本文關(guān)鍵詞： 融資融券 融券交易 ETF基金 波動性　出處：《南京大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：我國證券市場試點推出融資融券交易制度已經(jīng)有四年的時間了。學(xué)術(shù)界對于融資融券交易制度是否有利我國證券市場市場的發(fā)展,能否持續(xù)推進我國證券市場平穩(wěn)運行這一觀點一直未達成統(tǒng)一意見。本文從ETF基金的角度入手,利用ETF的日交易數(shù)據(jù)以及其對應(yīng)的融資融券的交易數(shù)據(jù),研究融資融券機制推出之后,對ETF基金到底會產(chǎn)生怎樣的影響。本文參考融資融券交易制度對我國滬深股市波動性影響的分析方法,選取了2只納入融資融券交易標的較早的ETF基金,從波動性的角度來研究融資融券交易制度對我國ETF基金的影響。首先,本文梳理了融資融券交易制度的概念、投資模式,ETF的概念、投資模式,其次,本文整理并分析了國內(nèi)外融資融券交易對股票市場波動性影響的文獻,進而確定研究我國融資融券交易對ETF基金的方法——使用GARCH模型和VAR模型；再用實證分析研究融資融券交易對我國股市波動性的影響以及賣空交易具體對我國ETF基金波動性的影響。本文采用GARCH模型檢驗融資融券交易對ETF基金波動性的整體影響,再采用VAR模型檢驗融券交易對ETF基金波動性的具體影響方向。最后,結(jié)合實證結(jié)果與我國ETF基金市場的實際情況,從四個角度出發(fā)對我國融資融券交易制度提出了意見,期望進一步完善我國的融資融券交易制度,促使我國證券市場健康發(fā)展。根據(jù)GARCH模型和VAR模型的實證分析,本文得出了下面幾點結(jié)論：(1)通過GARCH模型以及虛擬變量的加入,我們可以發(fā)現(xiàn)華安上證180ETF和華夏上證50ETF的波動性在加入融資融券的標的之后得到了一定程度的抑制。兩只基金的ARCH(1)+GARCH (1)值均小于1。從這個結(jié)論出發(fā),我們可以知道,融資融券交易制度對這兩只ETF基金起到價格穩(wěn)定器的作用。當ETF基金價格被估低時,投資者融資買入ETF基金,使ETF價格升高,回歸凈值,當ETF基金價格虛高時,投資者融券賣空ETF基金,使ETF基金價格降低,回歸凈值；(2)通過協(xié)整檢驗,我們可以知道,華安上證180ETFHE和華夏上證50ETF均和其對應(yīng)的融券交易量存在長期的穩(wěn)定關(guān)系；而通過格蘭杰因果檢驗我們可以知道,華安上證180ETF基金和華夏上證50ETF的波動性不是引起融券變化的Granger原因,但是融券交易是影響華安上證ETF基金和華夏上證50ETF波動的Granger原因。從脈沖響應(yīng)的分析圖可以看出,華安上證180ETF和華夏上證50ETF受到融券交易的影響,波動都成下降趨勢,但是長期之后兩者都進入穩(wěn)定狀態(tài),也就是說,在一定程度上,融券交易確實起到了抑制ETF基金波動的作用。通過進一步的方差分解我們可以看見,雖然融資交易確實對ETF基金波動性起到了抑制作用,但是作用并不是非常明顯。
[Abstract]:It has been four years since the introduction of margin trading system in China's securities market. Whether we can continue to promote the smooth operation of China's securities market has not reached a unified view. This article from the perspective of ETF funds. Using the daily trading data of ETF and the corresponding trading data of margin and margin, the paper studies the mechanism of margin and short margin after the launch. This paper refers to the analysis of the impact of margin trading system on the volatility of China's Shanghai and Shenzhen stock markets. This paper selects two ETF funds which are included in the trading target of margin trading earlier to study the impact of margin trading system on China's ETF funds from the point of view of volatility. First of all. This paper combs the concept of margin trading system, the concept of investment model ETF, investment model. Secondly, this paper collates and analyzes the domestic and foreign literature on the impact of margin trading on the volatility of the stock market. And then determine the research method of margin trading on ETF funds in China-using GARCH model and VAR model; Then we use the empirical analysis to study the impact of margin trading on the volatility of China's stock market and the impact of short selling on the volatility of China's ETF funds. This paper uses the GARCH model to test the effect of margin trading on et. The overall impact of F Fund volatility. Then using the VAR model to test the specific direction of short margin trading on the volatility of ETF funds. Finally, combined with the empirical results and the actual situation of ETF fund market in China. From four angles, this paper puts forward some opinions on the trading system of margin trading in China, hoping to further improve the trading system of margin trading in China. According to the empirical analysis of GARCH model and VAR model, this paper draws the following conclusions: 1) through the GARCH model and the addition of virtual variables. We can find that the volatility of Shanghai 180 ETF and 50 ETF is restrained to a certain extent after adding the target of margin and margin. The GARCH value is less than 1. Based on this conclusion. As we can know, margin trading system acts as a price stabilizer for these two ETF funds. When the price of ETF funds is low, investors buy ETF funds to make ETF price rise. Return to net value, when the price of ETF funds is high, investors short short of ETF funds, so that the price of ETF funds to reduce, return to net value; 2) through cointegration test, we can know that there is a long-term stable relationship between Shanghai Securities Exchange 180ETFHE and Shanghai ETF 50ETF. By Granger causality test, we can know that the volatility of Shanghai Shanghai Exchange Fund 180 and Shanghai 50 ETF is not the Granger cause of margin change. However, margin trading is the Granger reason that affects the fluctuation of ETF fund and 50 ETF of Shanghai Stock Exchange of China, which can be seen from the analysis of impulse response. Hua'an Shanghai ETF 180 and China Shanghai Exchange Fund 50 are affected by margin trading, fluctuations have become a downward trend, but after a long period of time, both are in a stable state, that is, to a certain extent. Margin trading does play a role in restraining the volatility of ETF funds. Through further variance decomposition we can see that although the financing transactions do inhibit the volatility of ETF funds. But the effect is not very obvious.
【學(xué)位授予單位】：南京大學(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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