融资融券对中小板市场波动性的影响研究

发布时间：2018-02-15 11:59

本文关键词： 融资交易融券交易深圳中小板波动性　出处：《广西大学》2014年硕士论文　论文类型：学位论文

【摘要】：2010年3月31日,我国证券市场正式引入融资融券交易机制,这也是我国证券发展史上的一个重要的里程碑时刻。对我国股市运行效率能否随着融资融券业务的开展得到有效提高,学术界仍存在着争议。三年来,融资融券交易得到了飞速的发展。随着标的股票的范围不断扩大,越来越多的深圳中小板块股票加入到融资融券标的股票的大名单中。融资融券交易对深圳中小板股票市场和标的股票的影响究竟怎样?这是一个开展融资融券业务值得关注的问题。本文将从深圳中小板股票市场入手研究融资融券交易机制对深圳中小板股票波动性的影响。首先,提出了本文所要研究的主要问题,研究方法,研究思路和结构安排。在回顾了国内外的理论基础上,提出本文的研究思路。其次,在本文的理论部分,详细介绍了融资融券交易对股票波动性的作用机制。在实证部分,针对于融资融券对中小板股票市场影响分析,首先通过采用Garch (1,1)模型估计了深圳中小板指数的波动性,然后基于向量自回归理论(VAR),通过VAR方程估计、Granger因果检验、脉冲响应以及方差分解验证融资融券业务是否具有稳定深圳中小板股票市场波动性的效应。在研究融资融券业务对标的股票的波动性的影响中,采用引入时间虚拟变量的Garch模型,通过拟合融资融券推出前与推出后一年的深圳中小板标的股票的不同波动性作出比较,考察融资融券业务推出后对标的股票的影响情况。得出了如下结论：(1)深圳中小板股票市场的融资和融券业务增加了股票市场的波动性,与一般理论假设相反,但是总体而言影响甚微。(2)融资融券业务对深圳中小板标的股票的波动性也存在增强作用,但是作用效果较小。最后,对全文进行总结并得出相关结论,融资融券对深圳中小板股票市场和个股的波动性存在一定影响,根据研究结论并结合现实对股票市场提出相关建议。
[Abstract]:In March 31st 2010, China's securities market formally introduced the mechanism of margin trading. This is also an important milestone in the history of China's securities development. There is still controversy over whether the efficiency of China's stock market can be effectively improved with the development of margin trading business. Margin trading has developed rapidly. As the range of underlying stocks continues to expand, More and more small and medium-sized stocks in Shenzhen join the list of stocks with margin and short margin. How does margin trading affect the stock market and underlying stocks of Shenzhen small and medium-sized board? This is a financing margin business worthy of attention. This paper will study the influence of margin trading mechanism on the volatility of Shenzhen small and medium board stock market from the perspective of Shenzhen small and medium board stock market. Firstly, the main problems and research methods of this paper are put forward. On the basis of reviewing the theories at home and abroad, this paper puts forward the research ideas. Secondly, in the theoretical part of this paper, the mechanism of margin trading on stock volatility is introduced in detail. Based on the analysis of the influence of margin and margin on the stock market of small and medium-sized boards, the volatility of Shenzhen small and medium-sized board index is estimated by using Garch model, then based on the theory of vector autoregressive, the Granger causality test is estimated by VAR equation. Impulse response and variance decomposition verify whether margin trading has the effect of stabilizing the volatility of Shenzhen small and medium board stock market. In this paper, the Garch model with time virtual variable is used to compare the volatility of the underlying stocks of Shenzhen small and medium-sized board before and one year after the introduction of margin financing and short selling. This paper investigates the influence of margin trading on the underlying stocks, and draws the following conclusion: 1) the financing and short selling in Shenzhen small and medium board stock market increases the volatility of the stock market, which is contrary to the general theoretical assumption. However, the overall impact of margin trading on Shenzhen small and medium board stock volatility is also enhanced, but the effect is small. Finally, the full text is summarized and relevant conclusions are drawn. Margin financing has a certain impact on the volatility of Shenzhen small and medium board stock market and individual stocks. Based on the conclusions of the research and combined with the reality of the stock market, the paper puts forward some relevant suggestions to the stock market.
【学位授予单位】：广西大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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