融资融券对股票价格波动的影响研究

发布时间：2018-05-29 03:22

本文选题：融资融券 + 买空　；参考：《合肥工业大学》2013年硕士论文

【摘要】：2010年3月，融资融券作为金融市场一项基本的制度安排引入到我国，结束了我国证券市场长期“单边市”的格局，从此我国迈入了双边交易时代。随着融资融券业务的不断开展，标的股票证券池不断扩容，所占市值的比重不断提高，其对股票市场的影响日益显著。融资融券对证券市场的影响，尤其是对波动性的影响，，一直是理论界和实务界关注的焦点之一，但迄今仍然没有统一定论。文章拟选取上海证券交易所的融资融券业务为研究对象，深入、严谨、系统地研究了融资融券对股市波动的影响，以期为我国融资融券的制度变迁提供一些借鉴和建议。文章分别基于市场和个股视角，综合利用GARCH模型、VAR模型、脉冲响应函数、方差分解、Granger因果关系等多种计量经济学分析方法和事件分析法，实证研究了融资融券对股市波动的影响以及个股调整对标的证券波动的影响。文章的研究结论如下：第一、理论分析表明，融资融券具有降低股价波动作用。禁止卖空或卖空限制越严格，股价就越易出现“高估”现象；若市场允许融资融券，股价最终将等于其真实价值。第二、实证结果表明，融资融券能够平抑股价波动，且对个股的影响效果要比市场更显著。（1）融资融券对市场波动性的影响总体上具有稳定之功效，但影响效果很小；融资买空对市场波动具有负向作用，而融券卖空与假设相反，加剧了市场波动。（2）融资融券对个股波动性的影响与理论假设一致，即禁止或限制卖空导致股价“高估”，允许卖空使得股票收益负偏。基于研究结论，文章提出了合理发展融资融券的政策建议：进一步扩大融资融券业务，逐步放宽融资融券业务的限制；进一步加强监管，规范交易制度；加大融资融券业务知识普及，倡导理性投资理念。
[Abstract]:In March 2010, margin financing was introduced into China as a basic institutional arrangement in the financial market, which ended the pattern of "one-sided market" in China's securities market for a long time, and China entered the era of bilateral trading from then on. With the continuous development of margin and margin business, the stock pool of the underlying stock is expanding, the proportion of the market value is increasing, and its influence on the stock market is becoming more and more obvious. The influence of margin financing on the securities market, especially on the volatility, has always been one of the focuses of the theoretical and practical circles, but there is still no unified conclusion. This article chooses the Shanghai Stock Exchange margin business as the research object, deeply, rigorously, systematically studies the influence of the margin on the stock market fluctuation, in order to provide some reference and suggestions for the institutional change of the margin in our country. Based on the perspective of market and individual stock, this paper makes comprehensive use of GARCH model, impulse response function, variance decomposition, Granger causality and other econometric analysis methods and event analysis methods. This paper empirically studies the influence of margin and margin on the volatility of the stock market and the effect of the adjustment of individual stock on the volatility of the underlying securities. The conclusions of this paper are as follows: First, theoretical analysis shows that margin lending can reduce the volatility of stock price. The tighter the ban on short selling or short selling restrictions, the more likely the stock price will be "overvalued"; if the market allows margin lending, the share price will eventually be equal to its true value. Second, the empirical results show that margin financing can calm stock price fluctuations, and the impact on individual stocks is more significant than the market. 1) margin has a stable effect on market volatility in general, but the effect is very small; Short selling by financing has negative effect on market volatility, while short selling of short margin is contrary to hypothesis, which intensifies the effect of short selling on volatility of individual stock. The influence of short selling on volatility of individual stock is consistent with theoretical hypothesis, that is, prohibiting or restricting short selling leads to "overvaluation" of stock price. Allowing short selling results in negative equity returns. Based on the conclusion of the research, the paper puts forward some policy suggestions for the rational development of margin and margin: further expanding the margin and margin business, gradually relaxing the restriction of margin and margin business, further strengthening supervision, standardizing the trading system; Increase financing margin business knowledge popularization, advocate rational investment concept.
【学位授予单位】：合肥工业大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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