【摘要】：在國(guó)際資本市場(chǎng)上,利用融資或融券進(jìn)行投資交易已經(jīng)有百余年的歷史。該機(jī)制有助于資本市場(chǎng)基本功能的實(shí)現(xiàn),也是資本市場(chǎng)邁向成熟化的重要標(biāo)志。我國(guó)A股市場(chǎng)自從1990年開(kāi)始一直是只允許做多且禁止利用杠桿交易的,這導(dǎo)致了市場(chǎng)交易方式單一、系統(tǒng)性風(fēng)險(xiǎn)難以有效釋放。2010年,融資融券正式開(kāi)放,但可做空標(biāo)的的規(guī)模和數(shù)量都十分有限。2012年,轉(zhuǎn)融通制度讓融資做多和融券做空交易業(yè)務(wù)有了更大的發(fā)展。但學(xué)界針對(duì)融資做多業(yè)務(wù)和融券做空業(yè)務(wù)制度對(duì)資本市場(chǎng)的流動(dòng)性和波動(dòng)性的影響看法不一;同時(shí),中國(guó)資本市場(chǎng)正經(jīng)歷著特殊的轉(zhuǎn)型制度情境,對(duì)于中國(guó)資本市場(chǎng)情境下的相關(guān)研究并不系統(tǒng)。轉(zhuǎn)融通下融資做多交易和融券賣空交易對(duì)證券市場(chǎng)的交易波動(dòng)性水平以及流動(dòng)程度起到什么樣的作用還有待進(jìn)一步的研究。本文通過(guò)實(shí)證研究具體分析轉(zhuǎn)融通制度下融資做多交易和融券做空交易對(duì)我國(guó)資本市場(chǎng)的流動(dòng)性和價(jià)格震蕩幅度的影響機(jī)制和傳導(dǎo)路徑,以期為資本市場(chǎng)投資交易從業(yè)人員、相關(guān)企業(yè)和金融機(jī)構(gòu)管理人員提供一些有建設(shè)性的建議。本文基于海內(nèi)外相關(guān)研究成果,在對(duì)有關(guān)文獻(xiàn)研究系統(tǒng)化梳理的基礎(chǔ)上,從中確定本文的研究路徑,并在對(duì)融資做多交易和融券賣空交易制度簡(jiǎn)單介紹的基礎(chǔ)上闡述了轉(zhuǎn)融通下融資做多業(yè)務(wù)和融券賣空業(yè)務(wù)與資本市場(chǎng)的流動(dòng)性水平以及價(jià)格波動(dòng)程度的作用動(dòng)因以及傳導(dǎo)方式,并分別展開(kāi)研究。本文主要研究結(jié)論如下:(1)在轉(zhuǎn)融通制度下融資做多和融券賣空制度對(duì)提升我國(guó)股票市場(chǎng)流動(dòng)性起到顯著的正面效應(yīng)。同時(shí),相對(duì)于融券做空業(yè)務(wù),融資做多業(yè)務(wù)的波動(dòng)對(duì)資本更加敏感,融資做多交易和融券賣空交易就是通過(guò)為資本市場(chǎng)增加新投資交易量的方式從而為整個(gè)資本市場(chǎng)提供更多的流動(dòng)性。但是資本市場(chǎng)流動(dòng)性對(duì)融資做多業(yè)務(wù)和融券做空業(yè)務(wù)的影響無(wú)顯著作用。(2)融資做多業(yè)務(wù)更易加大資本市場(chǎng)的波動(dòng)幅度,而融券做空業(yè)務(wù)則與之相反,其會(huì)減小市場(chǎng)的波動(dòng)幅度并且有利于維持市場(chǎng)的穩(wěn)定。另外,實(shí)證結(jié)果也表明,轉(zhuǎn)融通機(jī)制對(duì)促進(jìn)股市的穩(wěn)定性起到了顯著的正向作用,然而在擴(kuò)大融資做多和融券做空業(yè)務(wù)規(guī)模方面的作用依舊十分有限,因此其對(duì)資本市場(chǎng)波動(dòng)幅度減小的作用仍然很小。
[Abstract]:In the international capital market, it has been more than a hundred years in the use of financing or margin trading. This mechanism is conducive to the realization of the basic functions of the capital market and an important symbol of the maturity of the capital market. China's A share market has been allowed to do more and prohibit the use of leveraged transactions since 1990, which has led to the market. The mode of the field transaction is single, the systemic risk is difficult to release.2010 years effectively, the financing margin is officially open, but the size and quantity of the short mark are very limited for.2012 years. The system makes the financing make a bigger development and the margin trading business is more developed. There are different views on the liquidity and volatility of the market. At the same time, China's capital market is experiencing a special transition system situation, which is not systematic in the context of China's capital market. Through empirical research, this paper analyzes the impact mechanism and transmission path of the liquidity and price volatility of China's capital market by financing and trading and margin trading, with a view to managing the employees of capital markets, related enterprises and financial institutions. The article provides some constructive suggestions. Based on the relevant research results at home and abroad, on the basis of systematization of relevant literature research, this paper determines the research path of this paper, and expounds the financing and the short selling and short selling on the basis of a simple introduction to the multi transaction and the margin trading system. The liquidity level of business and capital market and the motive force and transmission mode of the price fluctuation are studied. The main conclusions of this paper are as follows: (1) in the system of exchange and financing, financing and short selling system have a significant positive effect on improving the liquidity of China's stock market. The volatility of business, financing and business is more sensitive to capital. Financing, trading and short selling are the way to provide more liquidity to the whole capital market by increasing the volume of new investment for the capital market. But the liquidity of capital market has no significant influence on financing business and margin trading. (2) financing more business is more likely to increase the volatility of the capital market, while the margin trading is contrary to it, which will reduce the volatility of the market and maintain the stability of the market. In addition, the empirical results also show that the exchange mechanism has played a significant positive role in promoting the stability of the stock market. The role of short selling and short selling is still very limited, so its role in reducing the fluctuation of capital market is still very small.
【學(xué)位授予單位】：山東工商學(xué)院
【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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