融资融券交易对我国ETF基金波动性的影响研究

发布时间：2018-01-30 06:56

本文关键词： 融资融券融券交易 ETF基金波动性　出处：《南京大学》2014年硕士论文　论文类型：学位论文

【摘要】：我国证券市场试点推出融资融券交易制度已经有四年的时间了。学术界对于融资融券交易制度是否有利我国证券市场市场的发展,能否持续推进我国证券市场平稳运行这一观点一直未达成统一意见。本文从ETF基金的角度入手,利用ETF的日交易数据以及其对应的融资融券的交易数据,研究融资融券机制推出之后,对ETF基金到底会产生怎样的影响。本文参考融资融券交易制度对我国沪深股市波动性影响的分析方法,选取了2只纳入融资融券交易标的较早的ETF基金,从波动性的角度来研究融资融券交易制度对我国ETF基金的影响。首先,本文梳理了融资融券交易制度的概念、投资模式,ETF的概念、投资模式,其次,本文整理并分析了国内外融资融券交易对股票市场波动性影响的文献,进而确定研究我国融资融券交易对ETF基金的方法——使用GARCH模型和VAR模型；再用实证分析研究融资融券交易对我国股市波动性的影响以及卖空交易具体对我国ETF基金波动性的影响。本文采用GARCH模型检验融资融券交易对ETF基金波动性的整体影响,再采用VAR模型检验融券交易对ETF基金波动性的具体影响方向。最后,结合实证结果与我国ETF基金市场的实际情况,从四个角度出发对我国融资融券交易制度提出了意见,期望进一步完善我国的融资融券交易制度,促使我国证券市场健康发展。根据GARCH模型和VAR模型的实证分析,本文得出了下面几点结论：(1)通过GARCH模型以及虚拟变量的加入,我们可以发现华安上证180ETF和华夏上证50ETF的波动性在加入融资融券的标的之后得到了一定程度的抑制。两只基金的ARCH(1)+GARCH (1)值均小于1。从这个结论出发,我们可以知道,融资融券交易制度对这两只ETF基金起到价格稳定器的作用。当ETF基金价格被估低时,投资者融资买入ETF基金,使ETF价格升高,回归净值,当ETF基金价格虚高时,投资者融券卖空ETF基金,使ETF基金价格降低,回归净值；(2)通过协整检验,我们可以知道,华安上证180ETFHE和华夏上证50ETF均和其对应的融券交易量存在长期的稳定关系；而通过格兰杰因果检验我们可以知道,华安上证180ETF基金和华夏上证50ETF的波动性不是引起融券变化的Granger原因,但是融券交易是影响华安上证ETF基金和华夏上证50ETF波动的Granger原因。从脉冲响应的分析图可以看出,华安上证180ETF和华夏上证50ETF受到融券交易的影响,波动都成下降趋势,但是长期之后两者都进入稳定状态,也就是说,在一定程度上,融券交易确实起到了抑制ETF基金波动的作用。通过进一步的方差分解我们可以看见,虽然融资交易确实对ETF基金波动性起到了抑制作用,但是作用并不是非常明显。
[Abstract]:It has been four years since the introduction of margin trading system in China's securities market. Whether we can continue to promote the smooth operation of China's securities market has not reached a unified view. This article from the perspective of ETF funds. Using the daily trading data of ETF and the corresponding trading data of margin and margin, the paper studies the mechanism of margin and short margin after the launch. This paper refers to the analysis of the impact of margin trading system on the volatility of China's Shanghai and Shenzhen stock markets. This paper selects two ETF funds which are included in the trading target of margin trading earlier to study the impact of margin trading system on China's ETF funds from the point of view of volatility. First of all. This paper combs the concept of margin trading system, the concept of investment model ETF, investment model. Secondly, this paper collates and analyzes the domestic and foreign literature on the impact of margin trading on the volatility of the stock market. And then determine the research method of margin trading on ETF funds in China-using GARCH model and VAR model; Then we use the empirical analysis to study the impact of margin trading on the volatility of China's stock market and the impact of short selling on the volatility of China's ETF funds. This paper uses the GARCH model to test the effect of margin trading on et. The overall impact of F Fund volatility. Then using the VAR model to test the specific direction of short margin trading on the volatility of ETF funds. Finally, combined with the empirical results and the actual situation of ETF fund market in China. From four angles, this paper puts forward some opinions on the trading system of margin trading in China, hoping to further improve the trading system of margin trading in China. According to the empirical analysis of GARCH model and VAR model, this paper draws the following conclusions: 1) through the GARCH model and the addition of virtual variables. We can find that the volatility of Shanghai 180 ETF and 50 ETF is restrained to a certain extent after adding the target of margin and margin. The GARCH value is less than 1. Based on this conclusion. As we can know, margin trading system acts as a price stabilizer for these two ETF funds. When the price of ETF funds is low, investors buy ETF funds to make ETF price rise. Return to net value, when the price of ETF funds is high, investors short short of ETF funds, so that the price of ETF funds to reduce, return to net value; 2) through cointegration test, we can know that there is a long-term stable relationship between Shanghai Securities Exchange 180ETFHE and Shanghai ETF 50ETF. By Granger causality test, we can know that the volatility of Shanghai Shanghai Exchange Fund 180 and Shanghai 50 ETF is not the Granger cause of margin change. However, margin trading is the Granger reason that affects the fluctuation of ETF fund and 50 ETF of Shanghai Stock Exchange of China, which can be seen from the analysis of impulse response. Hua'an Shanghai ETF 180 and China Shanghai Exchange Fund 50 are affected by margin trading, fluctuations have become a downward trend, but after a long period of time, both are in a stable state, that is, to a certain extent. Margin trading does play a role in restraining the volatility of ETF funds. Through further variance decomposition we can see that although the financing transactions do inhibit the volatility of ETF funds. But the effect is not very obvious.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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