我国融资融券交易下的市场价格发现研究

发布时间：2018-03-04 21:10

本文选题：融资融券　切入点：价格发现　出处：《湖南大学》2014年硕士论文　论文类型：学位论文

【摘要】：随着国内融资融券交易市场的不断放开，融资融券对市场带来的影响成为了学术界普遍关注的问题。目前国内外相关的文献不多，国外的相关研究相对更加成熟，而在国内相关的研究及其匮乏，主要体现在实证研究方面，这主要是由我国市场融资融券交易时间段，市场交易数据不完善造成的。针对这些现状，本文从实证方面对我国融资融券交易下的市场价格发现做了相对较为全面的研究。本文以事件研究法为基础研究方法，从融资融券标的证券调整的视角出发，以某只股票调入融资融券标的证券交易名单为基础事件，通过对事件发生日前后标的股票的异常收益率以及累计异常收益率的统计分析和检验来研究融资融券的价格发现功能。于此同时，本文进行了严密的实证设计，分别从融资融券价格发现的规模效应、市场效应、公告效应、转融通效应以及其他影响因素的视角出发，对我国融资融券交易下的市场价格形成机制进行研究，进行了大量的数据统计，研究了融资融券的价格发现功能。得出了我国的融资融券交易的价格发现功能具有复杂性特点的结论，尤其是我国的融券交易更多的是一种短期的投机性交易，而不是出于对市场看空的理性预期的交易。同时我国融资融券价格发现功能具有明显的市场效应、公告效应和转融通效应。在实证研究的同时也检验了事件研究法两个主要研究模型(市场模型和市场调整模型)的有效性，说明了在相对成熟的市场中，市场模型更为有效，而相反，在相对不成熟的市场中，相对较为简单的市场调整更为有效。本研究希望通过大量的数据分析以及实证研究，检验我国融资融券交易的价格发现功能，，于此同时，为学术界后续相关领域的研究提供一定的参考。
[Abstract]:With the domestic margin trading market continues to open up, the impact of margin trading on the market has become a common concern in academic circles. At present not much relevant literature at home and abroad, foreign research relatively more mature, but in domestic related research and shortage, mainly reflected in the empirical research, this is mainly by me China's market margin trading period, the market transaction data not perfect. To solve these problems, this paper from the empirical aspects of China's margin trading under the market price discovery made a relatively comprehensive study.
In this paper, based on event study research methods, starting from the margin of the underlying securities to adjust the angle of view, to a stock transferred to the margin of the underlying securities transaction list based event, found abnormal return through the event day before and after the underlying stock price and the rate of statistical analysis and test of the cumulative abnormal return to study the margin. At the same time, this paper makes an empirical design tight, scale effect, respectively from the margin of price discovery market effect, the announcement effect of view factors of refinancing effect and other effects, mechanism of margin trading in China under the market price formation research, carried out a large number of the function of data statistics, found the margin of the price. The conclusion has the function of complexity found in China's margin trading price, especially in our country The margin trading is more of a short-term speculative trading, rather than rational expectations on the market bearish trading. At the same time our margin market price discovery function has obvious effect, the announcement effect and the refinancing effect. In the empirical study also tested the event study method of two main models (market model and market adjustment model) the validity, explained in a relatively mature market, the market model is more effective, but on the contrary, in the relatively mature market, relatively simple market adjustment is more effective.
This study hopes to test the price discovery function of margin trading in China through a lot of data analysis and empirical research. Meanwhile, it will provide some references for the follow-up research in related fields in the academic field.

【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

【参考文献】