發(fā)布時(shí)間：2018-06-30 22:05

  本文選題：股票市場 + 信用交易�。� 參考：《復(fù)旦大學(xué)》2014年碩士論文

【摘要】：信用交易制度是指投資者借入資金或證券以完成證券交易的制度。2010年3月31日,融資融券業(yè)務(wù)試點(diǎn)標(biāo)志著我國信用交易制度的建立,其發(fā)展至今先后經(jīng)歷了三次標(biāo)的證券擴(kuò)容、轉(zhuǎn)融資、轉(zhuǎn)融券業(yè)務(wù)推出等關(guān)鍵事件,并在2014年達(dá)到了日均交易額近200億元的穩(wěn)定水平。然而,回顧相關(guān)研究可以發(fā)現(xiàn),信用交易對市場質(zhì)量的影響始終是學(xué)界存在爭議的問題。本文首先從融資融券與轉(zhuǎn)融通兩個(gè)層次分析了信用交易對市場流動(dòng)性及波動(dòng)性的影響機(jī)制,自Schwert (1990)等學(xué)者的波動(dòng)成分說入手,分別考慮了股市暫時(shí)性與永久性波動(dòng)對信用交易的不同反應(yīng)特征,并提出信用交易對股市的動(dòng)態(tài)波動(dòng)影響取決于信用交易對長短期波動(dòng)的綜合作用；而信用交易對市場流動(dòng)性的影響則通過杠桿交易與雙邊盈利機(jī)制得以實(shí)現(xiàn)。進(jìn)而,本文以我國信用交易制度推出至今的市場數(shù)據(jù)對理論假設(shè)進(jìn)行了實(shí)證檢驗(yàn),分別對流動(dòng)性影響使用了基于VAR模型的脈沖響應(yīng)與方差分解分析,對波動(dòng)性影響使用了體現(xiàn)波動(dòng)非對稱反應(yīng)的T-GARCH模型與體現(xiàn)長短期波動(dòng)特征的AC-GARCH模型。本文研究發(fā)現(xiàn),我國信用交易制度增加了股票市場流動(dòng)性,分階段實(shí)證顯示,前期融資交易對流動(dòng)性的積極影響更大,后期則以融券交易的積極影響更大,筆者認(rèn)為這可能與信用交易標(biāo)的證券后期向中小盤股擴(kuò)容有關(guān)；本文基于波動(dòng)動(dòng)態(tài)特征的研究顯示,我國信用交易制度加劇了噪聲交易行為引致的暫時(shí)性波動(dòng)、平抑了理性價(jià)格調(diào)整引致的永久性波動(dòng),并在永久性波動(dòng)的主導(dǎo)下降低了市場的整體波動(dòng)水平,這一結(jié)果與筆者所提出的理論猜想一致；轉(zhuǎn)融券的推出在一定程度上降低了市場波動(dòng),但轉(zhuǎn)融通在整體上未能對市場流動(dòng)性及不同波動(dòng)成分產(chǎn)生顯著影響,這可能與轉(zhuǎn)融通試點(diǎn)券商及標(biāo)的證券有限等因素有關(guān)�；谝陨辖Y(jié)論,本文建議可考慮通過建立標(biāo)的證券信用評級與動(dòng)態(tài)監(jiān)控機(jī)制、以機(jī)構(gòu)投資者作為交易主體等方式,進(jìn)一步完善我國的信用交易制度。
[Abstract]:Credit trading system refers to the system in which investors borrow funds or securities to complete securities trading. On March 31, 2010, the pilot project of margin trading marked the establishment of credit trading system in China, and its development has experienced three expansion of underlying securities. Key events, such as refinancing and margin trading, reached a steady level of nearly 20 billion yuan a day in 2014. However, the impact of credit transactions on market quality has always been a controversial issue in academic circles. This paper first analyzes the influence mechanism of credit trading on market liquidity and volatility from the two levels of margin financing and intermediation, starting with Schwert (1990) and other scholars' theory of volatility components. Considering the different reaction characteristics of the temporary and permanent volatility of stock market to credit trading, it is pointed out that the influence of credit trading on the dynamic fluctuation of stock market depends on the comprehensive effect of credit trading on the long-term and short-term volatility. The influence of credit trading on market liquidity is realized through leverage trading and bilateral profit mechanism. Furthermore, this paper uses the market data of China's credit trading system to test the theoretical hypothesis, and uses the impulse response and variance decomposition analysis based on VAR model to analyze the liquidity effect. T-GARCH model and AC-GARCH model are used for the volatility effect. This paper finds that China's credit trading system increases the liquidity of the stock market. The empirical results in stages show that the positive impact of pre-financing transactions on liquidity is greater, and that of margin trading is more positive in the later period. The author thinks that this may have something to do with the expansion of the credit target securities to small and medium-sized stocks in the later period. The research based on the dynamic characteristics of volatility shows that the credit trading system of our country intensifies the temporary fluctuation caused by the noise trading behavior. It calms the permanent fluctuation caused by rational price adjustment, and reduces the whole fluctuation level of the market under the guidance of the permanent fluctuation. This result is consistent with the theoretical conjecture put forward by the author. The introduction of margin has reduced the market volatility to a certain extent, but it has not significantly affected the market liquidity and different fluctuating components, which may be related to the limited number of securities firms and underlying securities. Based on the above conclusions, this paper suggests that the credit trading system of our country should be further improved by establishing the credit rating and dynamic monitoring mechanism of the underlying securities and using institutional investors as the main trading body.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.51

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本文編號：2086996