本文選題：融資融券　切入點：協(xié)整檢驗　出處：《東北大學》2014年碩士論文　論文類型：學位論文

【摘要】：融資融券業(yè)務于2010年3月31日推出啟用,至今已經(jīng)有四年時間,業(yè)務發(fā)展平穩(wěn),滬市融資融券余額已上升至2600億。融資融券作為股票市場重要的賣空交易機制,具有資金杠桿效應和價格發(fā)現(xiàn)功能。融資融券業(yè)務的推出對上海A股市場的波動性究竟產(chǎn)生了怎樣的影響,本文據(jù)此進行了研究。本文以上證180指數(shù)作為股票市場的代表,從長短期關(guān)系、因果關(guān)系、股指收益率波動性三個方面進行分析。首先通過協(xié)整檢驗得到融資融券余額與股票指數(shù)存在長期均衡關(guān)系。Granger因果檢驗的結(jié)果發(fā)現(xiàn)融資融券是引起我國股票指數(shù)變化波動的Granger原因,而股票指數(shù)變化波動不是引起融資融券變化的Granger原因。建立VAR向量自回歸模型并進行脈沖響應和方差分解分析,發(fā)現(xiàn)融資融券在一定程度上降低了股市波動性,且融資融券對股票指數(shù)波動的貢獻率較大。對上證180指數(shù)收益率序列建立GARCH(1,1)模型和EGARCH(1,1)模型,并引入虛擬變量,得到結(jié)果顯示融資融券的推出降低了上證180指數(shù)的波動性。本文的主要結(jié)論為,融資融券的推出降低了上海A股市場的波動性,具有平抑股市波動,穩(wěn)定市場的作用。
[Abstract]:The margin and short margin business was launched in March 31st 2010 and has been developed steadily for four years. The balance of margin and short selling in Shanghai Stock Exchange has risen to 260 billion. As an important short selling mechanism in the stock market, short selling and short selling is an important mechanism in the stock market. It has the function of capital leverage and price discovery. How does the introduction of margin and margin business affect the volatility of Shanghai A-share market, which is studied in this paper. This paper takes the Shanghai Stock Exchange 180 Index as the representative of the stock market. From long and short term relationships, causality, Firstly, through cointegration test, we get the long-run equilibrium relationship between margin balance and stock index. Granger causality test shows that margin margin is the cause of stock index change in China. Granger causes of volatility, The volatility of stock index is not the cause of the change of margin and margin. The VAR vector autoregressive model is established and the impulse response and variance decomposition analysis are carried out, and it is found that margin and margin reduce the volatility of stock market to a certain extent. The contribution rate of margin and short selling to stock index fluctuation is great. For the yield sequence of Shanghai 180 index, we establish GARCHG 1) model and EGARCHN 1 + 1) model, and introduce virtual variable. The results show that the introduction of margin and margin reduces the volatility of Shanghai 180 Index. The main conclusion of this paper is that the introduction of margin and margin reduces the volatility of Shanghai A-share market and has the function of stabilizing the stock market and stabilizing the stock market.
【學位授予單位】：東北大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51;F224

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本文編號：1605752