融资融券对上海A股市场的波动性影响分析

发布时间：2018-03-13 09:19

本文选题：融资融券　切入点：协整检验　出处：《东北大学》2014年硕士论文　论文类型：学位论文

【摘要】：融资融券业务于2010年3月31日推出启用,至今已经有四年时间,业务发展平稳,沪市融资融券余额已上升至2600亿。融资融券作为股票市场重要的卖空交易机制,具有资金杠杆效应和价格发现功能。融资融券业务的推出对上海A股市场的波动性究竟产生了怎样的影响,本文据此进行了研究。本文以上证180指数作为股票市场的代表,从长短期关系、因果关系、股指收益率波动性三个方面进行分析。首先通过协整检验得到融资融券余额与股票指数存在长期均衡关系。Granger因果检验的结果发现融资融券是引起我国股票指数变化波动的Granger原因,而股票指数变化波动不是引起融资融券变化的Granger原因。建立VAR向量自回归模型并进行脉冲响应和方差分解分析,发现融资融券在一定程度上降低了股市波动性,且融资融券对股票指数波动的贡献率较大。对上证180指数收益率序列建立GARCH(1,1)模型和EGARCH(1,1)模型,并引入虚拟变量,得到结果显示融资融券的推出降低了上证180指数的波动性。本文的主要结论为,融资融券的推出降低了上海A股市场的波动性,具有平抑股市波动,稳定市场的作用。
[Abstract]:The margin and short margin business was launched in March 31st 2010 and has been developed steadily for four years. The balance of margin and short selling in Shanghai Stock Exchange has risen to 260 billion. As an important short selling mechanism in the stock market, short selling and short selling is an important mechanism in the stock market. It has the function of capital leverage and price discovery. How does the introduction of margin and margin business affect the volatility of Shanghai A-share market, which is studied in this paper. This paper takes the Shanghai Stock Exchange 180 Index as the representative of the stock market. From long and short term relationships, causality, Firstly, through cointegration test, we get the long-run equilibrium relationship between margin balance and stock index. Granger causality test shows that margin margin is the cause of stock index change in China. Granger causes of volatility, The volatility of stock index is not the cause of the change of margin and margin. The VAR vector autoregressive model is established and the impulse response and variance decomposition analysis are carried out, and it is found that margin and margin reduce the volatility of stock market to a certain extent. The contribution rate of margin and short selling to stock index fluctuation is great. For the yield sequence of Shanghai 180 index, we establish GARCHG 1) model and EGARCHN 1 + 1) model, and introduce virtual variable. The results show that the introduction of margin and margin reduces the volatility of Shanghai 180 Index. The main conclusion of this paper is that the introduction of margin and margin reduces the volatility of Shanghai A-share market and has the function of stabilizing the stock market and stabilizing the stock market.
【学位授予单位】：东北大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

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