本文選題：融資融券 + 異質(zhì)信念��； 參考：《復旦大學》2014年碩士論文

【摘要】：近年來,我國融資融券交易業(yè)務發(fā)展勢頭良好,包括融資融券業(yè)務在內(nèi)的類信貸業(yè)務的利息收入也成為了我國證券公司的第三大收入來源。然而,當資本市場經(jīng)歷了昌九生化“兩融第一慘案”事件后,我們發(fā)現(xiàn)該業(yè)務蘊含著潛在的風險。融資融券交易對于不同類型的市場參與者而言,所帶來的影響可能是不一樣的。本文研究了我國資本市場兩融交易中的異質(zhì)信念。首先回顧了有關(guān)異質(zhì)信念與資產(chǎn)價格相關(guān)性的兩個理論模型。其次利用中國股市338只股票8個季度的面板數(shù)據(jù)進行了實證研究,指出了機構(gòu)投資者和散戶之間在兩融交易中存在著異質(zhì)信念現(xiàn)象。隨后研究了兩融交易中異質(zhì)信念程度變化率與股票收益率的短期關(guān)系。本文還研究了我國資本市場融資融券交易中的私有信息套利問題。通過對中國股市相關(guān)面板數(shù)據(jù)的實證研究,提出了融資余額占流通市值較大的股票的私有信息套利程度更高。機構(gòu)與散戶之間異質(zhì)信念的存在,表明散戶相比機構(gòu)投資者對于融資余額占流通市值較大的股票更為偏好。而由于散戶相比機構(gòu)投資者更有可能是非理性的噪聲交易者,相對來說市場更容易被誤導和操縱；因此,增大了這部分證券交易中的私有信息套利程度。本文通過機構(gòu)投資者持股比例這一中間變量,將我國融資融券交易中的異質(zhì)信念與私有信息套利有機地結(jié)合了起來,為更好地理解我國融資融券交易活動的特點提供了新的視角。此外,本文還利用了最新的市場數(shù)據(jù),在股票收益率、融資余額變化率和換手率變化率三者之問建立了穩(wěn)定的向量自回歸模型,進行了脈沖響應函數(shù)分析以及三者之間的格蘭杰因果檢驗；接著,證明了融資余額占流通市值比例與股價之間存在著協(xié)整關(guān)系,并建立了二者之間穩(wěn)定的向量誤差修正模型。最后,基于本文的理論和實證研究結(jié)果,有針對性地提出了與在融資融券交易活動中保護散戶、監(jiān)控市場操縱和內(nèi)幕交易行為相關(guān)的政策建議。
[Abstract]:In recent years, the business of margin trading has developed well in China, and the interest income of credit business, including margin trading, has become the third major source of income of securities companies in China. However, when the capital markets experienced Changjiu biochemistry's first tragedy, we found that the business carries potential risks. Margin trading may have different effects on different types of market participants. This paper studies the heterogeneous beliefs in the two financial transactions in China's capital market. Firstly, two theoretical models about the correlation between heterogeneous beliefs and asset prices are reviewed. Secondly, using the panel data of 338 stocks in Chinese stock market for 8 quarters, the paper points out that there is heterogeneity of belief between institutional investors and retail investors in the two financial transactions. Then we study the short-term relationship between the rate of change of heterogeneous belief degree and stock return. This paper also studies the problem of private information arbitrage in margin trading in China's capital market. Based on the empirical research on the relevant panel data of China's stock market, it is proposed that the private information arbitrage degree of the stocks with larger market value financing balance is higher. The existence of heterogeneous beliefs between institutions and retail investors indicates that retail investors have a greater preference for stocks with larger outstanding market value than institutional investors. Since retail investors are more likely than institutional investors to be irrational noise traders, the market is more likely to be misled and manipulated; therefore, the degree of private information arbitrage in these securities trading is increased. Through the intermediate variable of institutional investor's shareholding ratio, this paper organically combines the heterogeneous belief in margin trading and private information arbitrage in our country. It provides a new perspective to better understand the characteristics of margin trading activities in China. In addition, using the latest market data, a stable vector autoregressive model is established between stock return rate, financing balance change rate and turnover rate change rate. The impulse response function analysis and Granger causality test between them are carried out, and then, it is proved that there is a cointegration relationship between the ratio of financing balance to circulating market value and stock price, and a stable vector error correction model between them is established. Finally, based on the theoretical and empirical results of this paper, this paper puts forward some policy recommendations related to the protection of retail investors, monitoring of market manipulation and insider trading in margin trading activities.
【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：1973349