融资融券交易机制对我国证券市场波动性影响的实证研究

发布时间：2018-06-26 19:17

本文选题：融资融券交易 + 沪深300指　；参考：《北京外国语大学》2017年硕士论文

【摘要】：融资融券交易机制对我国证券金融市场具有重要影响,在信用交易中占有举足轻重的地位,该机制可以影响到证券市场的波动性、流动性等诸多特性。证券市场的运行需要多种机制的共同协作才能进行,融资融券交易就是其中一种非常重要的机制,其在境外证券交易领域已经成为一种十分成熟的交易机制,被广泛使用。本文第一章绪论部分从文章研究背景、研究意义和研究创新之处出发,分析了研究融资融券交易机制的背景、研究融资融券交易机制的意义,提出本论文的研究创新点为采用最新数据对融资融券交易机制与我国证券市场波动性之间的影响进行相关研究和运用向量自回归模型研究得出融资融券日余额与我国证券市场代表性股指波动率之间的影响关系;本文第二章整理和研究了国内外关于融资融券交易机制对证券市场影响的相关文献,发现国内外的研究学者关于融资融券交易机制对证券市场波动性的影响关系存在诸多分歧尚无统一定论,一部分研究学者认为融资融券交易能够加剧证券市场波动,一部分研究学者认为融资融券交易能够平抑证券市场的波动,另一部分研究学者认为融资融券交易机制对证券市场的波动不存在显著影响,因此对融资融券交易与我国证券市场波动性两者之间的影响关系的研究能够为投资者和监管当局提供较好的依据;本文第三章对融资融券交易机制的基本情况进行概述归纳,针对融资融券交易的基本含义、融资融券交易特点进行介绍,针对世界典型国家的融资融券授信模式、世界典型国家融资融券授信模式对于我国采取授信模式的启示、融资融券业务功能、融资融券在我国的成长历程和成长近况进行分析研究和探讨。本文第四章展开融资融券交易机制与我国证券市场具有代表性的沪深300指指数波动性之间影响关系的实证研究,运用了向量自回归(VAR)模型估计、协整检验以及格兰杰因果关系检验等计量方法对前提假设进行检查验证,得出,融资日余额和融券日余额均与沪深300指股指波动性之间存在长期稳定、相互影响的协整关系,融资融券交易机制对我国证券市场代表性股指沪深300指波动性存在平抑作用。通过建立的向量自回归模型发现,当融资日余额和融券日余额增加值相同时,融券交易对沪深300指日震荡幅度的减小程度更为强烈,也就是说,融券交易机制较融资交易机制与我国证券市场波动性之间的影响关系更大,融券交易对沪深300指波动性的平抑作用产生的效果较融资交易更为突出。根据格兰杰因果关系检验,本论文得出,融资交易日余额变动和沪深300指波动性存在相互影响的关系,融券交易日余额变动和沪深300指波动性之间同样存在相互作用的关系,融资交易会对我国证券市场的波动性产生一个反向的冲击效应,即融资交易能够减小我国证券市场的波动性;融券交易同样对我国证券市场的波动性产生一个反向的冲击效应,能够减小我国证券市场的波动性。本文第五章为结论分析和政策建议,结合本文得出的实证研究结论提出一些政策监管建议和改进措施。
[Abstract]:The margin trading mechanism has an important influence on the securities financial market of our country. It plays an important role in the credit transaction. This mechanism can affect the volatility and liquidity of the securities market. The operation of the securities market requires the joint cooperation of various mechanisms. The margin trading is one of the most important factors. The important mechanism, which has become a very mature trading mechanism in the field of foreign securities trading, is widely used. In the first chapter, the introduction part from the background of the research, the significance and the innovation of the research, analyzes the background of the study of the margin trading mechanism, studies the significance of the margin trading mechanism, and puts forward the theory of this theory. The innovation point of this paper is to use the latest data to study the relationship between the margin trading mechanism and the volatility of China's securities market, and to study the relationship between the margin day balance and the volatility of the stock market stock index in China by using the vector autoregressive model. The second chapter of the paper collates and studies the country. The relevant literature on the impact of the margin trading mechanism on the securities market, finds that there are many differences between the domestic and foreign researchers on the influence of the margin trading mechanism on the volatility of the securities market, and some scholars believe that the margin trading can aggravate the volatility of the securities market. The scholars believe that the margin trading can suppress the volatility of the securities market. Another part of the researchers believe that the margin trading mechanism has no significant impact on the volatility of the securities market. Therefore, the study of the relationship between the margin trading and the volatility of the securities market in China can be provided to investors and regulatory authorities. The third chapter of this paper summarizes the basic situation of the margin trading mechanism, introduces the basic meaning of the margin trading, introduces the characteristics of the margin trading, and aims at the financing and credit mode of the typical countries in the world. In the fourth chapter, the empirical research on the relationship between the margin trading mechanism and the representative index volatility of the Shanghai and Shenzhen stock market and the 300 index index of the Shanghai and Shenzhen stock market is carried out in the fourth chapter, and the estimation of the vector autoregressive (VAR) model is used. The whole test and the Grainger causality test and other measurement methods check the premise hypothesis, and conclude that the financing balance and the margin day balance both have long-term stability, the cointegration relationship between the 300 indexes of Shanghai and Shenzhen stock index, the mutual influence of mutual influence, and the volatility of the margin trading mechanism on the 300 index of the Shanghai and Shenzhen stock market stock index stock index. By the vector autoregressive model, it is found that the margin trading has a stronger reduction in the amplitude of the Shanghai and Shenzhen 300 finger oscillations when the financing day balance and the margin day balance are the same, that is to say, the margin trading mechanism has a greater impact on the volatility of the securities market than the financing transaction mechanism. The effect of the margin trading on the volatility of the 300 fingers of Shanghai and Shenzhen is more prominent than the financing transaction. According to the Grainger causality test, this paper concludes that the relationship between the change of the balance of the financing transaction day and the volatility of the 300 fingers of the Shanghai and Shenzhen is mutual, and the change of the balance between the margin trading day and the volatility of the 300 fingers of the Shanghai and Shenzhen has the same interaction with each other. The financial transaction will have a reverse impact on the volatility of the securities market in China, that is, the financing transaction can reduce the volatility of the securities market in our country; the margin trading also has a reverse impact on the volatility of the securities market in China, which can reduce the volatility of our securities market. The fifth chapter of this paper is to reduce the volatility of our securities market. For the conclusion analysis and policy recommendations, combined with the conclusions drawn from the empirical study, we put forward some policy recommendations and improvement measures.
【学位授予单位】：北京外国语大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

【参考文献】