本文選題：融資融券　切入點(diǎn)：股票市場(chǎng)　出處：《西北大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：融資融券作為一種新的交易制度,將影響股市的供給和需求,進(jìn)而對(duì)股市的波動(dòng)性和流動(dòng)性產(chǎn)生影響,但具體是起促進(jìn)作用還是抑制作用,作用大小如何,融資交易對(duì)其影響明顯還是融券對(duì)其影響明顯?關(guān)于這些問題,學(xué)術(shù)界和業(yè)內(nèi)人士看法不一,不管是理論還是實(shí)證方面,都有很大分歧。鑒于此,本文首先對(duì)融資融券相關(guān)文獻(xiàn)進(jìn)行整理分析,進(jìn)而探索出進(jìn)一步研究的方向和思路；其次,對(duì)融資融券的概念,交易模式,波動(dòng)性和流動(dòng)性的影響因素,以及融資融券影響股市波動(dòng)性和流動(dòng)性的傳導(dǎo)機(jī)制進(jìn)行了詳細(xì)分析；接著在討論了我國(guó)融資融券交易的現(xiàn)狀,并以滬深兩市作為研究對(duì)象,采用VAR模型、Granger因果檢驗(yàn)、脈沖響應(yīng)函數(shù)、方差分解等方法,實(shí)證分析了融資融券與股市波動(dòng)性和流動(dòng)性之間的變動(dòng)關(guān)系,以及融資融券對(duì)于市場(chǎng)波動(dòng)性和流動(dòng)性的具體影響方向。最后,結(jié)合實(shí)證結(jié)果與我國(guó)股票市場(chǎng)的實(shí)際情況,從完善并推行市場(chǎng)化轉(zhuǎn)融通機(jī)制、完善證券監(jiān)管、擴(kuò)大融資融券業(yè)務(wù)規(guī)模、完善證券公司內(nèi)部體制等幾個(gè)方面提出了融資融券發(fā)展的相關(guān)建議。 本文的研究結(jié)論如下： (1)融資、融券交易對(duì)股市的波動(dòng)起到一定程度的抑制作用,但是這種抑制作用的強(qiáng)度隨滯后期的推移是在不斷變化的。 (2)融資融券交易對(duì)股市流動(dòng)性作用不顯著。
[Abstract]:As a new trading system, margin financing will affect the supply and demand of the stock market, and then affect the volatility and liquidity of the stock market. Does the financing transaction have a significant impact on it or margin trading has a significant impact on it? On these issues, the academic and industry views are different, whether theoretical or empirical, there are great differences. In view of this, this paper first collates and analyzes the relevant literature on margin and margin. Then it explores the direction and thinking of further research. Secondly, it analyzes the concept of margin and margin, the trading model, the influencing factors of volatility and liquidity, as well as the transmission mechanism of margin and margin affecting the volatility and liquidity of stock market. Then, the paper discusses the current situation of margin trading in China, and takes Shanghai and Shenzhen stock markets as research objects, adopts VAR model Granger causality test, impulse response function, variance decomposition and so on. This paper empirically analyzes the relationship between margin and stock market volatility and liquidity, as well as the specific influence direction of margin margin on market volatility and liquidity. Finally, combined with the empirical results and the actual situation of China's stock market, This paper puts forward some suggestions on the development of margin financing from several aspects, such as perfecting and promoting market-oriented conversion mechanism, perfecting securities supervision, expanding the scale of margin and securities business, perfecting the internal system of securities companies, and so on. The conclusions of this paper are as follows:. (1) margin trading has a certain degree of inhibition on the volatility of the stock market, but the intensity of the inhibition is constantly changing with the lapse of the lag period. 2) margin trading has no significant effect on stock market liquidity.
【學(xué)位授予單位】：西北大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51

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本文編號(hào)：1639260