沪深股市融资融券保证金测算方法研究

发布时间：2018-05-11 19:15

本文选题：融资融券 + 保证金水平　；参考：《复旦大学》2012年硕士论文

【摘要】：作为证券市场的双向交易机制,沪深股市启动的融资融券业务丰富了市场多空双方的博弈模式,有利于建立稳定的资本市场价格发现体系,是推进金融创新、发展金融衍生品市场的一项基础交易制度。利用国内证券市场融资融券业务和期货市场股指期货,机构投资者可以锁定股市系统性风险对其资产净值的影响,进而有效减少低卖高买的非理性趋势行为。这些资本市场的风险控制措施对于保护投资者利益和促进资本市场长远健康发展都有积极意义。然而,国内融资融券业务保证金设置机制较为简单,存在着交易成本高、资金使用效率低等问题。为了推进融资融券业务的发展,建立起能够跟踪股票价格历史波动表现的保证金设置方法将成为提升融资融券交易效率的一个重要选择。本文利用极值理论非参数估计法来计算融资融券市场及其相关个股的最优保证金水平,比较分析其中优劣,以求获得能够兼顾市场安全和效率的融资融券保证金估计方法。保证金设置是证券信用交易机制的重大特征。一方面低于交易总额的保证金给予该证券交易以杠杆便利,另一方面合理的保证金水平有望规避标的资产期间价格波动所带来的市场交易风险。保证金的设置应当考虑两个目标：第一是保证交易安全；第二是提供交易便利,提升交易效率。最优保证金水平的设置就是在拟交易周期内,在可接受的价格波动极端值导致交易违约风险小概率情况下,既保障交易安全又能顾及交易效率的最合理的保证金。融资融券样本数量众多,其价格收益率极值变化分布形式复杂,因此,参数估计法并不适用于融资融券保证金水平的设置。而在统计理论中,随机样本的总体分布与其极值分布是相互独立的,且具有尖峰厚尾特征的金融时间序列往往都符合一种极值分布特征,从而,可以通过极限分布来替代总体精确分布,极值理论非参数估计法能够适应融资融券多样本的情况。本文将分别用非参数方法中的Hill估计法和VAR-X估计法来设置融资融券保证金水平,并评价这两种方法的优劣。本文首先介绍了国内外证券信用交易保证金设置的相关研究成果。其次,介绍了国内外融资融券业务模式及其保证金制度。第三、阐述了保证金设置的极值理论原理与方法,以及关于融资融券交易制度启动对样本价格波动性影响的检验方法。最后,通过实证研究讨论融资融券交易制度启动对样本价格波动的影响,进而估计沪深两市融资融券样本股平均收益率和个股价格收益率序列的最优保证金水平,以获得融资融券市场及个股的最优保证金水平,为我国融资融券市场保证金设定研究提供参考借鉴。本文的创新点在于：1、使用双重差分模型来检验融资融券机制对相关样本股价格基本波动特征在融资融券启动前后的变化。2、通过对不同个股价格收益率序列所计算出保证金水平之间差异的分析,研究不同信用资产市场风险的差异,以及设置其各自最优保证金水平的必要性。3、通过扩大样本价格波动的单位周期来改善股价涨跌幅限制对融资融券最优保证金设置的影响。本文通过对沪深股市融资融券试点标的证券的实证分析得到以下结论：融资融券机制启动并没有对融资融券样本股价格基本波动特征产生影响；沪深股市融资融券标的品种各价格波动单位周期的收益率时间序列均不服从正态分布,其尾部指数估计适用于极值理论Frechet分布；极值理论的Hill非参数估计方法能够较为合理设置融资融券市场基准保证金和融资融券样本股保证金。本文的不足之处在于：通过实证分析证明融资融券业务启动对样本股价格收益率波动基本特征的影响并不显著,因此,在计算沪深两市融资融券品种最优保证金水平的过程中使用了融资融券启动之前的市场数据。不过,随着证券信用交易市场不断壮大发展,融资融券业务对正常股票价格波动的影响也将逐步显现,这需要在未来的研究中密切跟踪,以期进一步优化最优保证金设置模式。
[Abstract]:As a two-way trading mechanism in the securities market, the financing margin business initiated by the Shanghai and Shenzhen stock markets enriches the game mode of the market, which is conducive to the establishment of a stable capital market price discovery system, is a basic trading system to promote financial innovation and develop the financial derivatives market. Stock index futures in the futures market, institutional investors can lock the stock market risk to their net asset value, and then effectively reduce the irrational trend behavior of low sale and high purchase. The risk control measures of these capital markets have positive significance to protect the interests of investors and promote the long-term healthy development of the capital market. The margin setting mechanism of margin trading is relatively simple, there are high transaction costs and low efficiency of use of funds. In order to promote the development of margin trading, the establishment of margin setting method to track the historical volatility of stock prices will be an important choice to improve the efficiency of financing margin trading. The non parametric estimation method is used to calculate the optimal margin level of the margin market and its related stocks, and to compare and analyze the advantages and disadvantages of this method in order to obtain the estimation method of margin margin deposit which can give consideration to the market security and efficiency.
Margin setting is a major feature of the securities trading mechanism. On the one hand, the margin is lower than the total amount of the transaction to be leveraged for the securities transaction. On the other hand, the reasonable margin level is expected to avoid the market risk caused by the price fluctuation during the underlying asset. The two goals should be taken into consideration: first, To ensure transaction safety; second is to provide transaction convenience and improve transaction efficiency. The optimal margin level is the most reasonable margin that guarantees transaction safety and can take account of transaction efficiency in a quasi transaction cycle, in the case of acceptable price fluctuation extremes that lead to small transaction default