本文選題：融資融券 + 保證金比例�。� 參考：《廣西大學(xué)》2017年碩士論文

【摘要】：融資融券交易是指投資者向具有融資融券資格的證券公司提供擔(dān)保物,借入資金買入上市標(biāo)的證券或借入上市標(biāo)的證券并賣出的行為。融資融券交易的核心和關(guān)鍵是保證金制度,一個(gè)科學(xué)合理的保證金制度可以很好的適應(yīng)經(jīng)濟(jì)發(fā)展的要求和證券市場(chǎng)的變化。目前我國融資融券交易普遍采用的是一種高比例的固定保證金制度,這種制度相比于世界上主要證券市場(chǎng)采用的動(dòng)態(tài)保證金制度,具有明顯的弊端,隨著我國融資融券業(yè)務(wù)的快速發(fā)展,與之相適應(yīng)的保證金制度必須盡快的完善起來。動(dòng)態(tài)保證金制度通過建立風(fēng)險(xiǎn)控制模型,對(duì)模型中的風(fēng)險(xiǎn)因子進(jìn)行充分考慮,然后經(jīng)過模型推導(dǎo)得出合理的保證金收取比例,這種方式大大提高了投資者的資金使用效率。本文通過回顧總結(jié)國內(nèi)外關(guān)于融資融券保證金制度文獻(xiàn)資料,以我國融資融券交易固定保證金制度和國外的動(dòng)態(tài)保證金制度進(jìn)行對(duì)比分析,然后基于VaR方法建立目前國內(nèi)學(xué)者研究較少的VaR-GARCH模型進(jìn)行實(shí)證分析,通過中國平安股票自2011年5月12日至2015年6月30日共1000個(gè)連續(xù)交易日股票收盤價(jià)進(jìn)行研究,實(shí)證結(jié)果表明,我國目前融資融券交易保證金收取比例過高,也由此說明引入動(dòng)態(tài)交易保證金制度的可行性和必要性。本文主要分為四個(gè)部分,第一部分對(duì)融資融券交易及其保證金制度進(jìn)行詳細(xì)分析。從固定保證金制度和動(dòng)態(tài)保證金制度對(duì)比的角度出發(fā),著重比較我國現(xiàn)行固定保證金制度與國際上主流動(dòng)態(tài)保證金制度的區(qū)別,指出我國現(xiàn)行固定保證金制度的弊端,并對(duì)引入動(dòng)態(tài)保證金系統(tǒng)的成本和收益進(jìn)行了詳細(xì)分析。第二部分對(duì)VaR方法進(jìn)行概述。首先介紹了 VaR方法的基本原理以及基本要素假設(shè),并對(duì)VaR的三種計(jì)算方法進(jìn)行了詳細(xì)介紹,最后對(duì)VaR-GARCH模型進(jìn)行了闡述。第三部分為本文的實(shí)證分析內(nèi)容。利用基于VaR-GARCH模型,通過對(duì)中國平安這只股票在1000個(gè)連續(xù)交易日收盤價(jià)格進(jìn)行分析,計(jì)算出VaR值,據(jù)此說明我國固定保證金制度下,保證金的收取比例偏高,建立與我國實(shí)際相結(jié)合以風(fēng)險(xiǎn)為基礎(chǔ)的動(dòng)態(tài)保證金制度是勢(shì)在必行的。第四部分是對(duì)我國融資融券交易保證金制度未來發(fā)展的思考,并對(duì)其提出發(fā)展建議。
[Abstract]:Margin trading refers to the behavior of investors offering collateral to securities companies that have the qualification of margin lending and borrowing funds to buy or borrow securities that are listed on the market and sell them. Margin system is the core and key of margin trading. A scientific and reasonable margin system can meet the requirements of economic development and the changes of securities market. At present, a high proportion of fixed margin system is widely used in margin trading in China, which has obvious disadvantages compared with the dynamic margin system adopted in the major securities markets in the world. With the rapid development of margin trading in China, the margin system must be perfected as soon as possible. By establishing a risk control model, the dynamic margin system takes full account of the risk factors in the model, and then obtains a reasonable margin collection ratio through the model derivation, which greatly improves the efficiency of the investors' use of funds. By reviewing and summarizing the literature of margin system at home and abroad, this paper makes a comparative analysis between the fixed margin system of margin trading in China and the dynamic margin system in foreign countries. Then, based on the VaR method, the author establishes the VaR-GARCH model, which is seldom studied by domestic scholars, and studies the stock closing price of 1000 consecutive trading days from May 12, 2011 to June 30, 2015. The empirical results show that, At present, the margin collection ratio of margin trading is too high in China, which also shows the feasibility and necessity of introducing the dynamic trading margin system. This paper is divided into four parts. The first part analyzes margin trading and margin system in detail. From the point of view of comparing the fixed margin system with the dynamic margin system, the differences between the current fixed margin system in China and the mainstream dynamic margin system in the world are emphatically compared, and the drawbacks of the current fixed margin system in China are pointed out. The cost and income of introducing dynamic margin system are analyzed in detail. The second part summarizes the VaR method. At first, the basic principle and essential factor hypothesis of VaR method are introduced, and three calculation methods of VaR are introduced in detail. Finally, the VaR-GARCH model is described. The third part is the empirical analysis of this paper. Based on the VaR-GARCH model, the paper analyzes the closing price of China Ping an stock in 1000 consecutive trading days, and calculates the VaR value, which shows that under the fixed margin system in our country, the margin collection ratio is on the high side. It is imperative to establish a dynamic margin system based on risk. The fourth part is thinking about the future development of margin system of margin trading in China, and puts forward some suggestions for its development.
【學(xué)位授予單位】：廣西大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.51

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