融资融券业务对我国股市流动性影响的实证分析

发布时间：2018-03-04 21:24

本文选题：融资融券　切入点：流动性　出处：《湖南大学》2014年硕士论文　论文类型：学位论文

【摘要】：流动性是股市的生命力所在。缺乏流动性，交易则难以达成，市场也就失去了其存在的价值。现代证券市场的发展演化是一个不断探索和提高流动性的过程。而我国的股票市场一直以来缺乏卖空机制。2010年3月31日我国正式推出融资融券业务,该业务的推出彻底打破了我国股票市场只能买空而不能卖空的单边格局的交易制度。从理论经验来看融资融券业务具有增强市场流动性，稳定市场的作用。但融资融券业务的推出对我国市场流动性是否有所改善，仍然是一个有待研究的问题。本文第二章讲述了我国融资融券的发展历程和发展状况，并分析了几个主要国家融资融券的发展模式，以求对我国融资融券的发展得到启示。第三章从理论分析了融资融券业务对股市流动性的影响机制。在第四章里，本文选取了我国沪深两市融资融券的总体交易情况作为研究对象,系统地、全面地分析融资融券业务对我国证券市场的流动性影响,先用事件分析法回答了融资融券对市场流动性影响的存在性问题，在确定了影响存在的前提下，，再用VAR模型深入研究了融资融券对流动性的影响机制。最后针对研究结果结合我国证券市场的现状为我国融资融券制度的发展和机制的完善提供理论和实践的建议。本文的研究结论如下：融资融券确实对我国股市的流动性产生了积极的影响，但影响程度还不够大。融资融券业务对我国股市流动性的影响主要体现在融资交易上，融券交易对股市流动性的影响并不显著。根据事件研究法得出的结果，当融资交易额上升到一定程度时，对流动性的影响才显著起来，而融券交易由于数额一直很低，因此对股市的流动性的影响微乎其微。单位融券交易带来对流动性的改善比单位融资交易要大。
[Abstract]:Liquidity is the vitality of the stock market. In the absence of liquidity, trading is difficult to achieve. The development and evolution of modern securities market is a process of continuously exploring and improving liquidity. In March 31st 2010, china's stock market has been lack of short selling mechanism. Launch margin financing business, The introduction of this business has completely broken the unilateral trading system in which the stock market can only buy short and not short. From the theoretical experience, margin trading has enhanced the liquidity of the market. The role of stabilizing the market, but the introduction of margin lending business to improve the liquidity of China's market, is still a question to be studied. The second chapter of this paper describes the development of margin financing and securities in China, and analyzes the development models of margin and margin in several major countries. The third chapter analyzes the influence mechanism of margin trading on stock market liquidity from the theory. In Chapter 4th, This paper selects the overall trading situation of margin trading in Shanghai and Shenzhen stock markets as the research object, systematically and comprehensively analyzes the influence of margin trading on the liquidity of China's securities market. In this paper, the existence of the influence of margin financing on market liquidity is answered by means of event analysis, and the existence of the influence is determined. Then the paper makes a deep research on the influence mechanism of margin and margin on liquidity by using VAR model. Finally, the research results provide theoretical and practical suggestions for the development of margin and short bond system and the improvement of mechanism in view of the research results and the current situation of China's securities market. The conclusions of this paper are as follows: margin and margin have positive influence on the liquidity of Chinese stock market, but the influence degree is not enough. The influence of margin trading on the liquidity of China's stock market is mainly reflected in the financing transaction. The effect of margin trading on stock market liquidity is not significant. According to the event study method, when the amount of financing transactions rises to a certain extent, the impact on liquidity becomes significant, and margin trading has been very low because of the amount. Therefore, the impact on the liquidity of the stock market is minimal. Unit margin trading has brought about a greater improvement in liquidity than in unit financing transactions.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.51

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