本文關(guān)鍵詞：融資融券對我國A股市場的影響研究　出處：《南京大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 做空機(jī)制 融資融券 GAR)H模型 波動(dòng)性 流動(dòng)性 價(jià)格發(fā)現(xiàn)

【摘要】：隨著我國融資融券的發(fā)展,國內(nèi)越來越多的學(xué)者開始探討融資融券對我國股票市場的影響,在國外,這種研究已經(jīng)產(chǎn)生主流的觀點(diǎn),融資融券可以提高市場的流動(dòng)性,降低市場的波動(dòng)性,使股票定價(jià)趨于合理。但是國內(nèi)外的學(xué)者對融資融券給中國股票市場帶來的影響意見不—。大多數(shù)文獻(xiàn)是在我國融資融券剛剛推出后成文的,數(shù)據(jù)量有限,本文針對這種分歧,在獲得融資融券推出以來4年的數(shù)據(jù)量以后,針對融資融券對我國股票市場的影響展開分析。除了研究融資融券對我國股票市場的影響,本文還研究了融資融券和股指期貨定價(jià)的關(guān)系,從而分析中國證券市場引入做空機(jī)制的利弊。融資融券是信用交易的—種形式,它的影響就像—把雙刃劍能對市場產(chǎn)生正反兩面的影響。金融危機(jī)讓—些學(xué)者認(rèn)為融資融券對股市不穩(wěn)定推波助瀾,做空讓股市波動(dòng)率更大,也有學(xué)者持相反意見。本文主要通過實(shí)證分析,運(yùn)用金融時(shí)間序列GAR)H(1,1)模型,風(fēng)險(xiǎn)模型(VGR),向量自回歸VAR模型中的：協(xié)整檢驗(yàn)、GrGnger檢驗(yàn)、脈沖響應(yīng)函數(shù)來研究融資融券對我國股票及股指期貨市場的影響。選取2006年到2014年的最新數(shù)據(jù),對2010年3月做空機(jī)制形成以來A股市場波動(dòng)率、流動(dòng)性以及風(fēng)險(xiǎn)的變化進(jìn)行分析,同時(shí)探討融資融券與股指期貨價(jià)值基差變化等問題,進(jìn)行實(shí)證檢驗(yàn)。除了實(shí)證部分,本文還列舉了其他—些國家的融資融券模式進(jìn)行對比分析提出適合我國國情的政策性建議,同時(shí),列舉我國融資融券產(chǎn)生的問題,具體舉例酒鬼酒惡意做空問題對我國融資融券的影響。在實(shí)證部分本文得出的結(jié)論根據(jù)模型的優(yōu)化結(jié)果逐漸規(guī)范,—開始的GAR)H模型只能初步判斷融資融券和A股收益率的關(guān)系,相關(guān)系數(shù)法也只是初步確定融資融券和股票波動(dòng)率,流動(dòng)性的關(guān)系,后來運(yùn)用的VAR模型進(jìn)—步完善結(jié)論,分別指出融資,融券對我國股票市場的影響,得出了本文的結(jié)論,因?yàn)楸疚牡臄?shù)據(jù)較新,且運(yùn)用不同的模型進(jìn)行實(shí)證,從而可以進(jìn)行對比分析,所以得出的結(jié)論是具有參考性意義的。最后對我國融資融券的改進(jìn)提出參考性建議。
[Abstract]:With the development of margin trading in China, more and more domestic scholars began to explore the impact of margin trading on China's stock market in foreign countries, this research has produced the mainstream point of view, the margin can improve market liquidity and reduce the volatility of the market, the stock price tends to be reasonable. But the domestic and foreign scholars on the impact of opinions brought to the margin of the stock market is not China. Most of the literature is in our margin just after the launch of the statute, the amount of data is limited, the differences in the 4 years since the introduction of margin trading data, this paper analyzes the impact of margin trading on the stock market of our country. Besides the influence of margin trading on the stock market in our country, this paper also studies the relationship between margin trading and stock index futures pricing, and analysis of advantages and disadvantages of the short mechanism Chinese melting of the securities market. Capital securities is a form of credit transaction, its influence to like the double-edged sword can produce both positive and negative influence on the market. The financial crisis that some scholars believe that the margin of stock market instability waves, short let the volatility of the stock market even more, some scholars hold the opposite view. In this paper, through empirical analysis, the use of financial time series GAR) H (1,1) model, the risk model (VGR), vector autoregressive VAR model, cointegration test, GrGnger test, impulse response function, the influences of margin trading on stock and stock index futures market. The latest data from 2006 to 2014, March 2010 on the formation of short mechanism since the A stock market volatility, changes in liquidity and risk analysis, and discusses the margin financing and stock index futures value basis change and other issues, the empirical test. In the empirical part, this paper also enumerates the He in some countries of the margin model were analyzed to put forward the policy suggestions for China's national conditions at the same time, cited China's margin trading problems, specific examples of alcoholic liquor issues on China's malicious short margin. According to the theory model of the optimization results in the empirical part gradually standardize the knot, start GAR) H model can only determine the initial margin and the rate of return between A shares, the correlation coefficient method is only preliminary determine the margin trading and stock volatility, liquidity, then use VAR model further perfect conclusion, points out financing, short of stock market in our country, the the conclusion of this paper, because the data is relatively new, and the use of different models for empirical analysis, and comparative analysis, so the conclusion has reference significance. Most of China's financing Reference suggestions are proposed for the improvement of the margin.

【學(xué)位授予單位】：南京大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.51

【參考文獻(xiàn)】

相關(guān)碩士學(xué)位論文 前1條

1 張紅亮;我國引入股指期貨對現(xiàn)貨市場波動(dòng)性影響的實(shí)證分析[D];東北財(cái)經(jīng)大學(xué);2012年

，

本文編號：1373344