融资融券对中国股票市场的影响

发布时间：2018-02-11 09:49

本文关键词： 融资融券流动性波动性 VAR模型 ARDL模型　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：中国融资融券从正式试点实施至今经历了近三年的快速发展,随着允许融资融券标的证券范围的不断扩大、规模的逐渐增加以及制度的日趋完善,融资融券越来越成为投资者、监管层以及学术界关注的重点。而关于融资融券对股票市场的影响到底如何,国内外实务界及学术界对该问题的争论一直不绝于耳。因此,本文拟通过对融资融券价格发现功能、融资融券对股票市场流动性和波动性的影响等方面进行深入、系统地研究,以期探究中国推出融资融券机制对股票市场所产生的影响。具体研究上,本文在对现有理论知识和文献研究进行了系统回顾和深入分析的基础上,首先,通过事件研究法检验股票在允许融资融券前后价格是否发生了显著变化,以分析中国融资融券的价格发现功能；其次,文章进一步从融资和融券两个角度,通过分别构建VAR模型和ARDL模型,研究了不同市场状态下及全样本情况下,融资融券对股票市场流动性和波动性的影响。最后,基于以上研究和结论,提出简要的政策建议。本文主要的实证研究结论为： 1.融资融券价格发现功能的研究结果表明,在融资融券试点实施阶段,可能由于标的证券范围较小、融资融券规模比重较低等原因,融资融券的价格发现功能尚未得以体现；随着融资融券标的证券范围的扩充,融资融券的价格发现功能有所发挥,但是允许融资融券后,股票价格的变化方向并不确定,股票价格显著上升伴随的是市场上较强的融资力度,股票价格显著下降伴随的是市场上较强的融券力度。 2.融资融券对股票市场流动性和波动性的实证研究表明,全样本下,融资交易显著提高了股市流动性、降低了股市波动性,融券交易也显著降低了股市波动性,但是与股市流动性却是负相关的(在10%的显著性水平上)。不同市场状态下,融资交易在牛市和熊市都能提高股市流动性、降低市场波动性,但熊市中不是那么显著,影响的程度也比牛市中的效果弱；融券交易在牛市下显著提高了股市流动性、降低了股市波动性,但是在熊市下确是降低了股市流动性(虽然并不显著),对于波动性也没有显著降低的影响。
[Abstract]:China has experienced three years of rapid development from the implementation of the formal pilot. With the continuous expansion of the scope of securities subject to margin financing and short selling, and the gradual increase in scale and system, margin margin has become more and more investors. The focus of attention of the regulatory and academic circles. However, there has been a lot of debate about the impact of margin financing on the stock market, both at home and abroad, as well as in academic circles. This paper intends to make a deep and systematic study on the price discovery function of margin and margin and its influence on the liquidity and volatility of the stock market in order to explore the impact of the mechanism of short margin financing on the stock market in China. On the basis of the systematic review and in-depth analysis of the existing theoretical knowledge and literature, this paper first tests whether the stock price has changed significantly before and after the margin margin is allowed by the event study method. In order to analyze the price discovery function of margin financing and short selling in China. Secondly, from the two angles of financing and margin trading, this paper constructs VAR model and ARDL model respectively, and studies the different market conditions and the whole sample situation. The influence of margin financing on the liquidity and volatility of stock market. Finally, based on the above research and conclusions, a brief policy proposal is put forward. The main conclusions of this paper are as follows:. 1. The research results of the price discovery function of margin and short bond show that the price discovery function of margin and short bond has not been realized in the stage of the pilot implementation of margin and margin because of the small scope of underlying securities and the low proportion of margin and margin. With the expansion of the range of securities that are subject to margin financing, the price discovery function of margin and margin has been brought into play, but the direction of stock price change is uncertain after margin financing and short selling is allowed. The sharp rise in stock price is accompanied by strong financing in the market, and the marked decline in stock price is accompanied by strong margin lending in the market. 2. The empirical study on the liquidity and volatility of stock market by margin trading shows that, under the full sample, the liquidity of the stock market is significantly increased, the volatility of the stock market is reduced, and the volatility of the stock market is significantly reduced by the margin trading. But there is a negative correlation with stock market liquidity (at a significant level of 10%). Under different market conditions, both bull and bear markets can increase market liquidity and reduce market volatility, but less significantly in bear markets. The degree of influence is also weaker than in a bull market, where margin trading significantly increases stock market liquidity and reduces stock market volatility. But in a bear market it does reduce stock market liquidity (though not significantly, nor does it have a significant impact on volatility.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F832.51

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