融资融券对市场和标的个股价格波动的影响研究

发布时间：2018-03-03 09:35

本文选题：融资融券　切入点：标的股票　出处：《合肥工业大学》2017年硕士论文　论文类型：学位论文

【摘要】：融资融券具有放大证券供求、增加股市流通性、稳定与发现价格等重要功能,自2010年在A股市场推行以来,该业务得到快速发展,融资融券标的股票经过四次扩容,数量越来越多,融资融券交易额占A股市场成交额的比例也逐渐增大,其对股票市场的影响日益凸显。融资融券对市场和标的股票的影响,尤其是波动性方面的影响,一直是学术界和实务界关注的焦点之一,但迄今仍然没有统一的结论。经过六年多时间的实践,融资融券对股市和标的股票价格波动性的影响到底如何,是本文研究的重点。本文以融资融券相关的基础理论为切入点,运用了定性与定量相结合的研究方法,在定性分析了融资融券交易对整个市场层面的影响的基础上,从市场和标的个股两个层面进行实证研究。首先,采用VAR模型、Granger因果检验、脉冲响应等计量方法实证分析了融资交易、融券交易对股价指数的作用,结果显示:融资交易是股价指数变化的格兰杰原因,对股价指数有助涨作用;融券交易对股价指数的波动有抑制作用,但是作用较小。其次,我们采用分组的方法,选取了2013年9月至2016年6月共计684个交易日的40支标的股票的相关数据进行研究,其中绩差股、绩优股各20只。通过协整检验、个体固定效应回归模型、个体随机效应回归模型等方法对标的股的面板数据进行实证并发现:融资交易对标的股价有助涨作用,对绩差股的助涨效应更强;融券交易对标的股价有稳定作用,但是对绩差股的稳定作用较弱。在实证研究的基础上,最后借鉴国外成熟股票市场中融资融券的业务运作模式,对我国融资融券交易机制的发展和完善提出相应的政策建议。具体包括严格标股票的准入、实施差别化动态管理、建立健全信息披露制度、培养投资者的理性投资等,以期能促进融资融券的健康完善发展。
[Abstract]:Margin financing has the important functions of amplifying the supply and demand of securities, increasing the circulation of the stock market, stabilizing and discovering the price, etc. Since 2010, the business has developed rapidly, and the stocks that are the subject of margin financing and short selling have been expanded four times. With the increasing number of securities, the ratio of margin trading volume to A-share market turnover is gradually increasing, and its impact on the stock market is becoming increasingly prominent. The impact of margin trading on the market and underlying stocks, especially the impact of volatility, is becoming increasingly prominent. After more than six years of practice, how does margin and margin affect the volatility of stock market and underlying stock price? This paper takes the basic theory of margin and margin as the breakthrough point, applies the qualitative and quantitative research methods, and analyzes the impact of margin trading on the whole market level qualitatively. First of all, using the VAR model Granger causality test, impulse response and other econometric methods to empirically analyze the role of financing transactions, margin trading on the stock price index. The results show that financing trading is the Granger reason for the change of stock price index, which can help the stock price index to rise; margin trading can restrain the fluctuation of stock price index, but it has little effect. Secondly, we adopt the grouping method. The relevant data of 40 underlying stocks from September 2013 to June 2016 were selected to study, of which 20 were poor stocks and 20 were top performers. Through cointegration test, the individual fixed effect regression model was established. The individual stochastic effect regression model and other methods are used to demonstrate the panel data of the underlying stock and find that the financing transaction has a positive effect on the underlying stock price, while the margin trading has a stable effect on the underlying stock price. On the basis of empirical research, the paper draws lessons from the business operation mode of margin financing and short selling in foreign mature stock market. This paper puts forward corresponding policy suggestions on the development and improvement of margin trading mechanism in China, including strict access to marked stocks, implementation of differential dynamic management, establishment and improvement of information disclosure system, training of rational investment of investors, etc. With a view to promoting the sound and sound development of margin financing.
【学位授予单位】：合肥工业大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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