本文選題：融資融券　切入點(diǎn)：市場(chǎng)質(zhì)量　出處：《西南財(cái)經(jīng)大學(xué)》2014年博士論文

【摘要】：從2010年3月31日試點(diǎn)實(shí)施以來,我國(guó)融資融券業(yè)務(wù)一直處于不斷的完善過程之中,其建立的每一個(gè)步驟都關(guān)系股票市場(chǎng)微觀結(jié)構(gòu)的改變。融資融券業(yè)務(wù)的開展,是我國(guó)個(gè)股第一次真正能夠進(jìn)行賣空業(yè)務(wù),這是證券市場(chǎng)完善過程中的重要步驟,對(duì)市場(chǎng)質(zhì)量的改善有著非常的意義。但是到目前為止,關(guān)于我國(guó)融資融券業(yè)務(wù)影響的文獻(xiàn)不多,且結(jié)論不是很一致。之前的相關(guān)研究?jī)H僅關(guān)注于融資融券發(fā)展過程中的一個(gè)階段、某側(cè)面,難免以偏概全。 因此本文的研究將圍繞著融資融券的發(fā)展過程,試圖從其對(duì)市場(chǎng)質(zhì)量各個(gè)側(cè)面的影響進(jìn)行全面的研究。目的是希望能夠從中找到其經(jīng)濟(jì)規(guī)律,并正確評(píng)價(jià)融資融券業(yè)務(wù)對(duì)于市場(chǎng)質(zhì)量的影響。分析其經(jīng)濟(jì)規(guī)律,研究賣空和買空對(duì)于市場(chǎng)的經(jīng)濟(jì)意義,對(duì)金融市場(chǎng)微觀結(jié)構(gòu)的研究有重要的理論意義。而對(duì)于融資融券業(yè)務(wù)影響的現(xiàn)實(shí)情況的分析,并對(duì)其正確評(píng)價(jià),能夠?qū)ξ覈?guó)融資融券業(yè)務(wù)的進(jìn)一步發(fā)展起到一定的啟示作用,具有積極的現(xiàn)實(shí)意義。 本文沿著現(xiàn)實(shí)與理論剖析-實(shí)證檢驗(yàn)-對(duì)策建議的思路,從分析我國(guó)融資融券現(xiàn)狀并和國(guó)外情況進(jìn)行對(duì)比出發(fā),在系統(tǒng)梳理和分析國(guó)內(nèi)外學(xué)者現(xiàn)有文獻(xiàn)的基礎(chǔ)上。根據(jù)以往學(xué)者在對(duì)市場(chǎng)微觀結(jié)構(gòu)的研究,本文據(jù)此將市場(chǎng)質(zhì)量細(xì)分成價(jià)格發(fā)現(xiàn)、價(jià)格穩(wěn)定性、信息效率、流動(dòng)性四個(gè)不同的側(cè)面依次進(jìn)行融資融券各個(gè)階段上的實(shí)證檢驗(yàn)研究。最后根據(jù)檢驗(yàn)結(jié)果總結(jié)并給出了政策建議。對(duì)于四方面的具體分析框架如下： 1、價(jià)格發(fā)現(xiàn)功能的檢驗(yàn)方面,一是沿著融資融券業(yè)務(wù)發(fā)展的時(shí)間軸,對(duì)不同階段的價(jià)格發(fā)現(xiàn)情況分別進(jìn)行檢驗(yàn)。本文將業(yè)務(wù)變化階段分為了四個(gè)時(shí)點(diǎn),分別采用面板數(shù)據(jù)DID方法進(jìn)行討論。另一方面是對(duì)比香港和大陸市場(chǎng)價(jià)格發(fā)現(xiàn)機(jī)制的變化。對(duì)比A股和H股交叉上市的股票,分析了在融資融券和轉(zhuǎn)融通的實(shí)行之后個(gè)股的估值差異。 2、在價(jià)格穩(wěn)定性的實(shí)證檢驗(yàn)方面,將價(jià)格穩(wěn)定性分為了價(jià)格的波動(dòng)性和價(jià)格崩潰兩個(gè)方面。關(guān)于價(jià)格波動(dòng)的討論中,采用了EGARCH模型個(gè)股的日收益率數(shù)據(jù)的波動(dòng)性進(jìn)行刻畫。之后對(duì)波動(dòng)性采用面板數(shù)據(jù)模型分析。在價(jià)格崩潰假說方面主要對(duì)收益率偏度、正負(fù)極端值和收益率密度函數(shù)進(jìn)行了討論。 3、在信息效率的分析方面,我們將信息效率分為了公共信息融入價(jià)格速度f(wàn)、投資者私人異質(zhì)信念的融入價(jià)格程度R2+、R2-和Rdiff、個(gè)股的信息效率|AR30|三方面變量。討論融資融券對(duì)其的影響,并采用面板Granger檢驗(yàn)研究了三方面變量的互相關(guān)系。 4、關(guān)于流動(dòng)性方面,通過對(duì)于流動(dòng)性指標(biāo)的分析,采用兩個(gè)指標(biāo)分別代表了流動(dòng)性的寬度和深度。采用融資融券兩方面的交易變量對(duì)于流動(dòng)性的寬度和深度分別進(jìn)行檢驗(yàn)。 通過上述四方面的實(shí)證檢驗(yàn),我們發(fā)現(xiàn)融資融券的影響并非一蹴而就的,而是通過政策和市場(chǎng)的不斷完善而逐漸完成的。融資融券業(yè)務(wù)對(duì)于價(jià)格估值的準(zhǔn)確性、價(jià)格的穩(wěn)定性、信息的有效性均有積極的促進(jìn)作用。而對(duì)于市場(chǎng)的流動(dòng)性影響需要視具體情況而定。