融资融券对标的股票价格波动性的影响研究

发布时间：2018-02-03 16:45

本文关键词： 融资融券标的股票价格波动反事实路径　出处：《河北大学》2017年硕士论文　论文类型：学位论文

【摘要】：融资融券业务的开展结束了我国股票市场单边交易的历史。随着两融业务的推进,转融通机制的实施,两融交易规则的多次调整,标的股票范围的不断扩容,我国融资融券交易机制获得了长足发展。但是在股市运行过程中,融资融券是否促进了我国股市稳定?两融标的股票范围逐步从主板市场扩容至中小企业板和创业板市场,从高市值股票扩容至中小市值股票,在不同市场板块和不同市值标的股票中,融资融券对股价波动性的影响是否一致?2014年3月至2016年2月,我国股票市场依次经历了牛市和熊市的洗礼,融资融券交易机制在其中是否起着推波助澜的作用?本文将2010年3月31日之后的中国股市划分为三个阶段,分别是震荡市(2010年3月31日至2014年3月21日)、牛市(2014年3月24日至2015年6月9日)和熊市(2015年6月10日至2016年2月29日)。在各市场周期中,分别选取控制组和实验组股票,利用政策实施前股价数据拟合回归方程,估计各实验组股票在假设没有实施融资融券交易政策情况下的股价走势,即反事实股价路径,进而计算出标的股票的实际波动率和估计波动率,通过二者的比较,分析在不同市场周期、不同板块、不同行业以及不同市值中融资融券交易制度对标的股票价格波动性的影响。通过实证分析可知,在震荡市中,融资融券交易机制在一定程度上抑制了标的股票价格波动性,但其效果并不明显,在牛市和熊市中,融资融券交易机制提高了标的股票价格的波动性;在震荡市中,融资融券交易机制对于标的股票价格波动性的抑制,在主板中的效果要好于中小企业板,在牛市和熊市中,融资融券交易机制对不同市场板块的影响有所差异,但差异不大;融资融券交易机制对不同行业标的股票价格波动性影响呈现不平衡性,且无明显规律;标的股票总市值越小,其在不同市场周期中,融资融券交易机制对抑制或提高标的股票价格波动性的作用越明显。根据我国融资融券交易制度的发展现状和实证结果,本文提出了一些合理化建议。一是建立风险动态监管体系,灵活运用两融监管政策;二是加强投资者教育,改善投资者结构;三是加快融券机制发展速度,充分发挥融券卖空机制作用;四是降低两融交易费用,提高市场主体参与积极性。
[Abstract]:The development of margin trading ends the history of unilateral trading in China's stock market. With the promotion of the two financial services, the implementation of the transfer mechanism, the regulation of the two financial transactions has been adjusted many times, and the scope of the underlying stock has been continuously expanded. The mechanism of margin trading has made great progress in China. But in the process of stock market operation, does margin trading promote the stability of China's stock market? The scope of the two financial target stocks gradually expanded from the main market to the small and medium-sized enterprises board and the growth enterprise market, from the high market value stock expansion to the small and medium market value stock, in the different market plates and different market value target stocks. Is the impact of margin financing on stock price volatility consistent? From March 2014 to February 2016, China's stock market experienced the baptism of bull market and bear market in turn. In this paper, the Chinese stock market after March 31st 2010 is divided into three stages, namely the shock market (March 31st 2010 to March 21st 2014). Bull markets (March 24th 2014 to June 9th 2015) and bear markets (June 10th 2015 to June 10th 2015) are in various market cycles. Select the control group and experimental group stocks respectively, use the stock price data before the implementation of the policy to fit the regression equation, estimate the stock price trend of each experimental group stock under the assumption that there is no margin trading policy. Namely counterfactual stock price path, and then calculate the actual volatility of the underlying stock and estimated volatility, through the comparison of the two, analysis in different market cycles, different plates. Different industries and different market value margin trading system on the underlying stock price volatility. Through empirical analysis, in the shock market. Margin trading mechanism has restrained the volatility of underlying stock price to a certain extent, but its effect is not obvious. In bull market and bear market, margin trading mechanism increases the volatility of underlying stock price; In the shock market, margin trading mechanism on the underlying stock price volatility inhibition, the effect in the main board is better than the small and medium-sized board, in the bull market and bear market. The influence of margin trading mechanism on different market sectors is different, but the difference is not significant. The influence of margin trading mechanism on the volatility of stock price in different industries is unbalanced and has no obvious regularity. The smaller the total market value of the underlying stock, the smaller it is in different market cycles. The more obvious the effect of margin trading mechanism on restraining or increasing the volatility of underlying stock price. According to the current situation and empirical results of margin trading system in China. Some reasonable suggestions are put forward in this paper. One is to establish a dynamic supervision system of risk, and to apply the policy of "two financial regulation" flexibly; Second, strengthen investor education and improve investor structure; Third, accelerate the development of margin mechanism, fully play the role of short selling mechanism; Fourth, reduce the transaction costs, improve the market participants enthusiasm.
【学位授予单位】：河北大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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