融资融券交易对市场和个股波动影响的实证研究

发布时间：2018-05-10 05:59

本文选题：融资融券 + T-GARCH模型　；参考：《浙江工商大学》2014年硕士论文

【摘要】：自17世纪第一笔卖空交易发生在荷兰阿姆斯特丹证券交易所以来,卖空证券交易已有四百多年历史。伴随日渐成熟的证券信用制度的是众多能人志士的全方位研究,很多问题几乎已是盖棺定论。而自我国2010年3月31日融资融券试点正式启动以来,也不过短短四年,期间不乏众多国内学者前赴后继的研究,但是大多都是基于台湾或者香港证券市场。不同于无数有关“裸卖空”的研究,融券交易本身有其自身特色。因此,就融资融券在国内证券市场的价格稳定作用进行全面、系统的研究更有理论价值与学术意义。本文在回顾国内外大量有关融资融券基本功能研究的基础上,先对融资融券交易的价格稳定机制进行理论分析,而又针对国内市场进行了实证研究。在文献研究和理论机制分析的基础上,本文利用实证分析方法从融资融券对股市的波动,和个股波动两个层面展开系统而全面的分析。在对股市波动的研究上,本文主要借助在时间序列的处理上比较有优势的EViews软件,运用T-GARCH模型,VAR模型,脉冲响应,方差分解等计量分析方法。在融资融券标的个股对自身波动影响上主要借助处理面板数据较好的Stata计量经济分析软件,从对个股股价波动影响的整体效应和个体效应两个层面进行分析。通过实证分析发现：在融券交易与指数波动的影响中,滞后六阶VAR模型的因果检验发现,二者表现为显著的因果关系,且融券交易对指数波动的影响表现为显著的负向作用,即认为融券交易对指数波动具有一定平抑作用；就融资交易与指数波动的VAR(8)模型显示,融资交易与指数波动之间的相互影响明显不如融券交易表现显著,且相比指数波动对融资交易的影响,融资交易对指数波动的作用表现更加显著,即认为融资交易对指数波动具有平抑作用。且研究发现,融资融券的价格稳定作用主要表现在滞后期,与理论分析一致。在以收益率衡量的个股股价波动的影响上,融券对个股日收益率的影响显著为正；除了极个别标的股票,融资对股价收益率表现为显著的负效应。因此,可以认为融资融券交易总体上发挥了股价稳定作用,融券交易作用更加明显。
[Abstract]:Short-selling has been traded for more than 400 years since the first short sale took place on the Amsterdam Stock Exchange in the 17 th century. Along with the maturing securities credit system is the omni-directional research of many talented people, many problems have almost been the final conclusion. Since the launch of our country on March 31, 2010, it is only four years. During this period, there are many domestic scholars, but most of them are based on the stock market of Taiwan or Hong Kong. Unlike numerous studies on naked short-selling, short-selling trading itself has its own characteristics. Therefore, it is of theoretical value and academic significance to make a comprehensive and systematic study on the price stability of margin financing in the domestic securities market. On the basis of reviewing a large number of domestic and foreign researches on the basic functions of margin trading, this paper first analyzes the price stability mechanism of margin trading, and then makes an empirical study on the domestic market. On the basis of literature research and theoretical mechanism analysis, this paper makes a systematic and comprehensive analysis of the volatility of stock market and the volatility of individual stocks by using the empirical analysis method. In the research of stock market volatility, this paper mainly uses the T-GARCH model, pulse response, variance decomposition and other econometric analysis methods with the help of EViews software which has advantages in dealing with time series. In the aspect of the influence of individual stocks on their own volatility, the paper mainly uses the Stata econometric analysis software, which deals with panel data, to analyze the overall effect and the individual effect of the stock price volatility from two aspects: the overall effect and the individual effect. Through the empirical analysis, it is found that in the influence of margin trading and index volatility, the causality test of lag six order VAR model shows that they are significant causality, and the influence of short bond trading on index volatility is significantly negative. That is to say, margin trading has a certain stabilizing effect on index volatility, and the VARY8 model shows that the interaction between financing transaction and index volatility is obviously less significant than that between short margin trading and index volatility. Compared with the influence of the index fluctuation on the financing transaction, the effect of the financing transaction on the index fluctuation is more significant, that is to say, the financing transaction has a stabilizing effect on the index fluctuation. The results show that the price stability of margin is mainly reflected in lag, which is consistent with theoretical analysis. In terms of the stock price volatility measured by the yield, the influence of margin on the daily yield is significantly positive; except for a few target stocks, financing has a significant negative effect on the stock yield. Therefore, it can be considered that margin trading played a stable role in the overall stock price, margin trading more obvious.
【学位授予单位】：浙江工商大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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