股票融资融券交易的市场效应研究

发布时间：2018-09-12 18:15

【摘要】：自沪深证券交易所1990年成立以来，我国股票市场的投资品种越来越丰富，投资规模逐步扩大，制度建设不断完善，，运行机制日益规范。尽管如此，高波动等问题一直困扰着我国股市的健康发展，做空机制的缺乏是重要原因之一。在国外成熟证券市场上，融资融券是股市最基本的业务之一，理论上它具有平抑股价波动，增加股市流动性，满足投资者多样化的投资需求等积极效应。因此，长期以来人们期待融资融券交易能够改变我国股票市场的“单边市”格局。我国融资融券业务试点自2010年3月31日正式启动，它是继我国股权分置改革后，对我国资本市场发展影响巨大的一项金融创新，是完善市场运行机制的重要补充，也是我国资本市场不断走向成熟的重要标志。融资融券的实际市场效应在国外学术界仍存在着相当多的争议，它作为我国资本市场一项重要的制度创新，对我国股票市场具备怎样的实际效应，更有待于进一步的检验。本文的研究目的是实证检验我国融资融券交易试点期间和转常规后的市场效应，以为如何进一步完善融资融券制度和提高市场质量提供相关的实证依据。本文先是阐述了融资融券交易及其市场效应的理论基础，然后选取较具代表性且可量化的Anderson波动性指标和Amihud非流动性指标作为衡量市场效应的评价依据，运用Panel-Data回归模型、VAR模型、Granger因果关系检验、脉冲响应函数分析以及多元线性回归等方法，分别检验融资融券对标的股票和对股市大盘的影响，研究结果发现，试点期间融资相对于融券更能平抑波动，增强流动性，而转常规后融券平抑股价波动的功能开始显现，但两个阶段的影响系数均较小，本文据此为如何完善我国融资融券制度，促进股票市场稳定、健康发展提出相关对策建议。
[Abstract]:Since the establishment of Shanghai and Shenzhen Stock Exchange in 1990, the stock market of our country has more and more investment varieties, the scale of investment has gradually expanded, the system construction has been continuously improved, and the operating mechanism has become more and more standardized. However, the problems of high volatility have been puzzling the healthy development of Chinese stock market, and the lack of short-selling mechanism is one of the important reasons. In foreign mature securities market, margin financing is one of the most basic business of stock market. Theoretically, it has the positive effects of stabilizing stock price fluctuation, increasing stock market liquidity and satisfying investors' diversified investment demand. Therefore, it has long been expected that margin trading can change the "one-sided market" pattern in China's stock market. Since March 31, 2010, the pilot project of margin trading in China has been officially launched. It is a financial innovation that has a great impact on the development of capital market after the reform of split share structure in China. It is also an important supplement to the improvement of market operation mechanism. Also is our country capital market unceasingly moves toward the maturity the important symbol. The actual market effect of margin financing is still controversial in foreign academic circles. As an important institutional innovation in China's capital market, what kind of practical effect on the stock market of our country needs to be further tested. The purpose of this paper is to empirically test the market effect of margin trading in China during the trial period and after switching to conventional trading so as to provide relevant empirical evidence for how to further improve the margin trading system and improve the market quality. This paper first expounds the theoretical basis of margin trading and its market effect, and then selects the representative and quantifiable Anderson volatility index and Amihud illiquidity index as the evaluation basis of market effect. By using Panel-Data regression model and Granger causality test, impulse response function analysis and multivariate linear regression, the effects of margin and margin on the underlying stock and the stock market are tested respectively. During the pilot period, the financing can stabilize the fluctuation and enhance the liquidity, but the function of stabilizing the fluctuation of stock price is beginning to appear, but the influence coefficient of the two stages is small. According to this, this article is how to perfect the system of margin and short margin in our country. To promote the stability of the stock market, the healthy development of the relevant countermeasures.
【学位授予单位】：山东财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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