本文選題：融資融券 + T-GARCH模型�。� 參考：《浙江工商大學(xué)》2014年碩士論文

【摘要】：自17世紀(jì)第一筆賣空交易發(fā)生在荷蘭阿姆斯特丹證券交易所以來,賣空證券交易已有四百多年歷史。伴隨日漸成熟的證券信用制度的是眾多能人志士的全方位研究,很多問題幾乎已是蓋棺定論。而自我國2010年3月31日融資融券試點(diǎn)正式啟動(dòng)以來,也不過短短四年,期間不乏眾多國內(nèi)學(xué)者前赴后繼的研究,但是大多都是基于臺(tái)灣或者香港證券市場(chǎng)。不同于無數(shù)有關(guān)“裸賣空”的研究,融券交易本身有其自身特色。因此,就融資融券在國內(nèi)證券市場(chǎng)的價(jià)格穩(wěn)定作用進(jìn)行全面、系統(tǒng)的研究更有理論價(jià)值與學(xué)術(shù)意義。 本文在回顧國內(nèi)外大量有關(guān)融資融券基本功能研究的基礎(chǔ)上,先對(duì)融資融券交易的價(jià)格穩(wěn)定機(jī)制進(jìn)行理論分析,而又針對(duì)國內(nèi)市場(chǎng)進(jìn)行了實(shí)證研究。在文獻(xiàn)研究和理論機(jī)制分析的基礎(chǔ)上,本文利用實(shí)證分析方法從融資融券對(duì)股市的波動(dòng),和個(gè)股波動(dòng)兩個(gè)層面展開系統(tǒng)而全面的分析。在對(duì)股市波動(dòng)的研究上,本文主要借助在時(shí)間序列的處理上比較有優(yōu)勢(shì)的EViews軟件,運(yùn)用T-GARCH模型,VAR模型,脈沖響應(yīng),方差分解等計(jì)量分析方法。在融資融券標(biāo)的個(gè)股對(duì)自身波動(dòng)影響上主要借助處理面板數(shù)據(jù)較好的Stata計(jì)量經(jīng)濟(jì)分析軟件,從對(duì)個(gè)股股價(jià)波動(dòng)影響的整體效應(yīng)和個(gè)體效應(yīng)兩個(gè)層面進(jìn)行分析。 通過實(shí)證分析發(fā)現(xiàn)：在融券交易與指數(shù)波動(dòng)的影響中,滯后六階VAR模型的因果檢驗(yàn)發(fā)現(xiàn),二者表現(xiàn)為顯著的因果關(guān)系,且融券交易對(duì)指數(shù)波動(dòng)的影響表現(xiàn)為顯著的負(fù)向作用,即認(rèn)為融券交易對(duì)指數(shù)波動(dòng)具有一定平抑作用；就融資交易與指數(shù)波動(dòng)的VAR(8)模型顯示,融資交易與指數(shù)波動(dòng)之間的相互影響明顯不如融券交易表現(xiàn)顯著,且相比指數(shù)波動(dòng)對(duì)融資交易的影響,融資交易對(duì)指數(shù)波動(dòng)的作用表現(xiàn)更加顯著,即認(rèn)為融資交易對(duì)指數(shù)波動(dòng)具有平抑作用。 且研究發(fā)現(xiàn),融資融券的價(jià)格穩(wěn)定作用主要表現(xiàn)在滯后期,與理論分析一致。在以收益率衡量的個(gè)股股價(jià)波動(dòng)的影響上,融券對(duì)個(gè)股日收益率的影響顯著為正；除了極個(gè)別標(biāo)的股票,融資對(duì)股價(jià)收益率表現(xiàn)為顯著的負(fù)效應(yīng)。因此,可以認(rèn)為融資融券交易總體上發(fā)揮了股價(jià)穩(wěn)定作用,融券交易作用更加明顯。
[Abstract]:Short-selling has been traded for more than 400 years since the first short sale took place on the Amsterdam Stock Exchange in the 17 th century. Along with the maturing securities credit system is the omni-directional research of many talented people, many problems have almost been the final conclusion. Since the launch of our country on March 31, 2010, it is only four years. During this period, there are many domestic scholars, but most of them are based on the stock market of Taiwan or Hong Kong. Unlike numerous studies on naked short-selling, short-selling trading itself has its own characteristics. Therefore, it is of theoretical value and academic significance to make a comprehensive and systematic study on the price stability of margin financing in the domestic securities market. On the basis of reviewing a large number of domestic and foreign researches on the basic functions of margin trading, this paper first analyzes the price stability mechanism of margin trading, and then makes an empirical study on the domestic market. On the basis of literature research and theoretical mechanism analysis, this paper makes a systematic and comprehensive analysis of the volatility of stock market and the volatility of individual stocks by using the empirical analysis method. In the research of stock market volatility, this paper mainly uses the T-GARCH model, pulse response, variance decomposition and other econometric analysis methods with the help of EViews software which has advantages in dealing with time series. In the aspect of the influence of individual stocks on their own volatility, the paper mainly uses the Stata econometric analysis software, which deals with panel data, to analyze the overall effect and the individual effect of the stock price volatility from two aspects: the overall effect and the individual effect. Through the empirical analysis, it is found that in the influence of margin trading and index volatility, the causality test of lag six order VAR model shows that they are significant causality, and the influence of short bond trading on index volatility is significantly negative. That is to say, margin trading has a certain stabilizing effect on index volatility, and the VARY8 model shows that the interaction between financing transaction and index volatility is obviously less significant than that between short margin trading and index volatility. Compared with the influence of the index fluctuation on the financing transaction, the effect of the financing transaction on the index fluctuation is more significant, that is to say, the financing transaction has a stabilizing effect on the index fluctuation. The results show that the price stability of margin is mainly reflected in lag, which is consistent with theoretical analysis. In terms of the stock price volatility measured by the yield, the influence of margin on the daily yield is significantly positive; except for a few target stocks, financing has a significant negative effect on the stock yield. Therefore, it can be considered that margin trading played a stable role in the overall stock price, margin trading more obvious.
【學(xué)位授予單位】：浙江工商大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51

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本文編號(hào)：1868081