具體內(nèi)容包括： 1、價(jià)格發(fā)現(xiàn)功能的檢驗(yàn)方面,發(fā)現(xiàn)我國(guó)融資融券的價(jià)格發(fā)現(xiàn)過程通過政策和市場(chǎng)的不斷完善而逐漸建立,并且效果也逐漸累積,并最終對(duì)于我國(guó)證券市場(chǎng)的價(jià)格發(fā)現(xiàn)功能的優(yōu)化發(fā)揮出了應(yīng)有的作用。A股和H股交叉上市的個(gè)股的估值差異有所減小,減小了我國(guó)證券市場(chǎng)和境外證券市場(chǎng)的市場(chǎng)分割情況。 2、在價(jià)格穩(wěn)定性的實(shí)證檢驗(yàn)方面,發(fā)現(xiàn)在融資融券業(yè)務(wù)開通之前,個(gè)股的波動(dòng)具有不對(duì)稱性�！袄孟ⅰ钡挠绊戇h(yuǎn)大于“利空消息”,這是異質(zhì)信念在不能賣空時(shí)的具體表現(xiàn)。開通業(yè)務(wù)之后,個(gè)股波動(dòng)不對(duì)稱性得到了很大程度的消除,并一定程度上降低了個(gè)股收益率的波動(dòng)。通過面板數(shù)據(jù)檢驗(yàn),我們發(fā)現(xiàn)當(dāng)個(gè)股的收益率為正時(shí),融券賣空能夠通過增加股票供給和更多的表達(dá)出異質(zhì)信念而降低收益率的波動(dòng)。而收益率為負(fù)時(shí),融券賣空的表現(xiàn)不明顯。在價(jià)格崩潰假說方面,融資融券和轉(zhuǎn)融通的推出后,有效的改善了價(jià)格崩潰的危險(xiǎn)。而正極端值出現(xiàn)的頻率也顯著的降低,從而使收益率密度函數(shù)更接近有效市場(chǎng)下的正態(tài)函數(shù)假設(shè)。通過分析我們可以認(rèn)為融資融券和轉(zhuǎn)融通的推出,有利于我國(guó)證券市場(chǎng)的穩(wěn)定。 3、在信息效率的分析方面,研究表明公共信息融入價(jià)格的速度隨著融資融券業(yè)務(wù)的發(fā)展在加快。投資者私人異質(zhì)信念融入價(jià)格的程度隨著融資融券的發(fā)展變得更為均衡。而個(gè)股的消息效率也在這個(gè)過程中變得更為有效。采用面板Granger檢驗(yàn)研究發(fā)現(xiàn)投資者私人異質(zhì)信念的融入價(jià)格程度變得均衡,這是個(gè)股信息效率提升的原因。 4、關(guān)于流動(dòng)性方面,研究發(fā)現(xiàn)融資融券不同的交易方式,因?yàn)樽陨韺?duì)于市場(chǎng)提供了不同的物品,對(duì)于流動(dòng)性寬度和深度的具有不同影響。研究表明融資買入能對(duì)流動(dòng)性寬度產(chǎn)生很大的正向影響,在融資融券業(yè)務(wù)對(duì)于流動(dòng)性寬度的影響中占據(jù)最主要的地位。 本文通過實(shí)證研究和理論分析,在以下方面確定了部分創(chuàng)新成果： 一是本文通過將融資融券的發(fā)展細(xì)分為幾個(gè)時(shí)間段,通過對(duì)于不同時(shí)間段下的市場(chǎng)質(zhì)量的不同側(cè)面進(jìn)行討論。明確了融資融券業(yè)務(wù)對(duì)我國(guó)市場(chǎng)質(zhì)量的產(chǎn)生的積極的推動(dòng)作用。研究發(fā)現(xiàn)融資融券優(yōu)化了股票市場(chǎng)價(jià)格發(fā)現(xiàn)機(jī)制,減小了海內(nèi)外市場(chǎng)的分割,減小了收益率的波動(dòng)性及不對(duì)稱性,降低了市場(chǎng)崩潰的可能,并提升了市場(chǎng)信息效率。 二是通過對(duì)流動(dòng)性指標(biāo)的分析,發(fā)現(xiàn)融資融券對(duì)于流動(dòng)性的影響不能一概而論。融資和融券對(duì)于流動(dòng)性深度和寬度的影響是不同。融資影響了流動(dòng)性寬度,而融券則影響了流動(dòng)性深度。 三是發(fā)現(xiàn)融資融券業(yè)務(wù)最主要還是通過賣空對(duì)我國(guó)股票市場(chǎng)產(chǎn)生作用。其路徑是在放開賣空限制之后,投資者能夠充分表達(dá)自己的各種意念,賣空推動(dòng)了流動(dòng)性深度的增加,從而導(dǎo)致異質(zhì)信念能夠充分融入價(jià)格,進(jìn)而降低了股票的溢價(jià)和波動(dòng)的大小和不對(duì)稱的降低。 本文雖然取得了一些成果,但是由于實(shí)際數(shù)據(jù)方面的限制,論文在股票的選取特別是不同的時(shí)點(diǎn)上因?yàn)檎叩仍螂y以保持股票范圍和數(shù)量的一致,希望隨著經(jīng)濟(jì)數(shù)據(jù)的完善,在后續(xù)的研究中能夠彌補(bǔ)這些不足之處。
