本文關(guān)鍵詞：融資融券對股價波動及投資者財務(wù)風(fēng)險影響分析　出處：《合肥工業(yè)大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 融資融券 股價波動 財務(wù)預(yù)警指標 財務(wù)風(fēng)險

【摘要】：融資融券作為證券市場上的一種交易方式,在歐美等發(fā)達證券市場上已有幾百年的歷史。在我國,融資融券業(yè)務(wù)起步較晚,2010年03月30日,上交所、深交所分別發(fā)布公告,表示將于2010年3月31日起正式開通融資融券交易系統(tǒng),開始接受試點會員融資融券交易申報,標志著我國融資融券業(yè)務(wù)正式啟動。融資融券業(yè)務(wù)在A股市場推出已近7年,2016年3月底,滬市融資融券標的股數(shù)量達到了506只,深市融資融券標的股數(shù)量為403只。僅從標的股數(shù)量上就可以看出我國在融資融券業(yè)務(wù)的發(fā)展非常迅速,由2010年的90只到2016年的909只,數(shù)量上翻了10倍。從融資融券余額看,滬市由最初的585萬元達到了2016年3月底的5119億元,深市也由最初的74萬元達到了2016年3月底的3691億元,短短6年時間,融資融券的發(fā)展非常明顯,但其對市場產(chǎn)生的實際效應(yīng)有待進一步發(fā)現(xiàn)和檢驗。本文通過對融資融券與股價相互影響的理論分析,提出A股市場的融資融券業(yè)務(wù)可能會加劇股市波動的觀點,并運用Eviews軟件,選取滬市融資、融券余額和上證綜合指數(shù)據(jù)進行實證,通過脈沖分析和方差分解發(fā)現(xiàn)融資交易對于上證綜指波動并沒有平抑作用,反而有所加強,融券交易對于上證綜指波動有平抑作用,但是效果并不明顯,且主要表現(xiàn)在滯后期。本文除了對融資融券交易與股市波動之間影響關(guān)系展開研究外,還對標的個股以財務(wù)預(yù)警指標Z為分類條件進行分組,對財務(wù)狀況良好和財務(wù)風(fēng)險較大的標的股分別展開研究,研究發(fā)現(xiàn)針對財務(wù)狀況良好的標的股,融資交易雖能發(fā)揮抑制作用,但是效果不明顯,相對而言,融券交易在平抑股價上做出了明顯的貢獻,就財務(wù)風(fēng)險較高的標的股而言,融資融券交易會顯著加劇股價波動。本文除了會分析融資融券與股價波動影響關(guān)系,還會從另外一個角度即企業(yè)投資者參與融資融券業(yè)務(wù)的角度入手,主要是分析企業(yè)在開展融資融券業(yè)務(wù)過程中可能會遇到怎樣的風(fēng)險,主要是對融資融券特有的杠桿交易風(fēng)險,強制平倉帶來的風(fēng)險以及維持保證金比例影響現(xiàn)金流的風(fēng)險進行重點分析,進而為企業(yè)投資者及其他相關(guān)人士提供一定的建議。
[Abstract]:Margin trading as a way of trading in the securities market, in Europe and the United States and other developed securities markets have a history of hundreds of years. In China, margin trading started late, in March 30th 2010, the Shanghai Stock Exchange. Shenzhen Stock Exchange respectively issued a notice that it will formally launch a margin trading system on March 31st 2010, and begin to accept the pilot member margin trading declaration. Marked the formal start of China's margin business. Margin trading has been launched in the A-share market for nearly seven years, the end of March 2016, the Shanghai Stock Exchange has reached 506 stocks. The number of the underlying stocks in Shenzhen Stock Exchange is 403. Only from the number of the underlying stocks, we can see that the development of margin trading in China is very rapid, from 90 in 2010 to 909 in 2016. From the margin balance, the Shanghai stock market rose from the initial 5.85 million yuan to 511.9 billion yuan at the end of March 2016. Shenzhen also from the initial 740,000 yuan to 369.1 billion yuan at the end of March 2016, a short period of six years, the development of margin financing is very obvious. However, the actual effect on the market needs to be further discovered and tested. This paper analyzes the interaction between margin and stock price. Put forward the A-share market margin business may aggravate the volatility of the stock market, and use Eviews software, select Shanghai stock market financing, margin balance and Shanghai Composite Index data for empirical analysis. Through pulse analysis and variance decomposition found that the financing transaction for the Shanghai Composite Index volatility did not calm, but strengthened, margin trading on the Shanghai Composite Index volatility has a calming effect, but the effect is not obvious. This paper not only studies the relationship between margin trading and stock market volatility, but also groups the underlying stocks with the financial warning index Z as the classification condition. To the financial situation and the financial risk of the target stocks are studied separately, the study found that the financial situation of the target stocks, financing transactions can play a restraining role, but the effect is not obvious, relatively speaking. Margin trading has made a significant contribution to the stabilization of stock prices, as far as the target stocks with high financial risk is concerned, margin trading will significantly aggravate the volatility of stock price. This paper will analyze the relationship between margin margin and stock price volatility. It will also start from another angle, that is, enterprise investors to participate in margin business, mainly to analyze the enterprise in the process of margin trading may encounter what kind of risks. It mainly focuses on the leveraged trading risk of margin margin, the risk of forced liquidation and the risk of maintaining margin ratio affecting cash flow. And then for corporate investors and other relevant people to provide certain advice.
【學(xué)位授予單位】：合肥工業(yè)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.51

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