融资融券交易对我国股票市场波动性影响研究
发布时间：2018-09-11 18:06
【摘要】：2010年3月我国股票市场正式试点融资融券交易制度。融资融券交易近年发展迅速,标的股票经过五次扩容,目前沪深两市已经约有950只可进行融资融券标的股。融资融券的推出改变了我国只能单边买入做多进行交易获利的市场制度。同时也推出了股票市场的信用交易,这也是我国股票市场迈向成熟市场的重要标志。融资融券交易的推出逐渐迈入成熟阶段。但其对我国股票市场的波动性影响如何,融资融券交易的实施给股票市场带来了哪些监管的挑战,投资者面对新的交易体制该如何改变交易策略和投资理念,这都是我国股票市场发展中面临的重要问题。本文以沪深300指数代表我国股票市场情况,融资余额和融券余额分别代表融资交易和融券交易。用以上实际数据来研究融资融券交易对股票市场波动性的影响。取样本区间为我国融资融券进入常规正常运行阶段的最新数据,即2011年11月25日到2015年12月31日为时间跨度,共996个交易日,时间跨度比对我国之前研究的文献更长。实证分析了各变量间的相互因果关系。首先,阐述本文研究的背景,研究背景中发现研究的价值所在,从而提出本文研究的意义所在。在分析了国内外研究现状的基础上,提出研究方法与思路。其次,先从理论部分介绍我国融资融券的基本概念、我国融资融券业务的发展历程以及融资融券交易的特点。并且应用经济学中需求供给理论推演融资融券对股市波动性影响的作用机制。接着,在实证分析方面,先进行样本数据的选取和指标的选取,选取沪深300指数、融资余额以及融券余额为原始数据。基于理论分析和实证分析得出研究结论,本文研究有如下结论:我国股市波动性自身惯性冲击加大了我国股票市场的波动性;短期内融资买入交易加剧了我国股票市场的波动性;短期内融券卖出交易抑制了我国股票市场的波动性。对结论进行分析,提出改善我国融资融券交易的政策建议。
[Abstract]:In March 2010, China's stock market formally pilot margin trading system. Margin trading has developed rapidly in recent years, and the underlying stocks have been expanded five times. At present, there are about 950 stocks available in the Shanghai and Shenzhen stock markets. The introduction of margin has changed the market system in which China can only buy long and make profits. At the same time, the credit trading of stock market is also introduced, which is also an important symbol of our stock market moving towards mature market. The launch of margin trading gradually entered a mature stage. But how does it affect the volatility of the stock market in our country? what regulatory challenges does the implementation of margin trading bring to the stock market? how should investors change their trading strategies and investment ideas in the face of the new trading system? This is our country stock market development in the face of important problems. In this paper, the CSI 300 index is used to represent the situation of China's stock market, and the financing balance and the margin balance represent the financing transaction and the margin trading respectively. Using the above data to study the impact of margin trading on the volatility of the stock market. The sample interval is the latest data of China's margin financing and margin trading into the normal operation stage, that is, the time span from November 25, 2011 to December 31, 2015 is 996 trading days. The time span is longer than that of the previous literatures in China. The causality between variables is analyzed empirically. First, the background of this study and the value of the research are discussed, and the significance of this study is put forward. Based on the analysis of the current research situation at home and abroad, the research methods and ideas are put forward. Secondly, the paper introduces the basic concept of margin trading, the development process of margin trading and the characteristics of margin trading. And use the theory of demand and supply in economics to deduce the mechanism of the influence of margin financing on stock market volatility. Then, in the empirical analysis, we select the sample data and index, select the Shanghai and Shenzhen 300 index, financing balance and margin balance as the original data. Based on the theoretical analysis and empirical analysis, the conclusions of this study are as follows: the volatility of China's stock market has increased the volatility of its own inertia impact; In the short term, the short term financing buying transaction intensifies the volatility of China's stock market, while the short term short selling transaction inhibits the volatility of our country's stock market. The conclusion is analyzed and some policy suggestions are put forward to improve the margin trading in China.
【学位授予单位】：贵州财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51
本文编号：2237456
[Abstract]:In March 2010, China's stock market formally pilot margin trading system. Margin trading has developed rapidly in recent years, and the underlying stocks have been expanded five times. At present, there are about 950 stocks available in the Shanghai and Shenzhen stock markets. The introduction of margin has changed the market system in which China can only buy long and make profits. At the same time, the credit trading of stock market is also introduced, which is also an important symbol of our stock market moving towards mature market. The launch of margin trading gradually entered a mature stage. But how does it affect the volatility of the stock market in our country? what regulatory challenges does the implementation of margin trading bring to the stock market? how should investors change their trading strategies and investment ideas in the face of the new trading system? This is our country stock market development in the face of important problems. In this paper, the CSI 300 index is used to represent the situation of China's stock market, and the financing balance and the margin balance represent the financing transaction and the margin trading respectively. Using the above data to study the impact of margin trading on the volatility of the stock market. The sample interval is the latest data of China's margin financing and margin trading into the normal operation stage, that is, the time span from November 25, 2011 to December 31, 2015 is 996 trading days. The time span is longer than that of the previous literatures in China. The causality between variables is analyzed empirically. First, the background of this study and the value of the research are discussed, and the significance of this study is put forward. Based on the analysis of the current research situation at home and abroad, the research methods and ideas are put forward. Secondly, the paper introduces the basic concept of margin trading, the development process of margin trading and the characteristics of margin trading. And use the theory of demand and supply in economics to deduce the mechanism of the influence of margin financing on stock market volatility. Then, in the empirical analysis, we select the sample data and index, select the Shanghai and Shenzhen 300 index, financing balance and margin balance as the original data. Based on the theoretical analysis and empirical analysis, the conclusions of this study are as follows: the volatility of China's stock market has increased the volatility of its own inertia impact; In the short term, the short term financing buying transaction intensifies the volatility of China's stock market, while the short term short selling transaction inhibits the volatility of our country's stock market. The conclusion is analyzed and some policy suggestions are put forward to improve the margin trading in China.
【学位授予单位】：贵州财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51
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