融资融券对上证A股指数波动性的影响

发布时间：2018-03-18 13:37

  本文选题：融资融券　切入点：T-GARCH　出处：《东华大学》2017年硕士论文　论文类型：学位论文

【摘要】：自2010年3月30日引入融资融券交易以来,我国资本市场迎来了飞跃似的发展,从此中国股市不再是单边市,不仅可以做多,也可以做空,融资融券业务的引入更是起到了活跃我国股票市场的作用。由于我国引入融资融券交易时间不长,因此融资融券业务的开展也需要进一步推进,相关研究也应继续深入。而发生在2015年的 股灾‖却引起了中国各界的高度关注,股指在短短几个月间,就有数千点的波动,如此巨幅的波动在全世界范围也是十分罕见的。而造成本次股灾发生的原因,矛头之一便是指向融资融券业务,在这段非常时期,融资融券究竟扮演者什么样的角色,一直是理论与实践研究中的热点话题,而本文则着重探讨融资融券与股市波动性之间的关系。本文从理论与实证分析两个层面探讨融资融券对上证A股指数波动率的影响,并分为两个时段进行研究,便于进行比较分析。首先详细介绍了融资融券作用于股市波动的机制,随后采用T-GARCH模型进行波动率拟合,并采用Granger因果检验、脉冲响应分析以及方差分解等计量经济学方法进行实证研究,并得出两点结论。首先,在第一时段,融资强度是股市波动率的格兰杰原因,而股市波动率不是融资强度的格兰杰原因,融券强度与股市波动率互为格兰杰原因。方差分解和脉冲响应的分析结果表明融资融券强度的变化对股市波动率还是有影响的,但影响很小。在第二时段,融资强度与股市波动率互为格兰杰原因,融券强度与股市波动率相互独立。脉冲响应以及方差分解表明融资强度对于股市巨幅振荡时期有着非常显著的影响,而融券强度的变化对股市波动率的影响依然十分有限。基于实证分析的基础之上,作者在借鉴国内外学者的研究基础之上提出了五个政策性的建议。第一,优化投资者结构,积极培育机构投资者和成熟个人投资者,避免短线投资,主张价值投资。第二,建立有效的保证金制度,在股市不健康运行下,适当调整保证金比例,限制或加强融资融券交易,减小股市波动,推动其步入正轨。第三,平衡融资融券规模,增强市场活力,满足投资者投资需求,增强风险抵御能力和风险控制能力,促进我国资本市场持续、有效、健康发展。第四,加强融资融券账户监管力度,动态的管理和监督融资融券交易行为。第五,提升监管当局监督与管理水平,促进融资融券业务持续健康发展。
[Abstract]:Since the introduction of margin trading in March 30th 2010, China's capital market has witnessed a leap forward. Since then, China's stock market has ceased to be a one-sided market. It can not only be long, but also short. The introduction of margin trading has played an active role in China's stock market. Since the introduction of margin trading in China is not long, the development of margin trading also needs to be further promoted. The related research should also continue. However, the stock market disaster that occurred in 2015 has aroused great concern from all walks of life in China. In just a few months, there have been thousands of fluctuations in the stock index. Such a huge fluctuation is also very rare all over the world. One of the reasons for this stock crash is to point to the margin and margin business. What kind of role does margin financing and short selling really play during this extraordinary period? It has always been a hot topic in theoretical and practical research, and this paper focuses on the relationship between margin and stock market volatility. It is divided into two periods for comparison and analysis. Firstly, the mechanism of margin margin acting on stock market volatility is introduced in detail, then T-GARCH model is used to fit volatility, and Granger causality test is used. The empirical research on impulse response analysis and variance decomposition is carried out, and two conclusions are drawn. Firstly, in the first period, the financing intensity is the Granger cause of stock market volatility. The volatility of stock market is not the Granger cause of financing intensity, but the Granger cause of margin intensity and volatility. The results of variance decomposition and impulse response show that the variation of margin intensity still has an effect on the volatility of stock market. But the impact was small. In the second period, the intensity of financing and the volatility of the stock market were each other's reasons for Granger. The impulse response and variance decomposition show that the financing intensity has a very significant influence on the period of stock market volatility. On the basis of empirical analysis, the author puts forward five policy suggestions based on the empirical analysis. First, optimize the investor structure. Actively cultivate institutional investors and mature individual investors, avoid short-term investments, and advocate value investments. Second, establish an effective margin system to properly adjust the margin ratio under unhealthy operation of the stock market. Limit or strengthen margin trading, reduce the volatility of stock market, promote it on the right track. Third, balance margin margin scale, enhance market vitality, meet the investment needs of investors, enhance the ability to resist risks and control risks. To promote the sustained, effective and healthy development of China's capital market. 4th, to strengthen the supervision of margin and short margin accounts, to dynamically manage and supervise margin trading activities. 5th, to enhance the supervision and management level of the regulatory authorities, To promote the sustainable and healthy development of margin trading.
【学位授予单位】：东华大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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