risk. Therefore, the parameter estimation method is not suitable for the setting of margin margin level. In the statistical theory, the overall distribution of the random sample is independent of the extreme value distribution, and the financial time series with the characteristics of the peak and thick tail often conforms to a kind of extreme value distribution. In this way, the limit distribution can be used to replace the overall accurate distribution, and the non parametric estimation method of extreme value theory can adapt to the multi sample of financing margin. This paper will use the Hill estimation method and the VAR-X estimation method in the non parametric method to set up the margin margin level and evaluate the advantages and disadvantages of the two methods.
This paper first introduces the relevant research results of security margin setting at home and abroad. Secondly, it introduces the mode of margin trading at home and abroad and its margin system. Third, it expounds the theory and method of the extreme value theory of margin setting, and the test of the influence of the start of the margin trading system on the volatility of the sample price. Finally, through the empirical study, we discuss the effect of the start of the margin trading system on the fluctuation of the sample price, and then estimate the optimal margin level of the average return and the stock price return sequence of the two markets in Shanghai and Shenzhen, in order to obtain the optimal margin level of the margin market and the stock market, for the margin market of our country. The research on setting up the margin of the field provides reference.
The innovation points of this paper are as follows: 1, using the dual difference model to test the change of the basic price fluctuation characteristics of the related sample stock before and after the start of financing margin of the related sample stock.2, through the analysis of the difference between the margin levels calculated by the price return sequence of different stocks, the differences in the risk of different credit assets are studied. And the necessity of setting up the optimal margin level of their respective.3, by expanding the unit cycle of the price fluctuation of the sample to improve the effect of the price limit on the margin optimal margin setting.
Through the empirical analysis of the securities in Shanghai and Shenzhen stock market, the following conclusions are obtained: the financing margin mechanism does not affect the basic price volatility of the financing margin model stock, and the time series of the unit cycle of price fluctuation in the stock market of the Shanghai and Shenzhen stock market is not subordinate to the normal score. The estimation of the tail index is suitable for the Frechet distribution of the extreme value theory, and the Hill nonparametric estimation method of the extreme value theory can reasonably set up the benchmark margin in the margin market and the margin of the margin for financing margin.
The inadequacies of this paper are as follows: through the empirical analysis, it is proved that the effect of the start of financing margin business on the basic characteristics of the volatility of the price and return of the sample stock is not significant. Therefore, in the process of calculating the optimal margin level of the two markets in Shanghai and Shenzhen, the market data before the start of margin lending is used. However, with the securities credit The trading market continues to grow, and the impact of margin trading on the volatility of normal stock prices will also gradually emerge. This needs to be closely followed in future research in order to further optimize the optimal margin setting model.

【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.51

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