融资融券对中国股市波动性和流动性影响的实证研究

发布时间：2018-03-30 22:18

本文选题：融资融券交易　切入点：波动性　出处：《东北财经大学》2013年硕士论文

【摘要】：我国股市自诞生以来,就一直缺乏针对单个股票的做空机制,因此,股价经常大起大落,股市系统性风险很大。2010年3月31日,融资融券交易正式运行,这使中国股票市场拥有了针对单个股票的做空机制,降低了系统性风险。引入融资融券业务对于完善我国资本市场有着十分重要的作用。融资融券业务为券商开创了一个新的业务领域,为投资者提供了崭新的盈利模式,提高了市场的流动性,扩大了市场上股票的供给和需求,增加了股票市场交易的频率,给股票市场注入了新的动力。引入融资融券业务改变了我国股票市场长期以来一直是“单边市”的局面,这种既可以买空又可以卖空的交易机制有利于充分发挥股票市场的功能,使市场存在一种价格稳定机制,使股票价格不会大幅偏离其价值,一定程度上缓和了股票市场的波动,有利于价值投资理念的发展,将对股票市场的长期稳定健康发展有积极地作用。波动性和流动性是反映股票市场有效性的重要指标,低波动性且高流动性的市场的有效性显然较高,这是各国股票市场所要努力达到的主要目标。目前,融资融券业务的开户数、交易额均在大幅上升,因此实证检验融资融券交易对股市波动性和流动性的影响具有重大的现实意义。在2010年1月31日之前,中国大陆地区还不存在融资融券业务,很多学者是以和中国股票市场相关程度比较高的香港或台湾市场为研究对象研究融资融券对股票市场的影响,从而猜测融资融券对中国股市的影响。因为香港或台湾市场与大陆市场有明显的区别,所以得出的研究结论未免有偏差。本文首先回顾了国内外关于卖空机制的研究成果,然后运用融资融券业务在中国开展之后所产生的数据进行实证分析,从理论和实证的角度分析融资融券交易对市场流动性和波动性的影响。最后,本文针对研究结果,结合我国市场融资融券交易的整体环境,提出了自己的政策建议。
[Abstract]:Since the birth of China's stock market, there has been a lack of short-selling mechanism for individual stocks. As a result, stock prices often fluctuate and the stock market has a very high systemic risk. On March 31, 2010, margin trading officially went into operation.This enables the Chinese stock market to have a short-selling mechanism for individual stocks and reduces systemic risk.The introduction of margin trading plays an important role in perfecting China's capital market.Margin financing has opened up a new business area for securities dealers, provided investors with a new profit model, enhanced the liquidity of the market, expanded the supply and demand of stocks in the market, and increased the frequency of trading in the stock market.The stock market was given new impetus.The introduction of margin trading has changed the situation that the stock market in our country has been a "one-sided market" for a long time. This trading mechanism, which can not only buy short but also short sell, is conducive to giving full play to the function of the stock market.The existence of a price stabilization mechanism in the market will ensure that the stock price does not deviate substantially from its value, which to a certain extent alleviates the fluctuation of the stock market and is conducive to the development of the concept of value investment.Will have a positive effect on the long-term stable and healthy development of the stock market.Volatility and liquidity are important indicators to reflect the efficiency of stock market. The efficiency of low volatility and high liquidity market is obviously high, which is the main goal of stock market in many countries.At present, the number of open accounts and the turnover of margin trading are all rising significantly, so it is of great practical significance to empirically test the impact of margin trading on the volatility and liquidity of the stock market.Before January 31, 2010, there was no margin trading in mainland China. Many scholars studied the impact of margin lending on the stock market in Hong Kong or Taiwan, which has a relatively high degree of correlation with the Chinese stock market.So as to speculate the impact of margin lending on the Chinese stock market.Because the Hong Kong or Taiwan market is obviously different from the mainland market, the conclusion of the study is somewhat biased.This paper first reviews the research results of short selling mechanism at home and abroad, and then makes an empirical analysis by using the data generated after the development of margin and short selling business in China.The influence of margin trading on market liquidity and volatility is analyzed theoretically and empirically.Finally, according to the research results, combined with the overall environment of margin trading in China, this paper puts forward its own policy recommendations.
【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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