融资融券对中国股市日历效应的影响研究

发布时间：2018-05-29 23:00

本文选题：融资融券 + 收益率　；参考：《复旦大学》2014年硕士论文

【摘要】：国内外现有文献研究发现我国股市存在日历效应,其表现形式与发达国家市场的日历效应有所不同。日历效应存在的原因来自多个方面,包括交易制度、资金成本、投资者心理、交易行为等。我国股市于2010年3月31日试点开展融资融券业务,对于融资融券业务的开展,现有文献研究发现其对股市流动性和波动性会产生影响。本文从行为金融学的角度考虑,融资融券的引入使得投资者更能表达对某种证券的价格预计于判断,为投资者有提供了更多的投资选择、方式与手段,能够改变投资者的投资行为。这在一定程度上可以影响股市日历效应等与投资者行为相关的现象。基于上述考虑,本文对融资融券业务的开展对我国股市日历效应带来的影响展开研究,运用基于修正的GARCH(1,1)模型,选取上证50指数、上证综合指数以及沪深300指数从2006年6月8日至2014年1月31日的数据进行实证研究。分析了融资融券业务开展时间点前后我国股市日收益率的日历效应、收益率波动性的日历效应的变化情况,并对日历效应的变化进行了原因分析与总结。实证结果表明融资融券使得我国股市收益率的日历效应明显增强,收益率波动性的日历效应也有一定程度的增强。本文从交易资金、投资者行为等角度对产生这一变化的原因做出了分析与解释,并在文末指出了研究的不足与未来展望。
[Abstract]:It is found that there is calendar effect in Chinese stock market, which is different from that in developed countries. The reason of calendar effect comes from many aspects, including trading system, capital cost, investor psychology, trading behavior and so on. The stock market of our country launched margin and margin business on March 31, 2010. For the development of margin business, the existing literature found that it will have an impact on the liquidity and volatility of the stock market. In this paper, from the perspective of behavioral finance, the introduction of margin financing makes investors more able to express their expectations of the price of a certain security, and provides investors with more investment options, ways and means. Can change investor's investment behavior. To some extent, this can affect the stock market calendar effect and other phenomena related to investor behavior. Based on the above considerations, this paper studies the impact of margin trading on the calendar effect of China's stock market, and selects the Shanghai Stock Exchange 50 Index by using the modified GARCHG 1 / 1) model. The data of Shanghai Composite Index and Shanghai and Shenzhen 300 Index from June 8, 2006 to January 31, 2014 are empirically studied. This paper analyzes the calendar effect of daily yield of stock market and the change of calendar effect of volatility of yield before and after the development of margin and margin business in China, and analyzes and summarizes the reasons for the change of calendar effect. The empirical results show that margin financing and margin lending make the calendar effect of stock market yield significantly enhanced, and the calendar effect of yield volatility is also enhanced to a certain extent. This paper analyzes and explains the causes of this change from the perspective of trading funds and investor behavior, and points out the shortcomings of the research and the future prospects at the end of this paper.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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