融资融券交易对我国股票市场的影响研究

发布时间：2018-01-05 03:22

本文关键词：融资融券交易对我国股票市场的影响研究　出处：《华东师范大学》2013年硕士论文　论文类型：学位论文

【摘要】：融资融券交易是海外证券市场普遍实施的一项成熟交易制度,我国于2010年3月31日开始试点该业务,对于该业务会给证券市场带来什么样的影响,是加剧股市的波动,还是能平抑股价,对此问题学术界仍然存在争议；此外,随着融资融券业务的不断发展,我国在2012年下半年和2013年年初开始进行转融资和转融券业务试点,该试点业务是否有助于解决目前融资融券业务中的问题,本文围绕上述问题展开研究,试图提出政策建议以进一步完善我国融资融券业务的发展。由于波动性和流动性是衡量股票市场最核心的指标,本文以股市的波动性和流动性为切入点,首先将融资融券交易对股市波动性和流动性影响的相关文献进行整理,进而探索出文本的研究思路和方法；其次,本文详细介绍全球各主要市场及我国的融资融券交易模式、融资融券交易影响股票市场的作用机制及股市波动性和流动性的影响因素和衡量指标；再次,本文以上海证券市场的日交易数据为依据,通过向量自回归和格兰杰因果检验的方法来实证检验融资融券交易对股市波动性和流动性的影响；最后,结合实证结果和我国证券市场的实际情况,从转融通机制、标的证券的范围、融券费率及保证金比例方面提出相关建议。根据上述理论分析和实证研究,本文得出以下结论：融资融券交易能平抑股市价格的波动,起到一个价格稳定器的作用,但目前该交易机制对证券市场的影响还比较弱；融资融券交易确实有助于提高市场的流动性,但其与股市流动性之间的关系不显著。本文认为造成上述情况的原因有三点：一是融资融券交易规模占比过小；二是融资买空与融券卖空发展不平衡,融券卖空交易规模太小；三是融资融券交易标的证券数量太少。
[Abstract]:Margin trading is a mature trading system widely implemented in overseas securities markets. In March 31st 2010, China began to pilot the business, what kind of impact will the business bring to the securities market. Whether to increase the volatility of the stock market or to stabilize the stock price is still controversial in academic circles; In addition, with the continuous development of margin trading business, China began to transfer financing and securities trading pilot business in the second half of 2012 and early 2013. Whether the pilot business is helpful to solve the problems in the current margin and margin business, this paper focuses on the above issues and tries to put forward policy recommendations to further improve the development of short margin business in China. As volatility and liquidity are the core indicators to measure the stock market, this paper takes the volatility and liquidity of the stock market as the starting point. Firstly, the paper collates the relevant literatures about the influence of margin trading on the volatility and liquidity of stock market, and then explores the research ideas and methods of the text. Secondly, this paper introduces the main markets in the world and China's margin trading mode, the mechanism of margin trading affecting the stock market, the impact of volatility and liquidity of the stock market factors and measurement indicators; Thirdly, based on the daily trading data of Shanghai stock market, this paper empirically tests the impact of margin trading on the volatility and liquidity of the stock market by the methods of vector autoregression and Granger causality test. Finally, based on the empirical results and the actual situation of China's securities market, this paper puts forward some suggestions from the aspects of transfer mechanism, range of underlying securities, margin rate and margin ratio. Based on the above theoretical analysis and empirical research, this paper draws the following conclusions: Margin trading can stabilize the fluctuation of stock price and act as a price stabilizer, but the influence of this trading mechanism on securities market is weak. Margin trading does help to improve the liquidity of the market, but the relationship between margin trading and stock market liquidity is not significant. This paper believes that there are three reasons for the above situation: first, margin trading scale is too small; Second, the development of financing short selling and short selling of short securities is not balanced, the scale of short sale of short selling is too small; Third, margin trading securities trading target is too small.
【学位授予单位】：华东师范大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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