融资融券制度的价格发现功能的实证研究

发布时间：2018-01-01 23:33

本文关键词：融资融券制度的价格发现功能的实证研究　出处：《上海社会科学院》2014年硕士论文　论文类型：学位论文

【摘要】：2010年3月31日,经过多年的论证和试运行,我国证券市场正式引入融资融券交易机制,这是中国证券发展历史上的里程碑。三年多来,融券标的已经从最初的80只股票扩容至700只股票。市场中关于融资融券的效果以及其对股市影响的讨论始终在持续,这也一直是理论和实践研究中的一个热点问题。本文利用上海证券交易所的融资融券历史数据,研究该政策推出之后对股票市场究竟有怎样的影响。鉴于衡量股票市场表现的三个重要指标是定价效率、流动性及波动性,这里的定价效率也可以表述为价格发现功能,即其价格回归其真实价格的速度和所需的时间。因此本文从证券市场的价格发现、波动性和流动性特征切入,进行研究,首先对融资融券业务在这三方面影响的相关研究成果进行分析和整理,然后试图探究出本文就这个问题能够加深一步思考和研究的思路和方向；进一步的本文在上述三个核心指标中选择了价格发现功能作为本文重点研究的指标,通过引入市场模型以及与其相关的一些统计量,进行实证研究,研究融资融券业务对我国证券市场的价格发现功能的影响。根据上述的理论分析和实证研究,本文最终得出了以下两点结论：(1)随着收益计算期的变长样本股票的股价包含的信息变得充分,其价格调整也就更接近于市场指数这表现在市场模型拟合的β越来越接近真实值更表现在市场模型的统计量R2随之变大,也即是模型拟合越来越有效；(2)在相同的收益计算期下可融资融券标的价格调整要快于不可融资融券标的。也就是说时间可以提升定价效率,使得价格接近其真实值,而融资融券也可以,它加速了这一过程,这就意味着融资融券制度的确具有了价格发现的功能。
[Abstract]:On March 31 , 2010 , after many years of argumentation and trial operation , China ' s securities market formally introduced the financing margin trading mechanism , which is a milestone in the history of China ' s securities development . More than three years , the subject of securities lending has been expanded from the original 80 stocks to 700 stocks . The market has always been a hot issue in theory and practice research . In view of the three important indexes that measure the performance of stock market are pricing efficiency , liquidity and volatility , the pricing efficiency can also be expressed as the price discovery function , that is , the price returns the speed and time required for its real price . Based on the above - mentioned theoretical analysis and empirical research , the following two conclusions are concluded : ( 1 ) As the stock price of the variable - length sample stock in the income calculation period becomes full , the price adjustment is closer to the market index . The price adjustment is more and more effective in the market model , that is , the model fitting is more and more effective ; ( 2 ) The price adjustment of the financing bond subject to the same income calculation period is faster than that of the non - financing token . In other words , the price is close to its true value , and the financing margin can also , it accelerates the process , which means that the financing margin system does have the function of price discovery .

【学位授予单位】：上海社会科学院
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F726

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