融资融券对我国A股市场的影响研究

发布时间：2018-01-03 09:52

本文关键词：融资融券对我国A股市场的影响研究　出处：《南京大学》2014年硕士论文　论文类型：学位论文

【摘要】：随着我国融资融券的发展,国内越来越多的学者开始探讨融资融券对我国股票市场的影响,在国外,这种研究已经产生主流的观点,融资融券可以提高市场的流动性,降低市场的波动性,使股票定价趋于合理。但是国内外的学者对融资融券给中国股票市场带来的影响意见不—。大多数文献是在我国融资融券刚刚推出后成文的,数据量有限,本文针对这种分歧,在获得融资融券推出以来4年的数据量以后,针对融资融券对我国股票市场的影响展开分析。除了研究融资融券对我国股票市场的影响,本文还研究了融资融券和股指期货定价的关系,从而分析中国证券市场引入做空机制的利弊。融资融券是信用交易的—种形式,它的影响就像—把双刃剑能对市场产生正反两面的影响。金融危机让—些学者认为融资融券对股市不稳定推波助澜,做空让股市波动率更大,也有学者持相反意见。本文主要通过实证分析,运用金融时间序列GAR)H(1,1)模型,风险模型(VGR),向量自回归VAR模型中的：协整检验、GrGnger检验、脉冲响应函数来研究融资融券对我国股票及股指期货市场的影响。选取2006年到2014年的最新数据,对2010年3月做空机制形成以来A股市场波动率、流动性以及风险的变化进行分析,同时探讨融资融券与股指期货价值基差变化等问题,进行实证检验。除了实证部分,本文还列举了其他—些国家的融资融券模式进行对比分析提出适合我国国情的政策性建议,同时,列举我国融资融券产生的问题,具体举例酒鬼酒恶意做空问题对我国融资融券的影响。在实证部分本文得出的结论根据模型的优化结果逐渐规范,—开始的GAR)H模型只能初步判断融资融券和A股收益率的关系,相关系数法也只是初步确定融资融券和股票波动率,流动性的关系,后来运用的VAR模型进—步完善结论,分别指出融资,融券对我国股票市场的影响,得出了本文的结论,因为本文的数据较新,且运用不同的模型进行实证,从而可以进行对比分析,所以得出的结论是具有参考性意义的。最后对我国融资融券的改进提出参考性建议。
[Abstract]:With the development of margin trading in China, more and more domestic scholars began to explore the impact of margin trading on China's stock market in foreign countries, this research has produced the mainstream point of view, the margin can improve market liquidity and reduce the volatility of the market, the stock price tends to be reasonable. But the domestic and foreign scholars on the impact of opinions brought to the margin of the stock market is not China. Most of the literature is in our margin just after the launch of the statute, the amount of data is limited, the differences in the 4 years since the introduction of margin trading data, this paper analyzes the impact of margin trading on the stock market of our country. Besides the influence of margin trading on the stock market in our country, this paper also studies the relationship between margin trading and stock index futures pricing, and analysis of advantages and disadvantages of the short mechanism Chinese melting of the securities market. Capital securities is a form of credit transaction, its influence to like the double-edged sword can produce both positive and negative influence on the market. The financial crisis that some scholars believe that the margin of stock market instability waves, short let the volatility of the stock market even more, some scholars hold the opposite view. In this paper, through empirical analysis, the use of financial time series GAR) H (1,1) model, the risk model (VGR), vector autoregressive VAR model, cointegration test, GrGnger test, impulse response function, the influences of margin trading on stock and stock index futures market. The latest data from 2006 to 2014, March 2010 on the formation of short mechanism since the A stock market volatility, changes in liquidity and risk analysis, and discusses the margin financing and stock index futures value basis change and other issues, the empirical test. In the empirical part, this paper also enumerates the He in some countries of the margin model were analyzed to put forward the policy suggestions for China's national conditions at the same time, cited China's margin trading problems, specific examples of alcoholic liquor issues on China's malicious short margin. According to the theory model of the optimization results in the empirical part gradually standardize the knot, start GAR) H model can only determine the initial margin and the rate of return between A shares, the correlation coefficient method is only preliminary determine the margin trading and stock volatility, liquidity, then use VAR model further perfect conclusion, points out financing, short of stock market in our country, the the conclusion of this paper, because the data is relatively new, and the use of different models for empirical analysis, and comparative analysis, so the conclusion has reference significance. Most of China's financing Reference suggestions are proposed for the improvement of the margin.

【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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