融资融券扩容对A股市场及个股影响

发布时间：2018-04-09 00:36

本文选题：融资融券　切入点：市场与个股影响　出处：《上海交通大学》2013年硕士论文

【摘要】：融资融券自正式进入我国证券市场以来历经了两次扩容，目前标的股票数量已经占了A股上市股票总数的1/4，正对我国证券市场产生着深远的影响。本文试图回答关于融资融券的几个热点问题：第一，融资融券对于市场及个股的流动性与波动性究竟有何影响；第二，融资和融券两项业务对于A股市场的影响是否有所不同；第三，市场和个股对于融资融券的反应是否有所区别。本文根据融资融券标的证券的重大变化，将2009年1月至2013年1月的时间分成三个研究阶段，分别开展融资融券在市场层面和个股层面对于波动性和流动性的影响的理论研究与实证研究，并得出了以下结论：在市场层面，，融资融券整体而言增加了市场的流动性，抑制了市场的波动性。分别查看融资交易和融券交易对于市场的影响也得出一致的结论，融资与融券交易都能够增加市场的流动性，平抑市场的波动性。在个股层面，我们通过倾向匹配评分法（PSM）构建了与经筛选后的融资融券实验组个股一一对应的控制组。通过对比实验组与控制组的回归结果，本文发现实验组与控制组的波动性都随着融资融券的发展减小；而对于流动性两组得出了不同的结果，实验组的流动性下降而控制组的流动性上升，从而为“噪声交易者”假说提供了新证据。
[Abstract]:Margin financing has been expanded twice since it entered the securities market in China. At present, the number of target stocks has accounted for 1 / 4 of the total number of A-share listed stocks, which is having a profound impact on the securities market of our country.This paper tries to answer several hot questions about margin and margin: first, how does margin and margin affect the liquidity and volatility of market and individual stock; second, whether the influence of financing and short selling on A share market is different;Third, the market and stocks to margin financing reaction is different.According to the significant changes of securities in margin margin, this paper divides the period from January 2009 to January 2013 into three stages.The theoretical and empirical studies on the impact of margin financing on volatility and liquidity at the market level and the stock level are carried out respectively, and the following conclusions are drawn:At the market level, margin financing increases the liquidity of the market as a whole, and restrains the volatility of the market.It is concluded that both financing and margin trading can increase the liquidity of the market and stabilize the volatility of the market.At the level of individual stock, we construct a one-to-one control group corresponding to each stock of the experimental group.By comparing the regression results between the experimental group and the control group, it is found that the volatility of both the experimental group and the control group decreases with the development of margin and margin.The liquidity of the experimental group decreased while that of the control group increased, thus providing new evidence for the "noise trader" hypothesis.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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