融资融券对中国股市流动性、波动性影响的实证研究

发布时间：2018-02-24 19:51

本文关键词： VAR模型融资融券流动性波动性　出处：《对外经济贸易大学》2017年硕士论文　论文类型：学位论文

【摘要】：自我国2010年3月正式启动融资融券业务以来,其对于我国A股市场的影响一直是相关领域的热门研究方向。关于融资融券业务的开展究竟起到稳定股价波动还是助涨助跌的作用,至今仍是学术界热议的话题。融资融券业务已在成熟的金融市场得到了广泛的应用。一般来说,融资融券交易能够增强市场的流动性、降低市场的波动性。业务的开展为券商创造更多的利润而且响应了多层次证券市场的需求,但同时也具有放大风险的负面效应。本文通过2011年至2017年的融资融券交易日数据以及沪深300指数数据,选取了波动性和流动两个指标,通过VAR模型分析来研究融资融券对我国股票市场的影响。在2012年年底,转融通试点的的出台为增加了证券公司资金以及证券来源,为证券公司开展融资融券业务提供了资源。融资融券的发展是与市场的制度和政策密切相关的。在2015年8月4日,融券规则的改变使得融券业务发展的形势又发生了改变。经过对这三个重要的时期进行阶段划分,并进行VAR模型分析,发现虽然融资融券对流动性和波动性都有显著的影响,但是显著程度和影响结果不同。通过分析得到开放融资融券业务有利于流动性增加,波动性减少,而限制融资融券业务会起到流动性下降,波动性增加的结论。文章研究了导致这一现象的原因,并就如何充分发挥融资融券的在股票市场中的价格发现功能及减少波动给出了建议。
[Abstract]:Since March 2010, our country officially started the financing and short margin business, Its impact on China's A-share market has always been a hot research direction in related fields. On whether the development of margin trading has played a role in stabilizing stock price fluctuations or helping to help rise and fall. It is still a hot topic in academia. Margin trading has been widely used in mature financial markets. Generally speaking, margin trading can enhance the liquidity of the market. Reduce market volatility. Business development creates more profits for securities firms and responds to the needs of the multi-layered securities market. However, it also has the negative effect of magnifying risk. Through the trading date of margin trading day from 2011 to 2017 and the data of Shanghai and Shenzhen 300 index, this paper selects two indexes of volatility and current. Through the analysis of VAR model, this paper studies the influence of margin financing on China's stock market. At the end of 2012, the introduction of the transposing trial increased the funds of securities companies as well as the sources of securities. It provides resources for securities companies to carry out margin trading. The development of margin financing is closely related to the market system and policy. In August 4th 2015, The change of margin rules has changed the situation of the development of margin trading. By dividing the three important periods and analyzing the VAR model, it is found that margin lending has a significant impact on liquidity and volatility. But the degree of significance and the result of influence are different. Through the analysis, it is found that open margin business is beneficial to increase liquidity and reduce volatility, while limiting margin and margin business will decrease liquidity. This paper studies the causes of this phenomenon and gives some suggestions on how to give full play to the price discovery function of margin and margin in the stock market and to reduce the volatility.
【学位授予单位】：对外经济贸易大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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