融资融券与股市流动性的影响分析

发布时间：2018-05-21 17:47

本文选题：融资余额 + 融券余额　；参考：《上海师范大学》2017年硕士论文

【摘要】：本文介绍了融资融券交易与市场和标的证券流动性的基本情况,并且在不同时间段,分析融资融券交易余额、融资余额变化率与融券余额变化率对市场流动性、标的证券流动性的影响。以上海、深圳证券市场为研究对象,选择沪深300指数为研究样本,采用Amihud非流动性指标代表整体市场和标的证券的流动性,建立相关VAR模型、脉冲响应函数、格兰杰因果检验方法研究融资余额变化率与融券余额变化率对股市流动性的影响,并进行同时段的比较。同时,利用五次扩容的标的证券作为样本,选择个股时间序列数据,构成面板数据。在构建面板数据模型过程中,添加时间虚拟变量代表融资融券交易发生前后、以流通市值代表公司规模、沪深300指数代表大盘行情并将其作为控制变量,进行模型验证。使用Panel LS和GMM估计法对其进行估计,分析比较融资融券交易、融资余额变化率与融券余额变化率对标的证券流动性的影响。研究结果表明:在初期阶段,融资融券交易对市场流动性的影响波动较大,并不稳定,随着融资融券交易推出时间越长,对流动性的提升影响变得越稳定。但是融券余额变化率对市场的流动性将会消失。这主要是由于股市流动性受多种因素影响,不能对流动性变动产生主要的影响。从对标的证券的研究发现,融资融券交易对标的证券流动性的影响在不同时期内存在相反的效果。在交易期初,其对标的证券的流动性产生的正面影响较为明显。随着时间的推移,直至近两期,其会减弱标的证券的流动性。融资余额变化率与融券余额变化率对于标的证券的流动性影响也受到股市整体交易情况的波动,其中融资余额变化率相较于融券余额变化率来说,提供流动性的效果要好,融券余额的变化率几乎与标的证券流动性不存在关系。综上所述,融资余额变化率与融券余额变化率对市场的流动性,在初期时影响效果并不稳定,但是随着时间推移,融资余额变化率的作用要大于融券余额变化率;融资余额变化率对标的证券的流动性有正向效应,但是融券余额变化率对标的证券的流动性几乎没有影响。
[Abstract]:This paper introduces the basic situation of margin trading, market and underlying securities liquidity, and analyzes the market liquidity of margin trading balance, margin balance change rate and margin balance change rate in different time periods. The effect of liquidity on underlying securities. Taking the Shanghai and Shenzhen stock markets as the research object, selecting the CSI 300 index as the research sample, using the Amihud illiquidity index to represent the liquidity of the whole market and the underlying securities, the relevant VAR model and impulse response function are established. Granger causality test (Granger causality test) is used to study the influence of the change rate of financing balance and margin balance on the liquidity of stock market. At the same time, the time series data of individual stock are selected to form panel data. In the process of building panel data model, add time virtual variable to represent margin trading before and after, using circulating market value to represent company size, Shanghai and Shenzhen 300 index represent large market and take it as control variable to verify the model. The paper uses Panel LS and GMM estimation methods to estimate them, and analyzes and compares the effects of margin trading, the change rate of financing balance and margin balance on the liquidity of underlying securities. The results show that: in the initial stage, the influence of margin trading on market liquidity is more volatile and unstable. With the introduction of margin trading, the effect on liquidity becomes more stable. But margin balance change rate on the market liquidity will disappear. This is mainly because the stock market liquidity is affected by many factors, can not have a major impact on liquidity changes. From the research on the underlying securities, it is found that the effect of margin trading on the liquidity of underlying securities has the opposite effect in different periods. At the beginning of the trading period, the positive effect on the liquidity of the underlying securities is obvious. Over time, until the last two quarters, it weakens the liquidity of underlying securities. The effect of the change rate of financing balance and margin balance on the liquidity of the underlying securities is also affected by the fluctuation of the overall trading situation of the stock market, in which the change rate of the financing balance is better than that of the margin balance change rate, and the effect of providing liquidity is better than that of the margin balance change rate. The change rate of margin balance is almost independent of the liquidity of underlying securities. To sum up, the change rate of financing balance and margin balance has an unstable effect on the liquidity of the market at the initial stage, but with the passage of time, the effect of the change rate of financing balance is greater than that of margin balance. The change rate of financing balance has a positive effect on the liquidity of the underlying securities, but the change rate of the margin balance has almost no effect on the liquidity of the underlying securities.
【学位授予单位】：上海师范大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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