本文選題：融資融券　切入點：T-GARCH　出處：《東華大學》2017年碩士論文　論文類型：學位論文

【摘要】：自2010年3月30日引入融資融券交易以來,我國資本市場迎來了飛躍似的發(fā)展,從此中國股市不再是單邊市,不僅可以做多,也可以做空,融資融券業(yè)務的引入更是起到了活躍我國股票市場的作用。由于我國引入融資融券交易時間不長,因此融資融券業(yè)務的開展也需要進一步推進,相關研究也應繼續(xù)深入。而發(fā)生在2015年的 股災‖卻引起了中國各界的高度關注,股指在短短幾個月間,就有數(shù)千點的波動,如此巨幅的波動在全世界范圍也是十分罕見的。而造成本次股災發(fā)生的原因,矛頭之一便是指向融資融券業(yè)務,在這段非常時期,融資融券究竟扮演者什么樣的角色,一直是理論與實踐研究中的熱點話題,而本文則著重探討融資融券與股市波動性之間的關系。本文從理論與實證分析兩個層面探討融資融券對上證A股指數(shù)波動率的影響,并分為兩個時段進行研究,便于進行比較分析。首先詳細介紹了融資融券作用于股市波動的機制,隨后采用T-GARCH模型進行波動率擬合,并采用Granger因果檢驗、脈沖響應分析以及方差分解等計量經(jīng)濟學方法進行實證研究,并得出兩點結論。首先,在第一時段,融資強度是股市波動率的格蘭杰原因,而股市波動率不是融資強度的格蘭杰原因,融券強度與股市波動率互為格蘭杰原因。方差分解和脈沖響應的分析結果表明融資融券強度的變化對股市波動率還是有影響的,但影響很小。在第二時段,融資強度與股市波動率互為格蘭杰原因,融券強度與股市波動率相互獨立。脈沖響應以及方差分解表明融資強度對于股市巨幅振蕩時期有著非常顯著的影響,而融券強度的變化對股市波動率的影響依然十分有限�；趯嵶C分析的基礎之上,作者在借鑒國內(nèi)外學者的研究基礎之上提出了五個政策性的建議。第一,優(yōu)化投資者結構,積極培育機構投資者和成熟個人投資者,避免短線投資,主張價值投資。第二,建立有效的保證金制度,在股市不健康運行下,適當調(diào)整保證金比例,限制或加強融資融券交易,減小股市波動,推動其步入正軌。第三,平衡融資融券規(guī)模,增強市場活力,滿足投資者投資需求,增強風險抵御能力和風險控制能力,促進我國資本市場持續(xù)、有效、健康發(fā)展。第四,加強融資融券賬戶監(jiān)管力度,動態(tài)的管理和監(jiān)督融資融券交易行為。第五,提升監(jiān)管當局監(jiān)督與管理水平,促進融資融券業(yè)務持續(xù)健康發(fā)展。
[Abstract]:Since the introduction of margin trading in March 30th 2010, China's capital market has witnessed a leap forward. Since then, China's stock market has ceased to be a one-sided market. It can not only be long, but also short. The introduction of margin trading has played an active role in China's stock market. Since the introduction of margin trading in China is not long, the development of margin trading also needs to be further promoted. The related research should also continue. However, the stock market disaster that occurred in 2015 has aroused great concern from all walks of life in China. In just a few months, there have been thousands of fluctuations in the stock index. Such a huge fluctuation is also very rare all over the world. One of the reasons for this stock crash is to point to the margin and margin business. What kind of role does margin financing and short selling really play during this extraordinary period? It has always been a hot topic in theoretical and practical research, and this paper focuses on the relationship between margin and stock market volatility. It is divided into two periods for comparison and analysis. Firstly, the mechanism of margin margin acting on stock market volatility is introduced in detail, then T-GARCH model is used to fit volatility, and Granger causality test is used. The empirical research on impulse response analysis and variance decomposition is carried out, and two conclusions are drawn. Firstly, in the first period, the financing intensity is the Granger cause of stock market volatility. The volatility of stock market is not the Granger cause of financing intensity, but the Granger cause of margin intensity and volatility. The results of variance decomposition and impulse response show that the variation of margin intensity still has an effect on the volatility of stock market. But the impact was small. In the second period, the intensity of financing and the volatility of the stock market were each other's reasons for Granger. The impulse response and variance decomposition show that the financing intensity has a very significant influence on the period of stock market volatility. On the basis of empirical analysis, the author puts forward five policy suggestions based on the empirical analysis. First, optimize the investor structure. Actively cultivate institutional investors and mature individual investors, avoid short-term investments, and advocate value investments. Second, establish an effective margin system to properly adjust the margin ratio under unhealthy operation of the stock market. Limit or strengthen margin trading, reduce the volatility of stock market, promote it on the right track. Third, balance margin margin scale, enhance market vitality, meet the investment needs of investors, enhance the ability to resist risks and control risks. To promote the sustained, effective and healthy development of China's capital market. 4th, to strengthen the supervision of margin and short margin accounts, to dynamically manage and supervise margin trading activities. 5th, to enhance the supervision and management level of the regulatory authorities, To promote the sustainable and healthy development of margin trading.
【學位授予單位】：東華大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.51

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