本文選題：融資融券　切入點(diǎn)：標(biāo)的股票　出處：《合肥工業(yè)大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：融資融券具有放大證券供求、增加股市流通性、穩(wěn)定與發(fā)現(xiàn)價格等重要功能,自2010年在A股市場推行以來,該業(yè)務(wù)得到快速發(fā)展,融資融券標(biāo)的股票經(jīng)過四次擴(kuò)容,數(shù)量越來越多,融資融券交易額占A股市場成交額的比例也逐漸增大,其對股票市場的影響日益凸顯。融資融券對市場和標(biāo)的股票的影響,尤其是波動性方面的影響,一直是學(xué)術(shù)界和實(shí)務(wù)界關(guān)注的焦點(diǎn)之一,但迄今仍然沒有統(tǒng)一的結(jié)論。經(jīng)過六年多時間的實(shí)踐,融資融券對股市和標(biāo)的股票價格波動性的影響到底如何,是本文研究的重點(diǎn)。本文以融資融券相關(guān)的基礎(chǔ)理論為切入點(diǎn),運(yùn)用了定性與定量相結(jié)合的研究方法,在定性分析了融資融券交易對整個市場層面的影響的基礎(chǔ)上,從市場和標(biāo)的個股兩個層面進(jìn)行實(shí)證研究。首先,采用VAR模型、Granger因果檢驗(yàn)、脈沖響應(yīng)等計量方法實(shí)證分析了融資交易、融券交易對股價指數(shù)的作用,結(jié)果顯示:融資交易是股價指數(shù)變化的格蘭杰原因,對股價指數(shù)有助漲作用;融券交易對股價指數(shù)的波動有抑制作用,但是作用較小。其次,我們采用分組的方法,選取了2013年9月至2016年6月共計684個交易日的40支標(biāo)的股票的相關(guān)數(shù)據(jù)進(jìn)行研究,其中績差股、績優(yōu)股各20只。通過協(xié)整檢驗(yàn)、個體固定效應(yīng)回歸模型、個體隨機(jī)效應(yīng)回歸模型等方法對標(biāo)的股的面板數(shù)據(jù)進(jìn)行實(shí)證并發(fā)現(xiàn):融資交易對標(biāo)的股價有助漲作用,對績差股的助漲效應(yīng)更強(qiáng);融券交易對標(biāo)的股價有穩(wěn)定作用,但是對績差股的穩(wěn)定作用較弱。在實(shí)證研究的基礎(chǔ)上,最后借鑒國外成熟股票市場中融資融券的業(yè)務(wù)運(yùn)作模式,對我國融資融券交易機(jī)制的發(fā)展和完善提出相應(yīng)的政策建議。具體包括嚴(yán)格標(biāo)股票的準(zhǔn)入、實(shí)施差別化動態(tài)管理、建立健全信息披露制度、培養(yǎng)投資者的理性投資等,以期能促進(jìn)融資融券的健康完善發(fā)展。
[Abstract]:Margin financing has the important functions of amplifying the supply and demand of securities, increasing the circulation of the stock market, stabilizing and discovering the price, etc. Since 2010, the business has developed rapidly, and the stocks that are the subject of margin financing and short selling have been expanded four times. With the increasing number of securities, the ratio of margin trading volume to A-share market turnover is gradually increasing, and its impact on the stock market is becoming increasingly prominent. The impact of margin trading on the market and underlying stocks, especially the impact of volatility, is becoming increasingly prominent. After more than six years of practice, how does margin and margin affect the volatility of stock market and underlying stock price? This paper takes the basic theory of margin and margin as the breakthrough point, applies the qualitative and quantitative research methods, and analyzes the impact of margin trading on the whole market level qualitatively. First of all, using the VAR model Granger causality test, impulse response and other econometric methods to empirically analyze the role of financing transactions, margin trading on the stock price index. The results show that financing trading is the Granger reason for the change of stock price index, which can help the stock price index to rise; margin trading can restrain the fluctuation of stock price index, but it has little effect. Secondly, we adopt the grouping method. The relevant data of 40 underlying stocks from September 2013 to June 2016 were selected to study, of which 20 were poor stocks and 20 were top performers. Through cointegration test, the individual fixed effect regression model was established. The individual stochastic effect regression model and other methods are used to demonstrate the panel data of the underlying stock and find that the financing transaction has a positive effect on the underlying stock price, while the margin trading has a stable effect on the underlying stock price. On the basis of empirical research, the paper draws lessons from the business operation mode of margin financing and short selling in foreign mature stock market. This paper puts forward corresponding policy suggestions on the development and improvement of margin trading mechanism in China, including strict access to marked stocks, implementation of differential dynamic management, establishment and improvement of information disclosure system, training of rational investment of investors, etc. With a view to promoting the sound and sound development of margin financing.
【學(xué)位授予單位】：合肥工業(yè)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.51

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