融资融券制度对资产价格影响的实验研究

发布时间：2018-04-16 03:02

本文选题：融资融券 + 证券市场　；参考：《南京大学》2014年硕士论文

【摘要】：2010年我国融资融券试点建立,我国的融资融券交易获得了迅速发展,融资融券的重要地位日益显现。我国的证券市场具有高换手率而流动性不足的特点,市场扭曲较为严重,投机性较强。能否合理利用融资融券机制和其保证金制度这一杠杆,增强市场的流动性,抑制波动性和泡沫,一直是学界争论的焦点,这一问题的研究也对我国融资融券制度的实施具有重大的现实意义。对于融资融券及保证金制度对证券市场的作用,学界持有不同的观点。有些学者持乐观态度,认为融资融券能够造福证券市场；而有些学者认为融资融券的实施,反而会“助长杀跌”,恶化证券市场的环境；也有观点认为,没有明显的证据表明融资融券对证券市场有正向或负向作用。而对于保证金能否作为调控杠杆控制融资融券交易及市场运行情况,学者们也有相应的三种不同观点。传统上,实证方法一直是经济学研究的主要方法。而在近年发展中,新兴的实验研究方法以其可控制性、可重复性等优点,体现出独特的经济学研究优势,并逐步成为经济学研究的重要方法。本文希望运用实验研究方法对这一议题进行实验研究,为已有的实证研究提供有力的补充。同时,目前实验研究大多关注了融资融券制度对证券市场的影响,而保证金制度研究仍旧是一个空白。而我国的实验研究刚刚起步,还未涉及到融资融券这一领域。因此,本研究希望能够填补这一空白领域。本文提出了四个猜想,对实验结果进行了展望。接着,我们借鉴Smith的经典实验制度,招募被试,模拟真实证券市场,进行实验,包括无融资融券、有融资融券、融券保证金比例上调、融资保证金比例上调和设置维持担保比例等五个场景。本文运用了描述统计、独立分布t检验和多元回归分析等方法对实验数据进行了比较分析。通过数据分析,本文有如下几个结论：首先,融资融券制度能够有效地提升市场的流动性,降低市场平均价格水平,抑制股价泡沫；其次,保证金制度是对融资融券和证券市场进行调控的有效工具,融资保证金上调和融券保证金上调能够有效地降低市场的波动性,但会使市场流动性受到损失；最后,维持担保比例会使市场流动性下降,推动股价上升。基于本文的研究结论和中国融资融券交易发展现状,本文从三个方面提出了相应的政策建议,包括：第一,完善融资融券机制,促进融资融券交易协调发展；第二,合理利用保证金杠杆,调控融资融券发展；第三,建立融资融券风险控制体系,控制融资融券风险。
[Abstract]:In 2010, China's margin trading was developed rapidly, and the important position of margin and margin was increasingly apparent.China's securities market is characterized by high turnover rate and lack of liquidity.Whether we can reasonably use the leverage of margin mechanism and margin system, enhance the liquidity of the market, restrain volatility and bubble, has always been the focus of debate in academic circles.The research on this issue is of great practical significance to the implementation of margin and margin system in China.Scholars hold different views on the role of margin and margin system in securities market.Some scholars are optimistic that margin lending can benefit the securities market, while others believe that the implementation of margin lending will instead "contribute to the killing of the decline" and worsen the environment of the securities market; others also hold that the implementation of margin lending will "contribute to the killing of the decline" and worsen the environment of the securities market.There is no clear evidence that margin lending has a positive or negative effect on the securities market.As to whether margin can be used as a lever to control margin trading and market operation, scholars also have three different views.Traditionally, the empirical method has been the main method of economic research.In recent years, the new experimental research methods, with the advantages of controllability and repeatability, embody the unique advantages of economic research, and gradually become an important method of economic research.This paper hopes to use the experimental research method to carry on the experimental research to provide the powerful supplement for the existing empirical research.At the same time, most of the experimental researches focus on the influence of margin system on securities market, but margin system is still a blank.However, the experimental research in our country has just started, and it has not been involved in the field of margin and short-margin.Therefore, this study hopes to fill this gap.In this paper, four conjectures are put forward and the experimental results are forecasted.Then, we draw lessons from Smith's classical experimental system, recruit participants, simulate the real securities market, conduct experiments, including no margin margin, margin margin, margin margin ratio increase,Financing margin ratio increase and set up to maintain the guarantee ratio and other five scenarios.In this paper, descriptive statistics, independent distribution t-test and multivariate regression analysis are used to compare and analyze the experimental data.Through the data analysis, this paper has the following conclusions: first, margin financing system can effectively enhance the liquidity of the market, reduce the average price level of the market, restrain the stock price bubble; secondly,Margin system is an effective tool to regulate margin margin and securities market. Raising margin margin and margin margin raising margin can effectively reduce the volatility of the market, but it will make the market liquidity lose.Maintaining the guarantee ratio will reduce liquidity in the market and drive up the share price.Based on the conclusion of this paper and the current situation of margin trading in China, this paper puts forward the corresponding policy recommendations from three aspects: first, to improve the mechanism of margin trading, promote the coordinated development of margin trading; second,Third, establish the risk control system of margin margin to control margin risk.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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