我国融资融券不同时点和侧面对股票市场质量影响的数量研究

发布时间：2018-03-27 18:44

本文选题：融资融券　切入点：市场质量　出处：《西南财经大学》2014年博士论文

【摘要】：从2010年3月31日试点实施以来,我国融资融券业务一直处于不断的完善过程之中,其建立的每一个步骤都关系股票市场微观结构的改变。融资融券业务的开展,是我国个股第一次真正能够进行卖空业务,这是证券市场完善过程中的重要步骤,对市场质量的改善有着非常的意义。但是到目前为止,关于我国融资融券业务影响的文献不多,且结论不是很一致。之前的相关研究仅仅关注于融资融券发展过程中的一个阶段、某侧面,难免以偏概全。因此本文的研究将围绕着融资融券的发展过程,试图从其对市场质量各个侧面的影响进行全面的研究。目的是希望能够从中找到其经济规律,并正确评价融资融券业务对于市场质量的影响。分析其经济规律,研究卖空和买空对于市场的经济意义,对金融市场微观结构的研究有重要的理论意义。而对于融资融券业务影响的现实情况的分析,并对其正确评价,能够对我国融资融券业务的进一步发展起到一定的启示作用,具有积极的现实意义。本文沿着现实与理论剖析-实证检验-对策建议的思路,从分析我国融资融券现状并和国外情况进行对比出发,在系统梳理和分析国内外学者现有文献的基础上。根据以往学者在对市场微观结构的研究,本文据此将市场质量细分成价格发现、价格稳定性、信息效率、流动性四个不同的侧面依次进行融资融券各个阶段上的实证检验研究。最后根据检验结果总结并给出了政策建议。对于四方面的具体分析框架如下： 1、价格发现功能的检验方面,一是沿着融资融券业务发展的时间轴,对不同阶段的价格发现情况分别进行检验。本文将业务变化阶段分为了四个时点,分别采用面板数据DID方法进行讨论。另一方面是对比香港和大陆市场价格发现机制的变化。对比A股和H股交叉上市的股票,分析了在融资融券和转融通的实行之后个股的估值差异。 2、在价格稳定性的实证检验方面,将价格稳定性分为了价格的波动性和价格崩溃两个方面。关于价格波动的讨论中,采用了EGARCH模型个股的日收益率数据的波动性进行刻画。之后对波动性采用面板数据模型分析。在价格崩溃假说方面主要对收益率偏度、正负极端值和收益率密度函数进行了讨论。 3、在信息效率的分析方面,我们将信息效率分为了公共信息融入价格速度f、投资者私人异质信念的融入价格程度R2+、R2-和Rdiff、个股的信息效率|AR30|三方面变量。讨论融资融券对其的影响,并采用面板Granger检验研究了三方面变量的互相关系。 4、关于流动性方面,通过对于流动性指标的分析,采用两个指标分别代表了流动性的宽度和深度。采用融资融券两方面的交易变量对于流动性的宽度和深度分别进行检验。通过上述四方面的实证检验,我们发现融资融券的影响并非一蹴而就的,而是通过政策和市场的不断完善而逐渐完成的。融资融券业务对于价格估值的准确性、价格的稳定性、信息的有效性均有积极的促进作用。而对于市场的流动性影响需要视具体情况而定。具体内容包括： 1、价格发现功能的检验方面,发现我国融资融券的价格发现过程通过政策和市场的不断完善而逐渐建立,并且效果也逐渐累积,并最终对于我国证券市场的价格发现功能的优化发挥出了应有的作用。A股和H股交叉上市的个股的估值差异有所减小,减小了我国证券市场和境外证券市场的市场分割情况。 2、在价格稳定性的实证检验方面,发现在融资融券业务开通之前,个股的波动具有不对称性。“利好消息”的影响远大于“利空消息”,这是异质信念在不能卖空时的具体表现。开通业务之后,个股波动不对称性得到了很大程度的消除,并一定程度上降低了个股收益率的波动。通过面板数据检验,我们发现当个股的收益率为正时,融券卖空能够通过增加股票供给和更多的表达出异质信念而降低收益率的波动。而收益率为负时,融券卖空的表现不明显。在价格崩溃假说方面,融资融券和转融通的推出后,有效的改善了价格崩溃的危险。而正极端值出现的频率也显著的降低,从而使收益率密度函数更接近有效市场下的正态函数假设。通过分析我们可以认为融资融券和转融通的推出,有利于我国证券市场的稳定。 3、在信息效率的分析方面,研究表明公共信息融入价格的速度随着融资融券业务的发展在加快。投资者私人异质信念融入价格的程度随着融资融券的发展变得更为均衡。而个股的消息效率也在这个过程中变得更为有效。采用面板Granger检验研究发现投资者私人异质信念的融入价格程度变得均衡,这是个股信息效率提升的原因。 4、关于流动性方面,研究发现融资融券不同的交易方式,因为自身对于市场提供了不同的物品,对于流动性宽度和深度的具有不同影响。研究表明融资买入能对流动性宽度产生很大的正向影响,在融资融券业务对于流动性宽度的影响中占据最主要的地位。本文通过实证研究和理论分析,在以下方面确定了部分创新成果：一是本文通过将融资融券的发展细分为几个时间段,通过对于不同时间段下的市场质量的不同侧面进行讨论。明确了融资融券业务对我国市场质量的产生的积极的推动作用。研究发现融资融券优化了股票市场价格发现机制,减小了海内外市场的分割,减小了收益率的波动性及不对称性,降低了市场崩溃的可能,并提升了市场信息效率。二是通过对流动性指标的分析,发现融资融券对于流动性的影响不能一概而论。融资和融券对于流动性深度和宽度的影响是不同。融资影响了流动性宽度,而融券则影响了流动性深度。三是发现融资融券业务最主要还是通过卖空对我国股票市场产生作用。其路径是在放开卖空限制之后,投资者能够充分表达自己的各种意念,卖空推动了流动性深度的增加,从而导致异质信念能够充分融入价格,进而降低了股票的溢价和波动的大小和不对称的降低。本文虽然取得了一些成果,但是由于实际数据方面的限制,论文在股票的选取特别是不同的时点上因为政策等原因难以保持股票范围和数量的一致,希望随着经济数据的完善,在后续的研究中能够弥补这些不足之处。
[Abstract]:Since the implementation of the pilot from March 31, 2010, the margin trading business in China has been in a process of continuous improvement, every step of the establishment of the relationship between the stock market microstructure. The launch of margin trading, is China's first real stocks to short selling business, this is an important step in the process of perfecting the securities market, has a very significance to improve the quality of the market. But so far, not on our margin business impact of literature, and the conclusion is not very consistent. Previous studies only focus on financing a stage in the development of a voucher side, is Overgeneralization.
Therefore, this study will focus on the development process of the margin, attempts to make a comprehensive study on its impact on the market quality of each side. The objective is to find the economic laws in effect and the correct evaluation of the margin trading business in the market. The quality of the analysis of the economic law, study the up and down of the market economy the significance, has an important theoretical significance for the study of financial market microstructure. The reality of margin financing business impact analysis, and the correct evaluation to the further development of the Revelation on China's margin trading business, has a positive practical significance.
