融资融券强度对中国股市波动性的影响研究

发布时间：2018-05-30 23:25

本文选题：融资融券 + 波动性　；参考：《浙江工商大学》2013年硕士论文

【摘要】：融资融券与股市波动性关系如何一直是理论界和实务界争论的热点问题,到目前为止国际上还没有统一的说法。中国证券市场经过数年的讨论、研究和准备之后,在2010年3月31日正式推出了融资融券交易机制。这一创新机制的引入,结束了我国证券市场多年的“单边市”运行态势,为投资者和券商等市场参与者提供了一种全新的盈利模式,同时,这一新的交易机制也必然会对我国的证券市场波动性产生深远的影响,围绕这一课题展开研究无疑具有重要的学术价值与现实意义。本文在梳理现有文献的基础上,首先回顾了国内外学者关于融资融券对股市波动性影响的各种论述,并将主要观点归纳分类,为本文奠定了研究基础；同时对融资融券的概念、特征和发展历程进行了总结,介绍了世界上几种比较成熟的、具有代表性的融资融券交易制度,并与我国目前的融资融券交易制度相对比,结合我国实际情况分析了我国融资融券交易制度可能的发展方向；最后,论文主体部分介绍了股市波动性的内涵与几种常用的度量方法,并且分析了融资融券对股市波动性的作用机制。实证工作中选取我国股市融资融券交易的实际数据,通过在GARCH模型的方差方程中添加虚拟变量的方法验证了融资融券交易机制的推出对我国股市波动性影响的存在显著影响,然后通过脉冲响应函数、方差分解法等方法着重分析了融资融券强度影响股市波动性的方向性和强度性。研究发现,在融资融券交易推出前后两个时间段里,市场的波动性水平有显著变化的,并且有理由认为融资融券的推出是引起这一变动的原因之一,在此基础之上,融资、融券强度对股市波动性影响的方向并非是相同的,本文的研究结果表明融资交易加大了股市波动性,而融券交易最终降低了股市波动性,另外,融资、融券强度对股市波动性影响的强度也不是一成不变的,而是随着时间的推移在逐渐增大,但是这一影响强度的绝对水平相对来说还是很小的。最后,根据前人及本文的研究并结合现实背景,有关当局有必要根据融资融券交易强度对股市波动性影响的特点,制定出相关政策,发挥出融资融券交易机制的积极作用。
[Abstract]:The relationship between margin and stock market volatility has always been a hot issue in theoretical and practical circles. Up to now, there is no uniform explanation in the world. After several years of discussion, research and preparation, China's securities market formally launched the margin trading mechanism on March 31, 2010. The introduction of this innovative mechanism has put an end to the "one-sided market" operation situation of China's securities market for many years, and provided a brand new profit model for investors, securities firms and other market participants, at the same time, This new trading mechanism is bound to have a profound impact on the volatility of the securities market in China. There is no doubt that the research on this subject has important academic value and practical significance. On the basis of combing the existing literature, this paper first reviews the domestic and foreign scholars' various expositions on the impact of margin and margin on the volatility of the stock market, and summarizes and classifies the main points of view, which lays a foundation for the research of this paper, and at the same time, the concept of margin and margin. This paper summarizes the characteristics and development process, introduces several mature and representative margin trading systems in the world, and compares them with China's current margin trading system. Combined with the actual situation in China, this paper analyzes the possible development direction of the margin trading system in China. Finally, the main part of the paper introduces the connotation of the volatility of the stock market and several commonly used measurement methods. And analyze the mechanism of margin on the volatility of the stock market. In the empirical work, we select the actual data of margin trading in China's stock market, and verify that the introduction of margin trading mechanism has a significant impact on the volatility of China's stock market by adding virtual variables to the variance equation of the GARCH model. Then through impulse response function, variance decomposition and other methods, this paper mainly analyzes the directivity and intensity of the intensity of margin which affects the volatility of stock market. The study found that the volatility level of the market changed significantly in the two time periods before and after the launch of margin trading, and it is reasonable to think that the introduction of margin is one of the reasons for this change. On this basis, financing, The effect of margin intensity on stock market volatility is not the same. The results of this paper show that the financing transaction increases the volatility of the stock market, while the margin trading ultimately reduces the volatility of the stock market. The influence of margin intensity on stock market volatility is not fixed, but gradually increases over time, but the absolute level of this impact intensity is relatively small. Finally, according to the research of predecessors and this paper and the realistic background, it is necessary for the relevant authorities to formulate relevant policies according to the characteristics of the impact of margin trading intensity on the volatility of the stock market, so as to play an active role in the mechanism of margin trading.
【学位授予单位】：浙江工商大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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