[Abstract]:Since the implementation of the pilot from March 31, 2010, the margin trading business in China has been in a process of continuous improvement, every step of the establishment of the relationship between the stock market microstructure. The launch of margin trading, is China's first real stocks to short selling business, this is an important step in the process of perfecting the securities market, has a very significance to improve the quality of the market. But so far, not on our margin business impact of literature, and the conclusion is not very consistent. Previous studies only focus on financing a stage in the development of a voucher side, is Overgeneralization.
Therefore, this study will focus on the development process of the margin, attempts to make a comprehensive study on its impact on the market quality of each side. The objective is to find the economic laws in effect and the correct evaluation of the margin trading business in the market. The quality of the analysis of the economic law, study the up and down of the market economy the significance, has an important theoretical significance for the study of financial market microstructure. The reality of margin financing business impact analysis, and the correct evaluation to the further development of the Revelation on China's margin trading business, has a positive practical significance.
In this paper, the theoretical analysis along the reality and empirical test countermeasures ideas, from the analysis of current situation of margin and compared with the foreign situation, based on a systematic review and analysis of domestic and foreign scholars on the existing literature. According to the previous scholars in the research on market microstructure, this paper will be divided into the quality of the market price discovery, price stability, information efficiency and liquidity of the four different sides in each stage of empirical research on the margin test. According to the test results summary and gives policy recommendations. For the following four aspects specific analysis framework:
1, the price discovery function test, a time axis is along the margin of the business development, the different stages of the price discovery were tested. This paper is divided into four stages of business change point, respectively, using panel data DID method is discussed. On the other hand is the mechanism of changes found that compared to Hongkong and the mainland market price comparison. A shares and H shares cross listed stocks, analyzed the financing and refinancing after the introduction of stock valuation differences.
