融资融券对我国股市波动性和流动性的影响

发布时间：2018-03-20 13:22

本文选题：融资融券　切入点：股票市场　出处：《西北大学》2014年硕士论文　论文类型：学位论文

【摘要】：融资融券作为一种新的交易制度,将影响股市的供给和需求,进而对股市的波动性和流动性产生影响,但具体是起促进作用还是抑制作用,作用大小如何,融资交易对其影响明显还是融券对其影响明显?关于这些问题,学术界和业内人士看法不一,不管是理论还是实证方面,都有很大分歧。鉴于此,本文首先对融资融券相关文献进行整理分析,进而探索出进一步研究的方向和思路；其次,对融资融券的概念,交易模式,波动性和流动性的影响因素,以及融资融券影响股市波动性和流动性的传导机制进行了详细分析；接着在讨论了我国融资融券交易的现状,并以沪深两市作为研究对象,采用VAR模型、Granger因果检验、脉冲响应函数、方差分解等方法,实证分析了融资融券与股市波动性和流动性之间的变动关系,以及融资融券对于市场波动性和流动性的具体影响方向。最后,结合实证结果与我国股票市场的实际情况,从完善并推行市场化转融通机制、完善证券监管、扩大融资融券业务规模、完善证券公司内部体制等几个方面提出了融资融券发展的相关建议。本文的研究结论如下： (1)融资、融券交易对股市的波动起到一定程度的抑制作用,但是这种抑制作用的强度随滞后期的推移是在不断变化的。 (2)融资融券交易对股市流动性作用不显著。
[Abstract]:As a new trading system, margin financing will affect the supply and demand of the stock market, and then affect the volatility and liquidity of the stock market. Does the financing transaction have a significant impact on it or margin trading has a significant impact on it? On these issues, the academic and industry views are different, whether theoretical or empirical, there are great differences. In view of this, this paper first collates and analyzes the relevant literature on margin and margin. Then it explores the direction and thinking of further research. Secondly, it analyzes the concept of margin and margin, the trading model, the influencing factors of volatility and liquidity, as well as the transmission mechanism of margin and margin affecting the volatility and liquidity of stock market. Then, the paper discusses the current situation of margin trading in China, and takes Shanghai and Shenzhen stock markets as research objects, adopts VAR model Granger causality test, impulse response function, variance decomposition and so on. This paper empirically analyzes the relationship between margin and stock market volatility and liquidity, as well as the specific influence direction of margin margin on market volatility and liquidity. Finally, combined with the empirical results and the actual situation of China's stock market, This paper puts forward some suggestions on the development of margin financing from several aspects, such as perfecting and promoting market-oriented conversion mechanism, perfecting securities supervision, expanding the scale of margin and securities business, perfecting the internal system of securities companies, and so on. The conclusions of this paper are as follows:. (1) margin trading has a certain degree of inhibition on the volatility of the stock market, but the intensity of the inhibition is constantly changing with the lapse of the lag period. 2) margin trading has no significant effect on stock market liquidity.
【学位授予单位】：西北大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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