融资融券对我国股票市场波动性影响的实证研究

发布时间：2018-03-11 04:05

本文选题：融资融券交易　切入点：波动性　出处：《首都经济贸易大学》2017年硕士论文　论文类型：学位论文

【摘要】：我国融资融券交易自2010年3月开始以来,历经6年多时间,已得到了长足的发展。融资融券交易是否能抑制我国股票市场波动性,对这个问题学界看法不一。本文在梳理现有文献的基础上,从标的个股和市场整体两个角度研究了融资业务与融券业务对波动性的影响。首先,利用我国两融交易五次扩容这一良好外生条件,应用面板数据进行四次双重差分分析,从而探讨在我国两融业务的渐进发展中,融资融券对标的个股的波动性影响变化。结果发现,在前期,融资融券业务扩容前后标的股票的波动性有所增加,但并不显著;而在后期,标的股票的波动性在扩容后明显下降,“抑涨抑跌”效果明显。其次,根据不同外部特征对股票市场牛、熊市阶段进行划分,并选取最近一次牛、熊市过程,建立VAR模型,研究融资业务与融券业务对市场波动性的不同影响。发现融资业务与融券业务对市场波动性、向上波动、向下波动都起到了抑制性作用。融券业务作用主要体现在对于向上波动的抑制;而对于向下波动,融资业务的影响力度大于融券指标。另外,相对来讲融券业务在牛市阶段的影响力度大于在熊市,而融资业务在熊市阶段抑制作用更大。这说明,融资业务“抑跌”作用明显,支撑了股票价格;而融券业务的影响则相反,“抑涨”明显。基于以上研究,本文认为随着融资融券业务的发展,其政策目标逐渐凸显。不过仍有必要进一步完善制度建设,促进融资融券业务均衡发展。
[Abstract]:Since the beginning of margin trading in China in March 2010, after more than six years, it has made great progress. Whether margin trading can restrain the volatility of China's stock market, On the basis of combing the existing literature, this paper studies the impact of financing business and margin trading on volatility from the perspective of the underlying stock and the market as a whole. This paper makes use of the good exogenous condition of the five expansion of the two financial transactions in China, and applies panel data to carry out four times of double differential analysis, so as to probe into the gradual development of the two financial services in China. The results showed that the volatility of underlying stocks increased before and after the expansion of margin trading, but not significant. The volatility of the underlying stock decreases obviously after the expansion, and the effect is obvious. Secondly, according to the different external characteristics, the stock market bull and bear market stages are divided, and the latest bull, bear market process is selected to establish the VAR model. This paper studies the different influences of financing business and short margin business on market volatility. The effect of margin trading is mainly reflected in the inhibition of upward volatility, while for downward volatility, the impact of financing business is greater than margin trading index. In addition, Comparatively speaking, the influence of margin trading in the bull market is greater than that in the bear market, while the financing business has a more inhibitory effect in the bear market stage, which shows that the financing business has an obvious role of "restraining the fall", which supports the stock price; On the contrary, the influence of margin trading is obvious. Based on the above research, this paper thinks that with the development of margin trading, its policy goal is gradually prominent. However, it is necessary to further improve the system construction. Promote the balanced development of margin business.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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