2, in the empirical research of price stability, price stability will be divided into two aspects: price volatility and price collapse. About the price fluctuation, using EGARCH model stock daily return data volatility portrayed. After the volatility using panel data model analysis. The price collapse hypothesis the main rate of skewness to income, positive and negative extreme values are discussed and the yield density function.
3, analysis on information efficiency, we will be in the public information efficiency information into the price rate of F, the private investors heterogeneous beliefs into the price level of R2+, R2- and Rdiff, |AR30| information efficiency stock's three variables. Discuss the impact of margin trading on it, and the relationship between the three variables were studied by the panel Granger test.
4, about liquidity, through the analysis of liquidity indicators, two indicators are used to represent the width and depth of liquidity respectively. The transaction width and depth of liquidity are tested by two trading variables of margin trading.
Through the empirical test of the above four aspects, we found that the margin effect is not easy, but through the policy and the continuous improvement of the market and gradually completed. The accuracy of the margin trading business for the price valuation, price stability, promote the effectiveness of information were positive. And for the needs of the market liquidity impact depending on the specific the specific contents include the situation:
1, the price discovery function of the inspection, found that China's margin price discovery process through policy and the continuous improvement of the market has been established, and the effect is gradually accumulated, and ultimately for China's securities market price discovery function optimization plays a role difference between the valuation of.A shares and H shares listed on a cross stocks decreased, reducing China's securities market and securities market outside the market segmentation.
2, in the empirical research of price stability, found in the margin of the business before the opening, the stock fluctuation is asymmetric. Influence of "good news" is far greater than the "bad news", which is embodied in the heterogeneous beliefs not short. After the opening of business, stock volatility asymmetry has been eliminated greatly the extent of, and to some extent reduce the stock return volatility. Through the panel data test, we found that when the stock return is positive, short selling may be reduced by increasing the volatility of the stock supply and more express. Heterogeneous beliefs and yields is negative, short selling. The performance is not obvious. The price collapse hypothesis, margin financing and refinancing after the launch, effectively improve the risk of price collapse. While the frequency of the extreme values are also significantly reduced, so that the yield. The degree function is closer to the assumption of normal function in the effective market. We can think that the introduction of margin trading and refinancing is beneficial to the stability of China's stock market.
3, analysis on information efficiency, research shows that public information into the price of the speed with the development of the margin trading business is being accelerated. The price of private investors heterogeneous beliefs into the degree with the development of the margin becomes more balanced. But stock news efficiency is also in the process of becoming more effective. Based on panel Granger the inspection found into the price degree of investor heterogeneous beliefs become private balance, this is a stock information to improve the efficiency.
4, a liquidity margin, the study found that different transactions, because of their different items to provide market liquidity, with the width and depth of different effects. The results indicate that the financing to buy can produce positive effect on the fluidity of great width, in the margin trading business to occupy the main position of flow the width of the.
Through empirical research and theoretical analysis, this paper has established some innovative results in the following aspects:
One is through the development of subdivision margin for several time, we discussed different aspects for different time period under the market quality. The positive role of the margin trading business in China market. The study found that the quality of the margin optimization mechanism of stock market price discovery, reducing both at home and abroad market segmentation, reduced volatility and asymmetric yields, reduce the market collapse, and enhance the efficiency of market information.
Two, through the analysis of liquidity index, we find that the impact of margin trading on liquidity can not be generalized. The impact of margin and margin on liquidity depth and width is different. Financing affects liquidity width, while margin trading affects liquidity depth.
The three is that the margin trading business mostly by short selling have an effect on the stock market of our country. The path is in after the liberalization of restrictions on short selling, investors can fully express the various ideas of their own, short promoted the increase in liquidity depth, resulting in heterogeneous beliefs can be fully integrated into the price, and then reduced the size and asymmetry of premium and the fluctuation of the stock.
This paper has made some achievements, but because of the limitation of the actual data, the stock selection especially different point because of policy reasons difficult to maintain and the number of stock range consistent with the hope of improving economic data, can compensate for these shortcomings in the follow-up study.

【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51

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