In this paper, the theoretical analysis along the reality and empirical test countermeasures ideas, from the analysis of current situation of margin and compared with the foreign situation, based on a systematic review and analysis of domestic and foreign scholars on the existing literature. According to the previous scholars in the research on market microstructure, this paper will be divided into the quality of the market price discovery, price stability, information efficiency and liquidity of the four different sides in each stage of empirical research on the margin test. According to the test results summary and gives policy recommendations. For the following four aspects specific analysis framework:
1, the price discovery function test, a time axis is along the margin of the business development, the different stages of the price discovery were tested. This paper is divided into four stages of business change point, respectively, using panel data DID method is discussed. On the other hand is the mechanism of changes found that compared to Hongkong and the mainland market price comparison. A shares and H shares cross listed stocks, analyzed the financing and refinancing after the introduction of stock valuation differences.
2, in the empirical research of price stability, price stability will be divided into two aspects: price volatility and price collapse. About the price fluctuation, using EGARCH model stock daily return data volatility portrayed. After the volatility using panel data model analysis. The price collapse hypothesis the main rate of skewness to income, positive and negative extreme values are discussed and the yield density function.
3, analysis on information efficiency, we will be in the public information efficiency information into the price rate of F, the private investors heterogeneous beliefs into the price level of R2+, R2- and Rdiff, |AR30| information efficiency stock's three variables. Discuss the impact of margin trading on it, and the relationship between the three variables were studied by the panel Granger test.
4, about liquidity, through the analysis of liquidity indicators, two indicators are used to represent the width and depth of liquidity respectively. The transaction width and depth of liquidity are tested by two trading variables of margin trading.
Through the empirical test of the above four aspects, we found that the margin effect is not easy, but through the policy and the continuous improvement of the market and gradually completed. The accuracy of the margin trading business for the price valuation, price stability, promote the effectiveness of information were positive. And for the needs of the market liquidity impact depending on the specific the specific contents include the situation:
1, the price discovery function of the inspection, found that China's margin price discovery process through policy and the continuous improvement of the market has been established, and the effect is gradually accumulated, and ultimately for China's securities market price discovery function optimization plays a role difference between the valuation of.A shares and H shares listed on a cross stocks decreased, reducing China's securities market and securities market outside the market segmentation.
