融资融券对我国股市波动性影响实证分析

发布时间：2018-01-07 19:13

本文关键词：融资融券对我国股市波动性影响实证分析　出处：《兰州商学院》2012年硕士论文　论文类型：学位论文

【摘要】：以“转融通”机制运行的融资融券业务将改变我国股票市场单边交易的不足，标志着我国做空机制的形成，是证券交易制度的重大改革，也是资本市场发展的一个里程碑。融资融券交易是典型的信用交易，具有明显的的杠杆作用，不管是融资买多还是融券卖空，都能够以小博大，且都将影响股票市场的供给和需求，进而对市场波动带来影响。本文采用实证研究、对比分析和定性分析相结合的研究方法，，通过对证券公司相关部门实地调研，在全面了解融资融券业务运行现状的基础上，实证研究选取上海和深圳两市融资融券交易业务的总体数据，时间跨度为2010年3月至2011年10月，以包含融资融券试点股票的沪深300指数作为代表A股市场波动性的指数，采用VAR模型对沪深300指数的波动率、融资业务余额、融券业务余额三个时间序列数据进行实证分析，以此来说明卖空机制推出后融资交易、融券交易对我国股市波动性的实际影响。然后，在模型研究的基础上，运用协整分析、格兰杰因果关系及误差冲击检验，分析沪深300指数与融资、融券之间的相互关系，探讨融资融券影响股市波动性的因素，并进一步通过这些因素来分析预测融资融券对股市整体发展及个股的投资可能产生的影响。最后，根据实证研究结果，对比分析国外成熟市场上的融资融券业务运作模式，对融资融券在我国未来的发展、转融通机制的进一步完善提出了相应的对策建议。
[Abstract]:In the "refinancing" mechanism of financing business will change the unilateral lack of trading in China's stock market, marking the formation of China's short mechanism, is a major reform of the securities trading system, a milepost is the development of the capital market. The margin trading is a typical credit transaction, has obvious leverage. Regardless of the financing to buy more or short sales, are able to deduct, and will affect the stock market supply and demand, and the impact on market volatility.
This paper uses empirical research, comparative analysis and qualitative analysis, through the relevant departments of the securities company on-the-spot investigation, based on a comprehensive understanding of the operation status of the margin trading business, the overall data for empirical research in Shanghai and Shenzhen city two margin trading business, the time span is from March 2010 to October 2011, to include the Margin pilot Shanghai and Shenzhen 300 stock index as a representative of A stock market volatility index, using the VAR model of the CSI 300 index volatility, financing balance, the balance of three securities time series data for empirical analysis, in order to explain the mechanism of short sales after the introduction of financing transactions, the actual effect of margin trading on Chinese stock market volatility. Then, on the basis of the model, using cointegration analysis, causality test and error Grainger impact analysis, Shanghai and Shenzhen 300 index and financing, The relationship between the margin of the margin, the influence factors of stock market volatility, and further through these factors to analyze and predict the impact of margin trading on the stock market investment and the overall development of stocks may be produced. Finally, according to the results of empirical research, comparative analysis of margin financing business operation mode of foreign mature markets, on the margin in the the future development of our country, this paper proposes corresponding countermeasures to further improve the refinancing mechanism.

【学位授予单位】：兰州商学院
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.51

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