本文選題：融資融券　切入點：流動性　出處：《湖南大學》2014年碩士論文　論文類型：學位論文

【摘要】：流動性是股市的生命力所在。缺乏流動性，交易則難以達成，市場也就失去了其存在的價值�，F(xiàn)代證券市場的發(fā)展演化是一個不斷探索和提高流動性的過程。而我國的股票市場一直以來缺乏賣空機制。2010年3月31日我國正式推出融資融券業(yè)務,該業(yè)務的推出徹底打破了我國股票市場只能買空而不能賣空的單邊格局的交易制度。從理論經驗來看融資融券業(yè)務具有增強市場流動性，穩(wěn)定市場的作用。但融資融券業(yè)務的推出對我國市場流動性是否有所改善，仍然是一個有待研究的問題。 本文第二章講述了我國融資融券的發(fā)展歷程和發(fā)展狀況，并分析了幾個主要國家融資融券的發(fā)展模式，以求對我國融資融券的發(fā)展得到啟示。第三章從理論分析了融資融券業(yè)務對股市流動性的影響機制。在第四章里，本文選取了我國滬深兩市融資融券的總體交易情況作為研究對象,系統(tǒng)地、全面地分析融資融券業(yè)務對我國證券市場的流動性影響,先用事件分析法回答了融資融券對市場流動性影響的存在性問題，在確定了影響存在的前提下，，再用VAR模型深入研究了融資融券對流動性的影響機制。最后針對研究結果結合我國證券市場的現(xiàn)狀為我國融資融券制度的發(fā)展和機制的完善提供理論和實踐的建議。 本文的研究結論如下：融資融券確實對我國股市的流動性產生了積極的影響，但影響程度還不夠大。融資融券業(yè)務對我國股市流動性的影響主要體現(xiàn)在融資交易上，融券交易對股市流動性的影響并不顯著。根據(jù)事件研究法得出的結果，當融資交易額上升到一定程度時，對流動性的影響才顯著起來，而融券交易由于數(shù)額一直很低，因此對股市的流動性的影響微乎其微。單位融券交易帶來對流動性的改善比單位融資交易要大。
[Abstract]:Liquidity is the vitality of the stock market. In the absence of liquidity, trading is difficult to achieve. The development and evolution of modern securities market is a process of continuously exploring and improving liquidity. In March 31st 2010, china's stock market has been lack of short selling mechanism. Launch margin financing business, The introduction of this business has completely broken the unilateral trading system in which the stock market can only buy short and not short. From the theoretical experience, margin trading has enhanced the liquidity of the market. The role of stabilizing the market, but the introduction of margin lending business to improve the liquidity of China's market, is still a question to be studied. The second chapter of this paper describes the development of margin financing and securities in China, and analyzes the development models of margin and margin in several major countries. The third chapter analyzes the influence mechanism of margin trading on stock market liquidity from the theory. In Chapter 4th, This paper selects the overall trading situation of margin trading in Shanghai and Shenzhen stock markets as the research object, systematically and comprehensively analyzes the influence of margin trading on the liquidity of China's securities market. In this paper, the existence of the influence of margin financing on market liquidity is answered by means of event analysis, and the existence of the influence is determined. Then the paper makes a deep research on the influence mechanism of margin and margin on liquidity by using VAR model. Finally, the research results provide theoretical and practical suggestions for the development of margin and short bond system and the improvement of mechanism in view of the research results and the current situation of China's securities market. The conclusions of this paper are as follows: margin and margin have positive influence on the liquidity of Chinese stock market, but the influence degree is not enough. The influence of margin trading on the liquidity of China's stock market is mainly reflected in the financing transaction. The effect of margin trading on stock market liquidity is not significant. According to the event study method, when the amount of financing transactions rises to a certain extent, the impact on liquidity becomes significant, and margin trading has been very low because of the amount. Therefore, the impact on the liquidity of the stock market is minimal. Unit margin trading has brought about a greater improvement in liquidity than in unit financing transactions.
【學位授予單位】：湖南大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F224;F832.51

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