本文關(guān)鍵詞：融資融券對(duì)中國股市波動(dòng)性與流動(dòng)性影響的實(shí)證研究　出處：《復(fù)旦大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 融資交易 融券交易 股市波動(dòng)性 股市流動(dòng)性

【摘要】：融資融券對(duì)股票市場的影響一直是理論界與實(shí)務(wù)界討論的話題。本文選取從2010年3月到2013年1月三年來的融資融券市場數(shù)據(jù)作為研究對(duì)象,實(shí)證分析其對(duì)股市波動(dòng)性與流動(dòng)性的影響,希望為國內(nèi)融資融券制度的完善提供借鑒和支持。融資融券業(yè)務(wù)的開展是深入我國股票市場本質(zhì)的根本性制度變革,與股改力量相當(dāng),是下一輪行情的觸發(fā)器。本文的實(shí)證研究對(duì)解決我國融資融券業(yè)務(wù)存在的信用體系和風(fēng)險(xiǎn)控制等問題具有重要的指導(dǎo)意義,對(duì)市場效率的影響也有一定現(xiàn)實(shí)意義。本文首先對(duì)融資融券在我國發(fā)展情況和對(duì)股市的影響進(jìn)行介紹,并提出本文研究視角;隨后對(duì)現(xiàn)有關(guān)于融資融券對(duì)股市波動(dòng)性與流動(dòng)性影響的學(xué)術(shù)文獻(xiàn)進(jìn)行歸納綜述,以為實(shí)證檢驗(yàn)融資融券對(duì)我國股市的影響奠定基礎(chǔ)；在此基礎(chǔ)上對(duì)比分析了融資融券在世界以及在我國的發(fā)展情況,并對(duì)融資融券影響股市波動(dòng)性與流動(dòng)性的作用機(jī)制進(jìn)行了理論分析；在實(shí)證研究部分,本文分別選取了從2010年3月31日到2011年12月5日共408個(gè)交易日,以及從2011年12月6日,到2013年1月30日共282個(gè)交易日的數(shù)據(jù)作為樣本進(jìn)行對(duì)比分析,并運(yùn)用統(tǒng)計(jì)學(xué)中的單位根檢驗(yàn)、向量自回歸模型、Granger因果檢驗(yàn)方程以及脈沖影響分析工具來進(jìn)行實(shí)證研究,得到了相應(yīng)結(jié)論：隨著融資融券標(biāo)的股票數(shù)量的增加以及融資融券交易規(guī)模的擴(kuò)大,融資交易能夠在降低股市波動(dòng)性的同時(shí),增加股市的流動(dòng)性,然而融券交易由于交易規(guī)模有限,對(duì)股市波動(dòng)性與流動(dòng)性沒有顯著影響；最后,在得到相應(yīng)結(jié)論的基礎(chǔ)上,針對(duì)即將到來的融資融券標(biāo)的股票數(shù)量的擴(kuò)容以及轉(zhuǎn)融通機(jī)制的推出提出了相應(yīng)的政策建議,建議在完善監(jiān)管制度的同時(shí)適當(dāng)放松監(jiān)管措施,建立有效的保證金制度,并逐步擴(kuò)大融資融券標(biāo)的證券范圍。本文有以下兩點(diǎn)創(chuàng)新之處：一、本文選取了我國融資融券交易自推出以來到2013年1月底為研究期間,是對(duì)目前國內(nèi)研究期間的拓展,并且通過對(duì)這兩段期間融資融券對(duì)股市的影響進(jìn)行對(duì)比分析,運(yùn)用定性分析和定量分析兩種手段,研究了融資融券標(biāo)的股票數(shù)量擴(kuò)大前后對(duì)股市波動(dòng)性與流動(dòng)性影響的不同；二、在實(shí)證檢驗(yàn)“融資融券的推出對(duì)股市波動(dòng)性影響”的問題時(shí),既有文獻(xiàn)較多采用GARCH模型的方差方程來反應(yīng)股市波動(dòng)性,由于我國融資融券推出時(shí)間較短,數(shù)據(jù)樣本有限,采用月標(biāo)準(zhǔn)差的方法減小了樣本數(shù),本文采用市場指數(shù)的價(jià)格波幅來反映股市波動(dòng)性水平,更具有針對(duì)性和適用性。
[Abstract]:The impact of margin trading on the stock market has been discussed in theory and practice. This paper selects the topic from March 2010 to January 2013 three years of margin market data as the research object, the empirical analysis of the impact on the stock market volatility and liquidity, hope to provide reference and support for the improvement of the domestic financial system to carry out margin. Margin business is the fundamental system reform deeply the essence of China's stock market, and reform power, is the next round of market triggers. The empirical research has important guiding significance to solve the problems of China's financing business credit system and risk control problems, also has certain practical significance influence on the market efficiency. Firstly, on the margin in the development of our country and the impact on the stock market, and puts forward the research perspective; then the existing on Financing The margin effect on stock market volatility and liquidity of the academic literature reviews, lay the foundation for the empirical test of margin trading on China's stock market; on the basis of comparative analysis of the margin in the world and the development situation in China, and the margin effect of stock market volatility and liquidity mechanism is discussed theoretical analysis; in the part of empirical research, this article selected from March 31, 2010 to December 2011 5, 408 days, and from December 6, 2011 to January 2013 30, 282 days of data as samples were analyzed, and the use of unit root statistics test, vector autoregression model, Granger causality test and impulse equation impact analysis tools to conduct empirical research, obtained the corresponding conclusion: with the increase in the number of shares underlying margin financing and securities transactions Easy to expand the scale of financing transactions, can reduce the volatility of the stock market at the same time, increase the liquidity of the stock market, however, due to the scale of Trading Margin Trading Co., has no significant impact on stock market volatility and liquidity; finally, based on the obtained results, the number for the upcoming margin underlying stock and expansion the launch of refinancing mechanism to put forward corresponding policy recommendations, recommend appropriate deregulation measures in improving the regulatory system at the same time, the establishment of an effective security system, and gradually expand the scope of the underlying securities margin financing. This paper has two innovations: first, this paper selects the margin trading in China since its launch to the end of January 2013 during the study, it is to expand at home during the study period, and through the two period of the impact of margin trading on the stock market were analyzed by qualitative Two methods of analysis and quantitative analysis, studies the different effects on the stock market volatility and liquidity after expanding the number of margin trading the underlying stock; two, in the empirical test of the margin for stock market volatility influence ", both the variance equation literature more applying GARCH model to the volatility of the stock market reaction in China, due to the introduction of margin trading in a relatively short time, sample data is limited, the method of standard deviation of the samples is reduced, the market price volatility index to reflect the volatility of the stock market level, have more pertinence and applicability.

【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51

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本文編號(hào)：1394053