融资融券对我国股票市场影响的实证分析

发布时间：2018-01-23 21:42

本文关键词： 融资融券流动性波动性股票市场实证检验　出处：《华东师范大学》2012年硕士论文　论文类型：学位论文

【摘要】：2010年3月31日,融资融券正式亮相于我国证券市场,学术界对于它能否有效提高我国股市运行机制仍然存在着争议。值此融资融券推出近两年的契机,本文利用上海证券市场的经验数据,研究融资融券交易推出后对我国股票市场究竟产生了怎样的影响。考虑到衡量股票市场表现的两个最核心指标是波动性及流动性,因此本文以股票市场的波动性和流动性属性为切入点,首先对股市波动性、流动性以及融资融券的相关文献进行整理分析,进而探索出本文在此问题上可进一步研究的方向和思路；其次,本文详细分析了融资融券的投资特点、交易模式,以及流动性、波动性的影响因素和测量指标,这为后面的实证部分铺垫了度量基础；然后,通过介绍融资融券影响股市波动性和流动性的传导机制这一理论基础上,实证研究融资融券对我国股市波动性和流动性的影响。本文采用对比分析、VAR回归计量、统计检验等多种定量手段检验融资融券与股市波动性和流动性之间的变动关系,以及融资融券对于市场波动性和流动性的具体影响方向。最后,结合实证结果与我国股票市场的实际情况,本文从推行市场化、证券监管、投资者、证券公司等几个不同角度提出了融资融券发展的相关建议。根据上述这一系列的理论分析和实证研究,本文最终得出了以下几点结论： (1)融资融券交易是我国股市波动性变化的显著原因,它能在一定程度上降低股市的波动性,这与本文的假设一致。但值得注意的是脉冲响应函数显示融资融券降低股市波动性的效应不是立刻凸显的,股市波动性在初始阶段先是上升而后才开始慢慢下降,并在最后的市场操作阶段有一个最大幅度的降低。另外,融资融券与股市波动性之间只存在单向的因果关系,股市波动性并不是融资融券的显著原因,这一结果与我国股票市场的特殊情况有关。我国金融市场波动过于频繁,导致融资融券交易者投资比较谨慎。 (2)融资融券与股市流动性之间的因果关系不显著。通过分析融资融券在我国的这两年交易情况,发现融资融券交易额相对于整个市场的交易额较小,融券业务的发展受限,导致其对市场流动性的影响力度被削弱了。
[Abstract]:On March 31 , 2010 , the financing bills appeared in China ' s securities market , and the academic circle still has a dispute about whether it can effectively improve the running mechanism of China ' s stock market . Considering that the two most core indexes of stock market performance are volatility and liquidity , this paper analyzes the volatility and liquidity of the stock market by analyzing the volatility and liquidity of the stock market , and then explores the influence factors and measures of the financing bills on the volatility and liquidity of the stock market . Based on the above - mentioned series of theoretical analysis and empirical research , this paper concludes with the following conclusions : ( 1 ) The financing margin trading is the main reason for the fluctuation of stock market volatility in our country . It can reduce the volatility of stock market to some extent , which is consistent with the assumption of this paper . But it is worth noting that impulse response function shows that the effect of reducing the volatility of stock market is not immediately obvious , and the volatility of stock market is not the obvious reason of financing bills . ( 2 ) The causal relationship between the financing bonds and the stock market liquidity is not significant . Through analyzing the two - year transaction of the financing bonds in our country , it is found that the transaction amount of the financing bonds is relatively small relative to the transaction amount of the whole market , and the development of the margin financing business is limited , which leads to the weakening of the influence on the market liquidity .

【学位授予单位】：华东师范大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

【引证文献】