本文關鍵詞： 融資交易 融券交易 深圳中小板 波動性　出處：《廣西大學》2014年碩士論文　論文類型：學位論文

【摘要】：2010年3月31日,我國證券市場正式引入融資融券交易機制,這也是我國證券發(fā)展史上的一個重要的里程碑時刻。對我國股市運行效率能否隨著融資融券業(yè)務的開展得到有效提高,學術(shù)界仍存在著爭議。三年來,融資融券交易得到了飛速的發(fā)展。隨著標的股票的范圍不斷擴大,越來越多的深圳中小板塊股票加入到融資融券標的股票的大名單中。融資融券交易對深圳中小板股票市場和標的股票的影響究竟怎樣?這是一個開展融資融券業(yè)務值得關注的問題。 本文將從深圳中小板股票市場入手研究融資融券交易機制對深圳中小板股票波動性的影響。首先,提出了本文所要研究的主要問題,研究方法,研究思路和結(jié)構(gòu)安排。在回顧了國內(nèi)外的理論基礎上,提出本文的研究思路。其次,在本文的理論部分,詳細介紹了融資融券交易對股票波動性的作用機制。在實證部分,針對于融資融券對中小板股票市場影響分析,首先通過采用Garch (1,1)模型估計了深圳中小板指數(shù)的波動性,然后基于向量自回歸理論(VAR),通過VAR方程估計、Granger因果檢驗、脈沖響應以及方差分解驗證融資融券業(yè)務是否具有穩(wěn)定深圳中小板股票市場波動性的效應。在研究融資融券業(yè)務對標的股票的波動性的影響中,采用引入時間虛擬變量的Garch模型,通過擬合融資融券推出前與推出后一年的深圳中小板標的股票的不同波動性作出比較,考察融資融券業(yè)務推出后對標的股票的影響情況。得出了如下結(jié)論：(1)深圳中小板股票市場的融資和融券業(yè)務增加了股票市場的波動性,與一般理論假設相反,但是總體而言影響甚微。(2)融資融券業(yè)務對深圳中小板標的股票的波動性也存在增強作用,但是作用效果較小。最后,對全文進行總結(jié)并得出相關結(jié)論,融資融券對深圳中小板股票市場和個股的波動性存在一定影響,根據(jù)研究結(jié)論并結(jié)合現(xiàn)實對股票市場提出相關建議。
[Abstract]:In March 31st 2010, China's securities market formally introduced the mechanism of margin trading. This is also an important milestone in the history of China's securities development. There is still controversy over whether the efficiency of China's stock market can be effectively improved with the development of margin trading business. Margin trading has developed rapidly. As the range of underlying stocks continues to expand, More and more small and medium-sized stocks in Shenzhen join the list of stocks with margin and short margin. How does margin trading affect the stock market and underlying stocks of Shenzhen small and medium-sized board? This is a financing margin business worthy of attention. This paper will study the influence of margin trading mechanism on the volatility of Shenzhen small and medium board stock market from the perspective of Shenzhen small and medium board stock market. Firstly, the main problems and research methods of this paper are put forward. On the basis of reviewing the theories at home and abroad, this paper puts forward the research ideas. Secondly, in the theoretical part of this paper, the mechanism of margin trading on stock volatility is introduced in detail. Based on the analysis of the influence of margin and margin on the stock market of small and medium-sized boards, the volatility of Shenzhen small and medium-sized board index is estimated by using Garch model, then based on the theory of vector autoregressive, the Granger causality test is estimated by VAR equation. Impulse response and variance decomposition verify whether margin trading has the effect of stabilizing the volatility of Shenzhen small and medium board stock market. In this paper, the Garch model with time virtual variable is used to compare the volatility of the underlying stocks of Shenzhen small and medium-sized board before and one year after the introduction of margin financing and short selling. This paper investigates the influence of margin trading on the underlying stocks, and draws the following conclusion: 1) the financing and short selling in Shenzhen small and medium board stock market increases the volatility of the stock market, which is contrary to the general theoretical assumption. However, the overall impact of margin trading on Shenzhen small and medium board stock volatility is also enhanced, but the effect is small. Finally, the full text is summarized and relevant conclusions are drawn. Margin financing has a certain impact on the volatility of Shenzhen small and medium board stock market and individual stocks. Based on the conclusions of the research and combined with the reality of the stock market, the paper puts forward some relevant suggestions to the stock market.
【學位授予單位】：廣西大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51

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本文編號：1513213