發(fā)布時間：2018-05-29 23:00

  本文選題：融資融券 + 收益率��； 參考：《復旦大學》2014年碩士論文

【摘要】：國內(nèi)外現(xiàn)有文獻研究發(fā)現(xiàn)我國股市存在日歷效應,其表現(xiàn)形式與發(fā)達國家市場的日歷效應有所不同。日歷效應存在的原因來自多個方面,包括交易制度、資金成本、投資者心理、交易行為等。我國股市于2010年3月31日試點開展融資融券業(yè)務,對于融資融券業(yè)務的開展,現(xiàn)有文獻研究發(fā)現(xiàn)其對股市流動性和波動性會產(chǎn)生影響。本文從行為金融學的角度考慮,融資融券的引入使得投資者更能表達對某種證券的價格預計于判斷,為投資者有提供了更多的投資選擇、方式與手段,能夠改變投資者的投資行為。這在一定程度上可以影響股市日歷效應等與投資者行為相關的現(xiàn)象�；谏鲜隹紤],本文對融資融券業(yè)務的開展對我國股市日歷效應帶來的影響展開研究,運用基于修正的GARCH(1,1)模型,選取上證50指數(shù)、上證綜合指數(shù)以及滬深300指數(shù)從2006年6月8日至2014年1月31日的數(shù)據(jù)進行實證研究。分析了融資融券業(yè)務開展時間點前后我國股市日收益率的日歷效應、收益率波動性的日歷效應的變化情況,并對日歷效應的變化進行了原因分析與總結(jié)。實證結(jié)果表明融資融券使得我國股市收益率的日歷效應明顯增強,收益率波動性的日歷效應也有一定程度的增強。本文從交易資金、投資者行為等角度對產(chǎn)生這一變化的原因做出了分析與解釋,并在文末指出了研究的不足與未來展望。
[Abstract]:It is found that there is calendar effect in Chinese stock market, which is different from that in developed countries. The reason of calendar effect comes from many aspects, including trading system, capital cost, investor psychology, trading behavior and so on. The stock market of our country launched margin and margin business on March 31, 2010. For the development of margin business, the existing literature found that it will have an impact on the liquidity and volatility of the stock market. In this paper, from the perspective of behavioral finance, the introduction of margin financing makes investors more able to express their expectations of the price of a certain security, and provides investors with more investment options, ways and means. Can change investor's investment behavior. To some extent, this can affect the stock market calendar effect and other phenomena related to investor behavior. Based on the above considerations, this paper studies the impact of margin trading on the calendar effect of China's stock market, and selects the Shanghai Stock Exchange 50 Index by using the modified GARCHG 1 / 1) model. The data of Shanghai Composite Index and Shanghai and Shenzhen 300 Index from June 8, 2006 to January 31, 2014 are empirically studied. This paper analyzes the calendar effect of daily yield of stock market and the change of calendar effect of volatility of yield before and after the development of margin and margin business in China, and analyzes and summarizes the reasons for the change of calendar effect. The empirical results show that margin financing and margin lending make the calendar effect of stock market yield significantly enhanced, and the calendar effect of yield volatility is also enhanced to a certain extent. This paper analyzes and explains the causes of this change from the perspective of trading funds and investor behavior, and points out the shortcomings of the research and the future prospects at the end of this paper.
【學位授予單位】：復旦大學
【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：1952788