我国融资融券交易中的异质信念和私有信息套利

发布时间：2018-06-03 15:56

本文选题：融资融券 + 异质信念　；参考：《复旦大学》2014年硕士论文

【摘要】：近年来,我国融资融券交易业务发展势头良好,包括融资融券业务在内的类信贷业务的利息收入也成为了我国证券公司的第三大收入来源。然而,当资本市场经历了昌九生化“两融第一惨案”事件后,我们发现该业务蕴含着潜在的风险。融资融券交易对于不同类型的市场参与者而言,所带来的影响可能是不一样的。本文研究了我国资本市场两融交易中的异质信念。首先回顾了有关异质信念与资产价格相关性的两个理论模型。其次利用中国股市338只股票8个季度的面板数据进行了实证研究,指出了机构投资者和散户之间在两融交易中存在着异质信念现象。随后研究了两融交易中异质信念程度变化率与股票收益率的短期关系。本文还研究了我国资本市场融资融券交易中的私有信息套利问题。通过对中国股市相关面板数据的实证研究,提出了融资余额占流通市值较大的股票的私有信息套利程度更高。机构与散户之间异质信念的存在,表明散户相比机构投资者对于融资余额占流通市值较大的股票更为偏好。而由于散户相比机构投资者更有可能是非理性的噪声交易者,相对来说市场更容易被误导和操纵；因此,增大了这部分证券交易中的私有信息套利程度。本文通过机构投资者持股比例这一中间变量,将我国融资融券交易中的异质信念与私有信息套利有机地结合了起来,为更好地理解我国融资融券交易活动的特点提供了新的视角。此外,本文还利用了最新的市场数据,在股票收益率、融资余额变化率和换手率变化率三者之问建立了稳定的向量自回归模型,进行了脉冲响应函数分析以及三者之间的格兰杰因果检验；接着,证明了融资余额占流通市值比例与股价之间存在着协整关系,并建立了二者之间稳定的向量误差修正模型。最后,基于本文的理论和实证研究结果,有针对性地提出了与在融资融券交易活动中保护散户、监控市场操纵和内幕交易行为相关的政策建议。
[Abstract]:In recent years, the business of margin trading has developed well in China, and the interest income of credit business, including margin trading, has become the third major source of income of securities companies in China. However, when the capital markets experienced Changjiu biochemistry's first tragedy, we found that the business carries potential risks. Margin trading may have different effects on different types of market participants. This paper studies the heterogeneous beliefs in the two financial transactions in China's capital market. Firstly, two theoretical models about the correlation between heterogeneous beliefs and asset prices are reviewed. Secondly, using the panel data of 338 stocks in Chinese stock market for 8 quarters, the paper points out that there is heterogeneity of belief between institutional investors and retail investors in the two financial transactions. Then we study the short-term relationship between the rate of change of heterogeneous belief degree and stock return. This paper also studies the problem of private information arbitrage in margin trading in China's capital market. Based on the empirical research on the relevant panel data of China's stock market, it is proposed that the private information arbitrage degree of the stocks with larger market value financing balance is higher. The existence of heterogeneous beliefs between institutions and retail investors indicates that retail investors have a greater preference for stocks with larger outstanding market value than institutional investors. Since retail investors are more likely than institutional investors to be irrational noise traders, the market is more likely to be misled and manipulated; therefore, the degree of private information arbitrage in these securities trading is increased. Through the intermediate variable of institutional investor's shareholding ratio, this paper organically combines the heterogeneous belief in margin trading and private information arbitrage in our country. It provides a new perspective to better understand the characteristics of margin trading activities in China. In addition, using the latest market data, a stable vector autoregressive model is established between stock return rate, financing balance change rate and turnover rate change rate. The impulse response function analysis and Granger causality test between them are carried out, and then, it is proved that there is a cointegration relationship between the ratio of financing balance to circulating market value and stock price, and a stable vector error correction model between them is established. Finally, based on the theoretical and empirical results of this paper, this paper puts forward some policy recommendations related to the protection of retail investors, monitoring of market manipulation and insider trading in margin trading activities.
【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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