證券市場(chǎng)的影響,而保證金制度研究仍舊是一個(gè)空白。而我國(guó)的實(shí)驗(yàn)研究剛剛起步,還未涉及到融資融券這一領(lǐng)域。因此,本研究希望能夠填補(bǔ)這一空白領(lǐng)域。本文提出了四個(gè)猜想,對(duì)實(shí)驗(yàn)結(jié)果進(jìn)行了展望。接著,我們借鑒Smith的經(jīng)典實(shí)驗(yàn)制度,招募被試,模擬真實(shí)證券市場(chǎng),進(jìn)行實(shí)驗(yàn),包括無(wú)融資融券、有融資融券、融券保證金比例上調(diào)、融資保證金比例上調(diào)和設(shè)置維持擔(dān)保比例等五個(gè)場(chǎng)景。本文運(yùn)用了描述統(tǒng)計(jì)、獨(dú)立分布t檢驗(yàn)和多元回歸分析等方法對(duì)實(shí)驗(yàn)數(shù)據(jù)進(jìn)行了比較分析。通過(guò)數(shù)據(jù)分析,本文有如下幾個(gè)結(jié)論：首先,融資融券制度能夠有效地提升市場(chǎng)的流動(dòng)性,降低市場(chǎng)平均價(jià)格水平,抑制股價(jià)泡沫；其次,保證金制度是對(duì)融資融券和證券市場(chǎng)進(jìn)行調(diào)控的有效工具,融資保證金上調(diào)和融券保證金上調(diào)能夠有效地降低市場(chǎng)的波動(dòng)性,但會(huì)使市場(chǎng)流動(dòng)性受到損失；最后,維持擔(dān)保比例會(huì)使市場(chǎng)流動(dòng)性下降,推動(dòng)股價(jià)上升�；诒疚牡难芯拷Y(jié)論和中國(guó)融資融券交易發(fā)展現(xiàn)狀,本文從三個(gè)方面提出了相應(yīng)的政策建議,包括：第一,完善融資融券機(jī)制,促進(jìn)融資融券交易協(xié)調(diào)發(fā)展；第二,合理利用保證金杠桿,調(diào)控融資融券發(fā)展；第三,建立融資融券風(fēng)險(xiǎn)控制體系,控制融資融券風(fēng)險(xiǎn)。
[Abstract]:In 2010, China's margin trading was developed rapidly, and the important position of margin and margin was increasingly apparent.China's securities market is characterized by high turnover rate and lack of liquidity.Whether we can reasonably use the leverage of margin mechanism and margin system, enhance the liquidity of the market, restrain volatility and bubble, has always been the focus of debate in academic circles.The research on this issue is of great practical significance to the implementation of margin and margin system in China.Scholars hold different views on the role of margin and margin system in securities market.Some scholars are optimistic that margin lending can benefit the securities market, while others believe that the implementation of margin lending will instead "contribute to the killing of the decline" and worsen the environment of the securities market; others also hold that the implementation of margin lending will "contribute to the killing of the decline" and worsen the environment of the securities market.There is no clear evidence that margin lending has a positive or negative effect on the securities market.As to whether margin can be used as a lever to control margin trading and market operation, scholars also have three different views.Traditionally, the empirical method has been the main method of economic research.In recent years, the new experimental research methods, with the advantages of controllability and repeatability, embody the unique advantages of economic research, and gradually become an important method of economic research.This paper hopes to use the experimental research method to carry on the experimental research to provide the powerful supplement for the existing empirical research.At the same time, most of the experimental researches focus on the influence of margin system on securities market, but margin system is still a blank.However, the experimental research in our country has just started, and it has not been involved in the field of margin and short-margin.Therefore, this study hopes to fill this gap.In this paper, four conjectures are put forward and the experimental results are forecasted.Then, we draw lessons from Smith's classical experimental system, recruit participants, simulate the real securities market, conduct experiments, including no margin margin, margin margin, margin margin ratio increase,Financing margin ratio increase and set up to maintain the guarantee ratio and other five scenarios.In this paper, descriptive statistics, independent distribution t-test and multivariate regression analysis are used to compare and analyze the experimental data.Through the data analysis, this paper has the following conclusions: first, margin financing system can effectively enhance the liquidity of the market, reduce the average price level of the market, restrain the stock price bubble; secondly,Margin system is an effective tool to regulate margin margin and securities market. Raising margin margin and margin margin raising margin can effectively reduce the volatility of the market, but it will make the market liquidity lose.Maintaining the guarantee ratio will reduce liquidity in the market and drive up the share price.Based on the conclusion of this paper and the current situation of margin trading in China, this paper puts forward the corresponding policy recommendations from three aspects: first, to improve the mechanism of margin trading, promote the coordinated development of margin trading; second,Third, establish the risk control system of margin margin to control margin risk.
【學(xué)位授予單位】：南京大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F832.51

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