本文選題：融資余額 + 融券余額�。� 參考：《上海師范大學》2017年碩士論文

【摘要】：本文介紹了融資融券交易與市場和標的證券流動性的基本情況,并且在不同時間段,分析融資融券交易余額、融資余額變化率與融券余額變化率對市場流動性、標的證券流動性的影響。以上海、深圳證券市場為研究對象,選擇滬深300指數(shù)為研究樣本,采用Amihud非流動性指標代表整體市場和標的證券的流動性,建立相關VAR模型、脈沖響應函數(shù)、格蘭杰因果檢驗方法研究融資余額變化率與融券余額變化率對股市流動性的影響,并進行同時段的比較。同時,利用五次擴容的標的證券作為樣本,選擇個股時間序列數(shù)據(jù),構(gòu)成面板數(shù)據(jù)。在構(gòu)建面板數(shù)據(jù)模型過程中,添加時間虛擬變量代表融資融券交易發(fā)生前后、以流通市值代表公司規(guī)模、滬深300指數(shù)代表大盤行情并將其作為控制變量,進行模型驗證。使用Panel LS和GMM估計法對其進行估計,分析比較融資融券交易、融資余額變化率與融券余額變化率對標的證券流動性的影響。研究結(jié)果表明:在初期階段,融資融券交易對市場流動性的影響波動較大,并不穩(wěn)定,隨著融資融券交易推出時間越長,對流動性的提升影響變得越穩(wěn)定。但是融券余額變化率對市場的流動性將會消失。這主要是由于股市流動性受多種因素影響,不能對流動性變動產(chǎn)生主要的影響。從對標的證券的研究發(fā)現(xiàn),融資融券交易對標的證券流動性的影響在不同時期內(nèi)存在相反的效果。在交易期初,其對標的證券的流動性產(chǎn)生的正面影響較為明顯。隨著時間的推移,直至近兩期,其會減弱標的證券的流動性。融資余額變化率與融券余額變化率對于標的證券的流動性影響也受到股市整體交易情況的波動,其中融資余額變化率相較于融券余額變化率來說,提供流動性的效果要好,融券余額的變化率幾乎與標的證券流動性不存在關系。綜上所述,融資余額變化率與融券余額變化率對市場的流動性,在初期時影響效果并不穩(wěn)定,但是隨著時間推移,融資余額變化率的作用要大于融券余額變化率;融資余額變化率對標的證券的流動性有正向效應,但是融券余額變化率對標的證券的流動性幾乎沒有影響。
[Abstract]:This paper introduces the basic situation of margin trading, market and underlying securities liquidity, and analyzes the market liquidity of margin trading balance, margin balance change rate and margin balance change rate in different time periods. The effect of liquidity on underlying securities. Taking the Shanghai and Shenzhen stock markets as the research object, selecting the CSI 300 index as the research sample, using the Amihud illiquidity index to represent the liquidity of the whole market and the underlying securities, the relevant VAR model and impulse response function are established. Granger causality test (Granger causality test) is used to study the influence of the change rate of financing balance and margin balance on the liquidity of stock market. At the same time, the time series data of individual stock are selected to form panel data. In the process of building panel data model, add time virtual variable to represent margin trading before and after, using circulating market value to represent company size, Shanghai and Shenzhen 300 index represent large market and take it as control variable to verify the model. The paper uses Panel LS and GMM estimation methods to estimate them, and analyzes and compares the effects of margin trading, the change rate of financing balance and margin balance on the liquidity of underlying securities. The results show that: in the initial stage, the influence of margin trading on market liquidity is more volatile and unstable. With the introduction of margin trading, the effect on liquidity becomes more stable. But margin balance change rate on the market liquidity will disappear. This is mainly because the stock market liquidity is affected by many factors, can not have a major impact on liquidity changes. From the research on the underlying securities, it is found that the effect of margin trading on the liquidity of underlying securities has the opposite effect in different periods. At the beginning of the trading period, the positive effect on the liquidity of the underlying securities is obvious. Over time, until the last two quarters, it weakens the liquidity of underlying securities. The effect of the change rate of financing balance and margin balance on the liquidity of the underlying securities is also affected by the fluctuation of the overall trading situation of the stock market, in which the change rate of the financing balance is better than that of the margin balance change rate, and the effect of providing liquidity is better than that of the margin balance change rate. The change rate of margin balance is almost independent of the liquidity of underlying securities. To sum up, the change rate of financing balance and margin balance has an unstable effect on the liquidity of the market at the initial stage, but with the passage of time, the effect of the change rate of financing balance is greater than that of margin balance. The change rate of financing balance has a positive effect on the liquidity of the underlying securities, but the change rate of the margin balance has almost no effect on the liquidity of the underlying securities.
【學位授予單位】：上海師范大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.51

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