融资融券交易对我国股市影响之研究

发布时间：2018-06-19 14:12

本文选题：融资融券 + 卖空　；参考：《南京师范大学》2012年硕士论文

【摘要】：融资融券交易在美、日等发达国家和台湾、香港等新兴市场已经相当成熟,而在我国尚处于起步阶段。2010年3月31日,我国沪深交易所开始正式接受融资融券交易申报,这标志着我国融资融券交易试点工作的正式施行。融资融券交易的引进对我国股市到底有何影响?国内外学者一般只是在总结成熟市场融资融券交易特点的基础上,实证分析融资融券交易对这些国家或地区股市的影响,从而对我国融资融券交易提出政策借鉴,而少有人对我国的融资融券交易特点做出系统的梳理、总结,更少有人实证研究融资融券对我国股市的影响。本文以我国融资融券交易作为研究对象,在系统梳理我国与成熟市场融资融券交易制度异同点的基础上,从有效性、稳定性和流动性三个方面,全面深入地分析了融资融券交易对股市的影响,进而通过实证分析研究融资融券交易(以上证50指数成分股的融资融券交易额为代表)对我国股市(以上证50指数为代表)的影响,以期为我国融资融券交易制度的改革与完善提供政策建议。具体而言,本文首先系统梳理国内外关于融资融券对股市影响的文献,总结出现有理论和实证研究的结论与特点；在此基础上,本文重点研究我国融资融券交易的特点,并将其与国外成熟市场(美国、口本、台湾)融资融券交易的特点相比较,总结其异同点；接着,本文通过刘Miller(1977)的研究框架进行延伸与拓展,研究融资融券对股市影响的作用机制,全面深入地分析融资融券交易对股市定价效率、波动性和流动性的影响；在上述理论研究的基础上,本文通过建立VAR模型、ARDL模型等计量经济模型,实证分析了融资融券交易对我国股市波动性和流动性的影响；最后,针对实证分析的结果,本文对我国融资融券交易制度的改革提出政策建议。本文的主要研究结论如下： (1)短期内,卖空交易会加剧股市波动,但随着时间的推移,会减轻我国股市波动,即长期来看,卖空交易会减轻股市波动,但其作用很微弱； (2)买空交易能够减轻我国股市波动,但其作用很微弱； (3)卖空、买空交易能够提高我国股市流动性,但其作用很微弱。
[Abstract]:Margin trading in the United States, Japan and other developed countries, Taiwan, Hong Kong and other emerging markets have been quite mature, but in China is still in its infancy. On March 31, 2010, China's Shanghai and Shenzhen exchanges began to formally accept margin trading declaration. This marks the formal implementation of the pilot project of margin trading in China. How does the introduction of margin trading affect the stock market in China? Domestic and foreign scholars generally only summarize the characteristics of margin trading in mature markets, and empirically analyze the impact of margin trading on the stock markets of these countries or regions. However, few people systematically comb the characteristics of margin trading in China, and conclude that there are few empirical studies on the impact of margin trading on China's stock market. This paper takes margin trading in our country as the research object, on the basis of systematically combing the similarities and differences between China and the mature market, from the three aspects of validity, stability and liquidity. It thoroughly analyzes the influence of margin trading on stock market. Then through the empirical analysis, the paper studies the influence of margin trading (represented by the margin trading volume of Shanghai 50 index) on China's stock market (represented by Shanghai 50 index). In order to provide policy recommendations for the reform and improvement of margin trading system in China. Specifically, this paper first systematically combs the domestic and foreign literature on the impact of margin trading on the stock market, summarizes the conclusions and characteristics of theoretical and empirical research; on this basis, this paper focuses on the characteristics of margin trading in China. And compare it with the characteristics of foreign mature market (USA, Taiwan), sum up its similarities and differences. Then, this paper extends and expands through the research frame of Liu Millerong (1977). This paper studies the mechanism of the influence of margin trading on the stock market, and analyzes the effect of margin trading on the pricing efficiency, volatility and liquidity of the stock market. By establishing the VAR model and ARDL model, this paper empirically analyzes the impact of margin trading on the volatility and liquidity of China's stock market. This paper puts forward some policy suggestions on the reform of margin trading system in China. The main conclusions of this paper are as follows: in the short term, short selling will aggravate the volatility of the stock market, but with the passage of time, it will reduce the volatility of China's stock market, that is, in the long run, short selling will reduce the volatility of the stock market. But its effect is very weak; (2) short trading can reduce the fluctuation of stock market in our country, but its effect is very weak; (3) short selling and short selling can improve the liquidity of stock market in our country, but its effect is very weak.
【学位授予单位】：南京师范大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

【参考文献】