2, in the empirical research of price stability, found in the margin of the business before the opening, the stock fluctuation is asymmetric. Influence of "good news" is far greater than the "bad news", which is embodied in the heterogeneous beliefs not short. After the opening of business, stock volatility asymmetry has been eliminated greatly the extent of, and to some extent reduce the stock return volatility. Through the panel data test, we found that when the stock return is positive, short selling may be reduced by increasing the volatility of the stock supply and more express. Heterogeneous beliefs and yields is negative, short selling. The performance is not obvious. The price collapse hypothesis, margin financing and refinancing after the launch, effectively improve the risk of price collapse. While the frequency of the extreme values are also significantly reduced, so that the yield. The degree function is closer to the assumption of normal function in the effective market. We can think that the introduction of margin trading and refinancing is beneficial to the stability of China's stock market.
3, analysis on information efficiency, research shows that public information into the price of the speed with the development of the margin trading business is being accelerated. The price of private investors heterogeneous beliefs into the degree with the development of the margin becomes more balanced. But stock news efficiency is also in the process of becoming more effective. Based on panel Granger the inspection found into the price degree of investor heterogeneous beliefs become private balance, this is a stock information to improve the efficiency.
4, a liquidity margin, the study found that different transactions, because of their different items to provide market liquidity, with the width and depth of different effects. The results indicate that the financing to buy can produce positive effect on the fluidity of great width, in the margin trading business to occupy the main position of flow the width of the.
Through empirical research and theoretical analysis, this paper has established some innovative results in the following aspects:
One is through the development of subdivision margin for several time, we discussed different aspects for different time period under the market quality. The positive role of the margin trading business in China market. The study found that the quality of the margin optimization mechanism of stock market price discovery, reducing both at home and abroad market segmentation, reduced volatility and asymmetric yields, reduce the market collapse, and enhance the efficiency of market information.
Two, through the analysis of liquidity index, we find that the impact of margin trading on liquidity can not be generalized. The impact of margin and margin on liquidity depth and width is different. Financing affects liquidity width, while margin trading affects liquidity depth.
The three is that the margin trading business mostly by short selling have an effect on the stock market of our country. The path is in after the liberalization of restrictions on short selling, investors can fully express the various ideas of their own, short promoted the increase in liquidity depth, resulting in heterogeneous beliefs can be fully integrated into the price, and then reduced the size and asymmetry of premium and the fluctuation of the stock.
This paper has made some achievements, but because of the limitation of the actual data, the stock selection especially different point because of policy reasons difficult to maintain and the number of stock range consistent with the hope of improving economic data, can compensate for these shortcomings in the follow-up study.

【学位授予单位】：西南财经大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F832.51

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