本文選題：融資融券交易 + 滬深300指��； 參考：《北京外國語大學》2017年碩士論文

【摘要】：融資融券交易機制對我國證券金融市場具有重要影響,在信用交易中占有舉足輕重的地位,該機制可以影響到證券市場的波動性、流動性等諸多特性。證券市場的運行需要多種機制的共同協(xié)作才能進行,融資融券交易就是其中一種非常重要的機制,其在境外證券交易領域已經(jīng)成為一種十分成熟的交易機制,被廣泛使用。本文第一章緒論部分從文章研究背景、研究意義和研究創(chuàng)新之處出發(fā),分析了研究融資融券交易機制的背景、研究融資融券交易機制的意義,提出本論文的研究創(chuàng)新點為采用最新數(shù)據(jù)對融資融券交易機制與我國證券市場波動性之間的影響進行相關研究和運用向量自回歸模型研究得出融資融券日余額與我國證券市場代表性股指波動率之間的影響關系;本文第二章整理和研究了國內(nèi)外關于融資融券交易機制對證券市場影響的相關文獻,發(fā)現(xiàn)國內(nèi)外的研究學者關于融資融券交易機制對證券市場波動性的影響關系存在諸多分歧尚無統(tǒng)一定論,一部分研究學者認為融資融券交易能夠加劇證券市場波動,一部分研究學者認為融資融券交易能夠平抑證券市場的波動,另一部分研究學者認為融資融券交易機制對證券市場的波動不存在顯著影響,因此對融資融券交易與我國證券市場波動性兩者之間的影響關系的研究能夠為投資者和監(jiān)管當局提供較好的依據(jù);本文第三章對融資融券交易機制的基本情況進行概述歸納,針對融資融券交易的基本含義、融資融券交易特點進行介紹,針對世界典型國家的融資融券授信模式、世界典型國家融資融券授信模式對于我國采取授信模式的啟示、融資融券業(yè)務功能、融資融券在我國的成長歷程和成長近況進行分析研究和探討。本文第四章展開融資融券交易機制與我國證券市場具有代表性的滬深300指指數(shù)波動性之間影響關系的實證研究,運用了向量自回歸(VAR)模型估計、協(xié)整檢驗以及格蘭杰因果關系檢驗等計量方法對前提假設進行檢查驗證,得出,融資日余額和融券日余額均與滬深300指股指波動性之間存在長期穩(wěn)定、相互影響的協(xié)整關系,融資融券交易機制對我國證券市場代表性股指滬深300指波動性存在平抑作用。通過建立的向量自回歸模型發(fā)現(xiàn),當融資日余額和融券日余額增加值相同時,融券交易對滬深300指日震蕩幅度的減小程度更為強烈,也就是說,融券交易機制較融資交易機制與我國證券市場波動性之間的影響關系更大,融券交易對滬深300指波動性的平抑作用產(chǎn)生的效果較融資交易更為突出。根據(jù)格蘭杰因果關系檢驗,本論文得出,融資交易日余額變動和滬深300指波動性存在相互影響的關系,融券交易日余額變動和滬深300指波動性之間同樣存在相互作用的關系,融資交易會對我國證券市場的波動性產(chǎn)生一個反向的沖擊效應,即融資交易能夠減小我國證券市場的波動性;融券交易同樣對我國證券市場的波動性產(chǎn)生一個反向的沖擊效應,能夠減小我國證券市場的波動性。本文第五章為結論分析和政策建議,結合本文得出的實證研究結論提出一些政策監(jiān)管建議和改進措施。
[Abstract]:The margin trading mechanism has an important influence on the securities financial market of our country. It plays an important role in the credit transaction. This mechanism can affect the volatility and liquidity of the securities market. The operation of the securities market requires the joint cooperation of various mechanisms. The margin trading is one of the most important factors. The important mechanism, which has become a very mature trading mechanism in the field of foreign securities trading, is widely used. In the first chapter, the introduction part from the background of the research, the significance and the innovation of the research, analyzes the background of the study of the margin trading mechanism, studies the significance of the margin trading mechanism, and puts forward the theory of this theory. The innovation point of this paper is to use the latest data to study the relationship between the margin trading mechanism and the volatility of China's securities market, and to study the relationship between the margin day balance and the volatility of the stock market stock index in China by using the vector autoregressive model. The second chapter of the paper collates and studies the country. The relevant literature on the impact of the margin trading mechanism on the securities market, finds that there are many differences between the domestic and foreign researchers on the influence of the margin trading mechanism on the volatility of the securities market, and some scholars believe that the margin trading can aggravate the volatility of the securities market. The scholars believe that the margin trading can suppress the volatility of the securities market. Another part of the researchers believe that the margin trading mechanism has no significant impact on the volatility of the securities market. Therefore, the study of the relationship between the margin trading and the volatility of the securities market in China can be provided to investors and regulatory authorities. The third chapter of this paper summarizes the basic situation of the margin trading mechanism, introduces the basic meaning of the margin trading, introduces the characteristics of the margin trading, and aims at the financing and credit mode of the typical countries in the world. In the fourth chapter, the empirical research on the relationship between the margin trading mechanism and the representative index volatility of the Shanghai and Shenzhen stock market and the 300 index index of the Shanghai and Shenzhen stock market is carried out in the fourth chapter, and the estimation of the vector autoregressive (VAR) model is used. The whole test and the Grainger causality test and other measurement methods check the premise hypothesis, and conclude that the financing balance and the margin day balance both have long-term stability, the cointegration relationship between the 300 indexes of Shanghai and Shenzhen stock index, the mutual influence of mutual influence, and the volatility of the margin trading mechanism on the 300 index of the Shanghai and Shenzhen stock market stock index stock index. By the vector autoregressive model, it is found that the margin trading has a stronger reduction in the amplitude of the Shanghai and Shenzhen 300 finger oscillations when the financing day balance and the margin day balance are the same, that is to say, the margin trading mechanism has a greater impact on the volatility of the securities market than the financing transaction mechanism. The effect of the margin trading on the volatility of the 300 fingers of Shanghai and Shenzhen is more prominent than the financing transaction. According to the Grainger causality test, this paper concludes that the relationship between the change of the balance of the financing transaction day and the volatility of the 300 fingers of the Shanghai and Shenzhen is mutual, and the change of the balance between the margin trading day and the volatility of the 300 fingers of the Shanghai and Shenzhen has the same interaction with each other. The financial transaction will have a reverse impact on the volatility of the securities market in China, that is, the financing transaction can reduce the volatility of the securities market in our country; the margin trading also has a reverse impact on the volatility of the securities market in China, which can reduce the volatility of our securities market. The fifth chapter of this paper is to reduce the volatility of our securities market. For the conclusion analysis and policy recommendations, combined with the conclusions drawn from the empirical study, we put forward some policy recommendations and improvement measures.
【學位授予單位】：北京外國語大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.51

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