我国信用交易制度对股票市场质量的影响研究

发布时间：2018-06-30 22:05

本文选题：股票市场 + 信用交易　；参考：《复旦大学》2014年硕士论文

【摘要】：信用交易制度是指投资者借入资金或证券以完成证券交易的制度。2010年3月31日,融资融券业务试点标志着我国信用交易制度的建立,其发展至今先后经历了三次标的证券扩容、转融资、转融券业务推出等关键事件,并在2014年达到了日均交易额近200亿元的稳定水平。然而,回顾相关研究可以发现,信用交易对市场质量的影响始终是学界存在争议的问题。本文首先从融资融券与转融通两个层次分析了信用交易对市场流动性及波动性的影响机制,自Schwert (1990)等学者的波动成分说入手,分别考虑了股市暂时性与永久性波动对信用交易的不同反应特征,并提出信用交易对股市的动态波动影响取决于信用交易对长短期波动的综合作用；而信用交易对市场流动性的影响则通过杠杆交易与双边盈利机制得以实现。进而,本文以我国信用交易制度推出至今的市场数据对理论假设进行了实证检验,分别对流动性影响使用了基于VAR模型的脉冲响应与方差分解分析,对波动性影响使用了体现波动非对称反应的T-GARCH模型与体现长短期波动特征的AC-GARCH模型。本文研究发现,我国信用交易制度增加了股票市场流动性,分阶段实证显示,前期融资交易对流动性的积极影响更大,后期则以融券交易的积极影响更大,笔者认为这可能与信用交易标的证券后期向中小盘股扩容有关；本文基于波动动态特征的研究显示,我国信用交易制度加剧了噪声交易行为引致的暂时性波动、平抑了理性价格调整引致的永久性波动,并在永久性波动的主导下降低了市场的整体波动水平,这一结果与笔者所提出的理论猜想一致；转融券的推出在一定程度上降低了市场波动,但转融通在整体上未能对市场流动性及不同波动成分产生显著影响,这可能与转融通试点券商及标的证券有限等因素有关。基于以上结论,本文建议可考虑通过建立标的证券信用评级与动态监控机制、以机构投资者作为交易主体等方式,进一步完善我国的信用交易制度。
[Abstract]:Credit trading system refers to the system in which investors borrow funds or securities to complete securities trading. On March 31, 2010, the pilot project of margin trading marked the establishment of credit trading system in China, and its development has experienced three expansion of underlying securities. Key events, such as refinancing and margin trading, reached a steady level of nearly 20 billion yuan a day in 2014. However, the impact of credit transactions on market quality has always been a controversial issue in academic circles. This paper first analyzes the influence mechanism of credit trading on market liquidity and volatility from the two levels of margin financing and intermediation, starting with Schwert (1990) and other scholars' theory of volatility components. Considering the different reaction characteristics of the temporary and permanent volatility of stock market to credit trading, it is pointed out that the influence of credit trading on the dynamic fluctuation of stock market depends on the comprehensive effect of credit trading on the long-term and short-term volatility. The influence of credit trading on market liquidity is realized through leverage trading and bilateral profit mechanism. Furthermore, this paper uses the market data of China's credit trading system to test the theoretical hypothesis, and uses the impulse response and variance decomposition analysis based on VAR model to analyze the liquidity effect. T-GARCH model and AC-GARCH model are used for the volatility effect. This paper finds that China's credit trading system increases the liquidity of the stock market. The empirical results in stages show that the positive impact of pre-financing transactions on liquidity is greater, and that of margin trading is more positive in the later period. The author thinks that this may have something to do with the expansion of the credit target securities to small and medium-sized stocks in the later period. The research based on the dynamic characteristics of volatility shows that the credit trading system of our country intensifies the temporary fluctuation caused by the noise trading behavior. It calms the permanent fluctuation caused by rational price adjustment, and reduces the whole fluctuation level of the market under the guidance of the permanent fluctuation. This result is consistent with the theoretical conjecture put forward by the author. The introduction of margin has reduced the market volatility to a certain extent, but it has not significantly affected the market liquidity and different fluctuating components, which may be related to the limited number of securities firms and underlying securities. Based on the above conclusions, this paper suggests that the credit trading system of our country should be further improved by establishing the credit rating and dynamic monitoring mechanism of the underlying securities and using institutional investors as the main trading body.
【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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