【摘要】：在西方發(fā)達(dá)資本市場(chǎng),融資融券業(yè)務(wù)已經(jīng)是非常成熟的常規(guī)業(yè)務(wù),但是在我國(guó)仍然屬于一個(gè)新事物。2011年11月25日,上海證券交易所發(fā)布了《上海證券交易所融資融券交易實(shí)施細(xì)則》,我國(guó)融資融券業(yè)務(wù)才正式由逐步試點(diǎn)升級(jí)為常規(guī)業(yè)務(wù)。2012年8月30日,我國(guó)開(kāi)始推行轉(zhuǎn)融資業(yè)務(wù),投資者表現(xiàn)出了非常強(qiáng)的興趣,轉(zhuǎn)融通業(yè)務(wù)的推出擴(kuò)大了融資融券來(lái)源,無(wú)疑使融資融券業(yè)務(wù)更加完善。理論上說(shuō)隨著交易規(guī)模和參與程度的擴(kuò)大,融資融券業(yè)務(wù)對(duì)市場(chǎng)的作用將日益顯現(xiàn),但這一業(yè)務(wù)對(duì)我國(guó)股票市場(chǎng)實(shí)際影響如何?這還有待檢驗(yàn)�；谠摫尘�,本文首先對(duì)融資融券交易原理做了簡(jiǎn)單介紹,從理論上分析了對(duì)其推出對(duì)市場(chǎng)質(zhì)量的沖擊,并根據(jù)融資融券不同特點(diǎn)分別描述了該業(yè)務(wù)對(duì)市場(chǎng)流動(dòng)性及波動(dòng)性的作用原理。通過(guò)選取融資融券業(yè)務(wù)正式推出后的日交易數(shù)據(jù),采用向量自回歸模型VAR,格蘭杰因果檢驗(yàn),脈沖響應(yīng)函數(shù)以及方差分解,將融資、融券、流動(dòng)性以及波動(dòng)性設(shè)置代理變量,通過(guò)實(shí)證分析得出結(jié)論表明：融資業(yè)務(wù)對(duì)波動(dòng)性和流動(dòng)性具有顯著影響,在一定程度上提升了市場(chǎng)流動(dòng)性,降低了市場(chǎng)波動(dòng)性,這與本文的假設(shè)一致。通過(guò)脈沖響應(yīng)函數(shù)結(jié)果分析,該業(yè)務(wù)對(duì)市場(chǎng)的影響并不是立刻顯現(xiàn),而是一個(gè)長(zhǎng)期的過(guò)程。融券業(yè)務(wù)也對(duì)市場(chǎng)波動(dòng)性和流動(dòng)性具有較為顯著的影響,這一點(diǎn)和前人研究結(jié)果有一些出入,這可能是隨著我國(guó)融資融券業(yè)務(wù)發(fā)展,交易規(guī)模和參與程度的擴(kuò)大,其改善市場(chǎng)質(zhì)量的作用逐漸凸顯。文章后面以標(biāo)的證券為研究對(duì)象,采用面板數(shù)據(jù)回歸模型分析了融資融券業(yè)務(wù)對(duì)標(biāo)的股的影響,結(jié)果發(fā)現(xiàn)該業(yè)務(wù)對(duì)標(biāo)的股影響較為明顯。改善了標(biāo)的股的流動(dòng)性和降低了波動(dòng)性。在文章最后,針對(duì)我國(guó)融資融券業(yè)務(wù)規(guī)模小、參與程度低等發(fā)展現(xiàn)狀,并結(jié)合本文研究結(jié)果對(duì)我國(guó)融資融券業(yè)務(wù)的完善提出政策建議。
[Abstract]:In the western developed capital markets, margin trading is a very mature business, but it is still a new thing in our country. November 25, 2011, The Shanghai Stock Exchange issued the detailed rules for the implementation of margin trading on the Shanghai Stock Exchange, and only then did China's margin and margin business formally upgrade from a pilot to a conventional business. On August 30, 2012, China began to implement the transfer financing business. Investors have shown a strong interest, the introduction of revolving business has expanded the financing and short margin sources, which undoubtedly makes the margin financing business more perfect. In theory, with the expansion of trading scale and participation, the role of margin trading will become more and more obvious, but how does this business affect the stock market in China? This has yet to be tested. Based on this background, this paper firstly introduces the principle of margin trading, and theoretically analyzes the impact on the market quality caused by its launch. According to the different characteristics of margin financing, the paper describes the effect of the business on market liquidity and volatility. By selecting the daily trading data after the formal launch of margin trading business, using the vector autoregressive model VAR, Granger causality test, impulse response function and variance decomposition, the financing, margin, liquidity and volatility are set up proxy variables. The empirical analysis shows that: financing business has a significant impact on volatility and liquidity, to a certain extent, improve market liquidity and reduce market volatility, which is consistent with the hypothesis of this paper. By analyzing the results of impulse response function, the effect of the business on the market is not immediately apparent, but a long-term process. Margin trading also has a significant impact on market volatility and liquidity, which is different from previous studies. This may be due to the expansion of trading scale and participation with the development of margin trading in China. Its function of improving the quality of the market is gradually prominent. This paper takes the underlying securities as the research object and uses the panel data regression model to analyze the influence of margin trading on the underlying stocks. The results show that the business has a more obvious impact on the underlying stocks. Improved liquidity of underlying stocks and reduced volatility. At the end of the article, in view of the small scale of margin and short margin business and the low degree of participation in the development of our country, combined with the research results of this paper, the paper puts forward some policy recommendations for the perfection of the margin and margin business in our country.
【學(xué)位授予單位】：西南交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F832.51

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