融资融券对股价波动及投资者财务风险影响分析

发布时间：2018-01-06 16:33

本文关键词：融资融券对股价波动及投资者财务风险影响分析　出处：《合肥工业大学》2017年硕士论文　论文类型：学位论文

【摘要】：融资融券作为证券市场上的一种交易方式,在欧美等发达证券市场上已有几百年的历史。在我国,融资融券业务起步较晚,2010年03月30日,上交所、深交所分别发布公告,表示将于2010年3月31日起正式开通融资融券交易系统,开始接受试点会员融资融券交易申报,标志着我国融资融券业务正式启动。融资融券业务在A股市场推出已近7年,2016年3月底,沪市融资融券标的股数量达到了506只,深市融资融券标的股数量为403只。仅从标的股数量上就可以看出我国在融资融券业务的发展非常迅速,由2010年的90只到2016年的909只,数量上翻了10倍。从融资融券余额看,沪市由最初的585万元达到了2016年3月底的5119亿元,深市也由最初的74万元达到了2016年3月底的3691亿元,短短6年时间,融资融券的发展非常明显,但其对市场产生的实际效应有待进一步发现和检验。本文通过对融资融券与股价相互影响的理论分析,提出A股市场的融资融券业务可能会加剧股市波动的观点,并运用Eviews软件,选取沪市融资、融券余额和上证综合指数据进行实证,通过脉冲分析和方差分解发现融资交易对于上证综指波动并没有平抑作用,反而有所加强,融券交易对于上证综指波动有平抑作用,但是效果并不明显,且主要表现在滞后期。本文除了对融资融券交易与股市波动之间影响关系展开研究外,还对标的个股以财务预警指标Z为分类条件进行分组,对财务状况良好和财务风险较大的标的股分别展开研究,研究发现针对财务状况良好的标的股,融资交易虽能发挥抑制作用,但是效果不明显,相对而言,融券交易在平抑股价上做出了明显的贡献,就财务风险较高的标的股而言,融资融券交易会显著加剧股价波动。本文除了会分析融资融券与股价波动影响关系,还会从另外一个角度即企业投资者参与融资融券业务的角度入手,主要是分析企业在开展融资融券业务过程中可能会遇到怎样的风险,主要是对融资融券特有的杠杆交易风险,强制平仓带来的风险以及维持保证金比例影响现金流的风险进行重点分析,进而为企业投资者及其他相关人士提供一定的建议。
[Abstract]:Margin trading as a way of trading in the securities market, in Europe and the United States and other developed securities markets have a history of hundreds of years. In China, margin trading started late, in March 30th 2010, the Shanghai Stock Exchange. Shenzhen Stock Exchange respectively issued a notice that it will formally launch a margin trading system on March 31st 2010, and begin to accept the pilot member margin trading declaration. Marked the formal start of China's margin business. Margin trading has been launched in the A-share market for nearly seven years, the end of March 2016, the Shanghai Stock Exchange has reached 506 stocks. The number of the underlying stocks in Shenzhen Stock Exchange is 403. Only from the number of the underlying stocks, we can see that the development of margin trading in China is very rapid, from 90 in 2010 to 909 in 2016. From the margin balance, the Shanghai stock market rose from the initial 5.85 million yuan to 511.9 billion yuan at the end of March 2016. Shenzhen also from the initial 740,000 yuan to 369.1 billion yuan at the end of March 2016, a short period of six years, the development of margin financing is very obvious. However, the actual effect on the market needs to be further discovered and tested. This paper analyzes the interaction between margin and stock price. Put forward the A-share market margin business may aggravate the volatility of the stock market, and use Eviews software, select Shanghai stock market financing, margin balance and Shanghai Composite Index data for empirical analysis. Through pulse analysis and variance decomposition found that the financing transaction for the Shanghai Composite Index volatility did not calm, but strengthened, margin trading on the Shanghai Composite Index volatility has a calming effect, but the effect is not obvious. This paper not only studies the relationship between margin trading and stock market volatility, but also groups the underlying stocks with the financial warning index Z as the classification condition. To the financial situation and the financial risk of the target stocks are studied separately, the study found that the financial situation of the target stocks, financing transactions can play a restraining role, but the effect is not obvious, relatively speaking. Margin trading has made a significant contribution to the stabilization of stock prices, as far as the target stocks with high financial risk is concerned, margin trading will significantly aggravate the volatility of stock price. This paper will analyze the relationship between margin margin and stock price volatility. It will also start from another angle, that is, enterprise investors to participate in margin business, mainly to analyze the enterprise in the process of margin trading may encounter what kind of risks. It mainly focuses on the leveraged trading risk of margin margin, the risk of forced liquidation and the risk of maintaining margin ratio affecting cash flow. And then for corporate investors and other relevant people to provide certain advice.
【学位授予单位】：合肥工业大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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