本文選題：融資融券　切入點(diǎn)：價(jià)格發(fā)現(xiàn)　出處：《湖南大學(xué)》2014年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：隨著國(guó)內(nèi)融資融券交易市場(chǎng)的不斷放開(kāi)，融資融券對(duì)市場(chǎng)帶來(lái)的影響成為了學(xué)術(shù)界普遍關(guān)注的問(wèn)題。目前國(guó)內(nèi)外相關(guān)的文獻(xiàn)不多，國(guó)外的相關(guān)研究相對(duì)更加成熟，而在國(guó)內(nèi)相關(guān)的研究及其匱乏，主要體現(xiàn)在實(shí)證研究方面，這主要是由我國(guó)市場(chǎng)融資融券交易時(shí)間段，市場(chǎng)交易數(shù)據(jù)不完善造成的。針對(duì)這些現(xiàn)狀，本文從實(shí)證方面對(duì)我國(guó)融資融券交易下的市場(chǎng)價(jià)格發(fā)現(xiàn)做了相對(duì)較為全面的研究。 本文以事件研究法為基礎(chǔ)研究方法，從融資融券標(biāo)的證券調(diào)整的視角出發(fā)，以某只股票調(diào)入融資融券標(biāo)的證券交易名單為基礎(chǔ)事件，通過(guò)對(duì)事件發(fā)生日前后標(biāo)的股票的異常收益率以及累計(jì)異常收益率的統(tǒng)計(jì)分析和檢驗(yàn)來(lái)研究融資融券的價(jià)格發(fā)現(xiàn)功能。于此同時(shí)，本文進(jìn)行了嚴(yán)密的實(shí)證設(shè)計(jì)，分別從融資融券價(jià)格發(fā)現(xiàn)的規(guī)模效應(yīng)、市場(chǎng)效應(yīng)、公告效應(yīng)、轉(zhuǎn)融通效應(yīng)以及其他影響因素的視角出發(fā)，對(duì)我國(guó)融資融券交易下的市場(chǎng)價(jià)格形成機(jī)制進(jìn)行研究，進(jìn)行了大量的數(shù)據(jù)統(tǒng)計(jì)，研究了融資融券的價(jià)格發(fā)現(xiàn)功能。得出了我國(guó)的融資融券交易的價(jià)格發(fā)現(xiàn)功能具有復(fù)雜性特點(diǎn)的結(jié)論，尤其是我國(guó)的融券交易更多的是一種短期的投機(jī)性交易，而不是出于對(duì)市場(chǎng)看空的理性預(yù)期的交易。同時(shí)我國(guó)融資融券價(jià)格發(fā)現(xiàn)功能具有明顯的市場(chǎng)效應(yīng)、公告效應(yīng)和轉(zhuǎn)融通效應(yīng)。在實(shí)證研究的同時(shí)也檢驗(yàn)了事件研究法兩個(gè)主要研究模型(市場(chǎng)模型和市場(chǎng)調(diào)整模型)的有效性，說(shuō)明了在相對(duì)成熟的市場(chǎng)中，市場(chǎng)模型更為有效，而相反，在相對(duì)不成熟的市場(chǎng)中，相對(duì)較為簡(jiǎn)單的市場(chǎng)調(diào)整更為有效。 本研究希望通過(guò)大量的數(shù)據(jù)分析以及實(shí)證研究，檢驗(yàn)我國(guó)融資融券交易的價(jià)格發(fā)現(xiàn)功能，，于此同時(shí)，為學(xué)術(shù)界后續(xù)相關(guān)領(lǐng)域的研究提供一定的參考。
[Abstract]:With the domestic margin trading market continues to open up, the impact of margin trading on the market has become a common concern in academic circles. At present not much relevant literature at home and abroad, foreign research relatively more mature, but in domestic related research and shortage, mainly reflected in the empirical research, this is mainly by me China's market margin trading period, the market transaction data not perfect. To solve these problems, this paper from the empirical aspects of China's margin trading under the market price discovery made a relatively comprehensive study.
In this paper, based on event study research methods, starting from the margin of the underlying securities to adjust the angle of view, to a stock transferred to the margin of the underlying securities transaction list based event, found abnormal return through the event day before and after the underlying stock price and the rate of statistical analysis and test of the cumulative abnormal return to study the margin. At the same time, this paper makes an empirical design tight, scale effect, respectively from the margin of price discovery market effect, the announcement effect of view factors of refinancing effect and other effects, mechanism of margin trading in China under the market price formation research, carried out a large number of the function of data statistics, found the margin of the price. The conclusion has the function of complexity found in China's margin trading price, especially in our country The margin trading is more of a short-term speculative trading, rather than rational expectations on the market bearish trading. At the same time our margin market price discovery function has obvious effect, the announcement effect and the refinancing effect. In the empirical study also tested the event study method of two main models (market model and market adjustment model) the validity, explained in a relatively mature market, the market model is more effective, but on the contrary, in the relatively mature market, relatively simple market adjustment is more effective.
This study hopes to test the price discovery function of margin trading in China through a lot of data analysis and empirical research. Meanwhile, it will provide some references for the follow-up research in related fields in the academic field.

【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F832.51

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