我国融资融券业务价格发现功能实证研究

发布时间：2018-05-29 08:30

本文选题：融资融券 + 价格发现　；参考：《东华大学》2013年硕士论文

【摘要】：融资融券制度又称为证券信用交易,是证券市场中重要的交易制度之一。随着市场的逐渐成熟,卖空交易目的渐趋多样化,融资融券制度已经成为基础交易制度中不可或缺的组成部分。融资融券交易通过改变股票供求弹性来实现其供求关系的变化,从而合理地确定股票价格。因此,融资融券交易的推出能从客观上形成一种“价格发现”机制,使得市场上的股票价格接近实际价值,这在一定程度上提高了市场的定价效率。我国于2010年3月31日正式推出融资融券业务,改变了我国证券市场一直以来不能做空只能做多的“单边市”格局。本文以我国沪深交易所参与融资融券业务的股票为研究对象,采用规范分析和实证分析相结合的研究方法,对我国融资融券交易价格发现功能进行深入探讨。绪论部分介绍了本文的研究背景、意义以及研究框架等内容。第二章回顾了融资融券业务对股市的影响机制,总结现阶段国内外学者对融资融券业务研究的情况和不足之处。论文第三章将融资融券业务的模式分为美国、日本、台湾三种,分析了它们各自的特点,总结了不同证券市场环境下融资融券业务模式的不同之处。第四章是本文的实证分析部分,选取参与融资融券业务83支股票作为研究对象,以融资融券业务的推出时间作为分水岭,截取相同的样本空间,应用格兰杰的计量模型,研究分析了金融时间序列的特征,进行了脉冲响应函数检验。本文参照沪深300指数的构造公式和方法,构建出83支股票的价格指数与成交额作为模型的变量,这也是本文的创新点之一。最终发现,成交额变化早于价格指数的变化,而且是引起价格指数变化的原因；而在融资融券制度推出之后,价格指数对于成交额变化带来的冲击反应速度变快,在更短的时间内恢复到正常的价格水平,因此证实了融资融券业务在我国也发挥了价格发现功能。最后,根据目前我国融资融券业务发展的现状,参照发达国家融资融券业务的经验,依据实证分析得出的相关结论,提出了完善我国融资融券业务的政策建议。
[Abstract]:Margin trading system, also known as securities credit trading, is one of the most important trading systems in the securities market. With the maturity of the market, the purpose of short selling is becoming more and more diversified, and margin trading system has become an indispensable part of the basic trading system. Through changing the elasticity of stock supply and demand, margin trading realizes the change of its supply and demand relationship, so as to reasonably determine the stock price. Therefore, the introduction of margin trading can objectively form a "price discovery" mechanism, which makes the stock price on the market close to the actual value, which to a certain extent improves the pricing efficiency of the market. On March 31, 2010, our country formally launched margin financing business, which has changed the pattern of "one-sided market", which has been unable to short and only long in China's securities market. This paper takes the stock of Shanghai and Shenzhen Stock Exchange as the object of study, adopts the research method of combining normative analysis and empirical analysis, and probes into the function of price discovery of margin trading in China. The introduction part introduces the research background, significance and research framework of this paper. The second chapter reviews the influence mechanism of margin trading on the stock market, summarizes the current domestic and foreign scholars on margin trading research and shortcomings. In the third chapter, the models of margin trading are divided into three types: the United States, Japan and Taiwan, and their respective characteristics are analyzed, and the differences of the models in different securities market environment are summarized. The fourth chapter is the empirical analysis part of this paper, select 83 stocks involved in margin trading as the research object, take the launch time of margin trading as watershed, intercept the same sample space, and apply Granger's measurement model. The characteristics of financial time series are analyzed and the impulse response function is tested. According to the formula and method of Shanghai and Shenzhen 300 index, this paper constructs the price index and turnover of 83 stocks as the variables of the model, which is one of the innovations of this paper. Finally, it is found that the change of turnover is earlier than the change of price index, and is the cause of the change of price index, and after the introduction of margin financing system, the impact of price index on the change of turnover becomes faster. In a shorter period of time to return to the normal price level, so confirmed that margin lending in China also played a price discovery function. Finally, according to the current situation of our country's margin business development, referring to the experience of the developed countries' margin and margin business, according to the empirical analysis of the relevant conclusions, put forward the policy recommendations to improve the margin and short margin business in China.
【学位授予单位】：东华大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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