融资融券对我国股票市场流动性影响的实证研究

发布时间：2018-05-11 12:44

本文选题：融资融券 + 股票市场　；参考：《安徽财经大学》2012年硕士论文

【摘要】：2010年3月31日我国正式推出融资融券业务,该业务的推出彻底打破了我国股票市场只能买空而不能卖空的单边格局。融资融券业务的推出不仅起到稳定市场的作用,还将为券商带来重大发展机遇。但融资融券业务的推出能否有助于提高股票市场和个股的流动性,无论是对成熟市场还是新兴市场来说都是一个有待深入研究的问题。本文首先定性地分析了融资融券对股票市场流动性影响的作用机制。尔后选取自2010年3月31日至2011年7月5日时间段的34个样本数据,运用“事件研究法”分别针对我国推出的融资融券业务以及试点券商正式运营对股票市场和行业个股流动性影响进行了研究。以SCRC行业分类标准和“事件研究法”的结论,选择11只行业个股代表,采用VAR模型和Granger因果检验的方法深入研究了融资买空交易对股票市场和行业个股流动性的影响。针对研究结果结合我国股票市场的现状,简要提出了些许建议。本文的研究结论如下： 1、结合我国股票市场推出融资融券业务时间相对较短的现状,通过理论分析认为融资融券业务对我国股票市场的流动性产生一定的影响,但影响程度有限。 2、采用“事件研究法”对我国融资融券业务以及试点券商正式运营对股票市场以及个股的流动性影响进行分析,认为融资融券业务的推出对股票市场和个股的流动性都具有一定的提升作用。但试点券商正式运营对市场和个股的流动性影响甚微,随着试点券商批次的增加,其对流动性影响的作用呈减弱趋势。融资融券业务的推出比试点券商正式运营对市场、个股的流动性影响均大。 3、由于我国融券卖空业务交易量占融资融券业务总量比重很小,因此重点研究融资买空业务对流动性的影响更具有现实意义。一、我国融资买空业务是影响股票市场流动性变化的Granger原因,“中国中铁股票”的融资买空业务不是该股流动性变动的Granger原因,11只行业代表个股中,有54%的股票拒绝了融资买空业务不是该股流动性变化的Granger原因的原假设；二、我国融资买空业务对市场和行业个股流动性的影响都比较微弱,该性质不仅表现脉冲响应函数中,也表现在方差分解中。无论是市场流动性还是行业个股流动性,其变动都主要来自于自身的影响。 4、根据以上实证结论分别从制度、监管、券商及投资者角度,对我国融资融券业务的各个环节提出了相关意见。
[Abstract]:On March 31, 2010, our country formally launched the financing and short selling business, which completely broke the unilateral pattern that the stock market in our country can only buy short and not short. The introduction of margin-financing business not only plays a stabilizing role in the market, but also will bring major development opportunities for securities companies. But whether the launch of margin trading will help increase liquidity in stock markets and individual stocks is an issue that remains to be studied in both mature and emerging markets. Firstly, this paper qualitatively analyzes the mechanism of the effect of margin on stock market liquidity. From March 31, 2010 to July 5, 2011, 34 samples were selected, By using the event Research method, the paper studies the influence of the financing and short selling business and the formal operation of the pilot securities firms on the stock market and the individual stock liquidity of the industry respectively. Based on the conclusion of SCRC industry classification standard and "event study method", 11 representatives of individual stocks in industry are selected, and the effect of short selling on the liquidity of stock market and individual stock is studied by VAR model and Granger causality test. According to the research results and the current situation of China's stock market, some suggestions are put forward briefly. The conclusions of this paper are as follows: 1. According to the current situation of short time of short margin trading in stock market of our country, through theoretical analysis, it is concluded that margin and short margin business has certain influence on liquidity of stock market in our country, but the influence degree is limited. 2. Using the "event Research method" to analyze the liquidity influence of the stock market and the stock market in China, as well as the formal operation of the pilot securities firms. It is believed that the introduction of short-margin financing can enhance the liquidity of both stock market and individual stock. However, the formal operation of the pilot brokerage has little effect on the liquidity of the market and individual stocks. With the increase of the batches of the pilot securities firms, its effect on liquidity tends to weaken. The introduction of margin trading business than the formal operation of the pilot securities companies on the market, the liquidity impact of individual stocks are greater. 3, because the volume of short selling in short selling accounts for a small proportion of the total volume of short selling in China, it is of practical significance to focus on the impact of short selling on liquidity. First, the short financing business in China is the Granger reason that affects the liquidity change of the stock market. The short financing business of China Railway is not the Granger reason for the liquidity change of the stock. 54% of the stocks rejected the original assumption that short financing was not the Granger cause of the change in liquidity of the stock. Second, the impact of short financing on the liquidity of individual stocks in both markets and industries was weak, which not only reflected the impulse response function, It is also shown in variance decomposition. Whether market liquidity or industry individual stock liquidity, their changes are mainly from their own influence. 4. According to the above empirical conclusions, from the system, supervision, securities firms and investors, put forward the relevant opinions on each link of our country's margin and margin business.
【学位授予单位】：安徽财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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