转融通下融资融券对A股流动性和波动性的影响研究
发布时间：2018-07-24 17:52
【摘要】：在国际资本市场上,利用融资或融券进行投资交易已经有百余年的历史。该机制有助于资本市场基本功能的实现,也是资本市场迈向成熟化的重要标志。我国A股市场自从1990年开始一直是只允许做多且禁止利用杠杆交易的,这导致了市场交易方式单一、系统性风险难以有效释放。2010年,融资融券正式开放,但可做空标的的规模和数量都十分有限。2012年,转融通制度让融资做多和融券做空交易业务有了更大的发展。但学界针对融资做多业务和融券做空业务制度对资本市场的流动性和波动性的影响看法不一;同时,中国资本市场正经历着特殊的转型制度情境,对于中国资本市场情境下的相关研究并不系统。转融通下融资做多交易和融券卖空交易对证券市场的交易波动性水平以及流动程度起到什么样的作用还有待进一步的研究。本文通过实证研究具体分析转融通制度下融资做多交易和融券做空交易对我国资本市场的流动性和价格震荡幅度的影响机制和传导路径,以期为资本市场投资交易从业人员、相关企业和金融机构管理人员提供一些有建设性的建议。本文基于海内外相关研究成果,在对有关文献研究系统化梳理的基础上,从中确定本文的研究路径,并在对融资做多交易和融券卖空交易制度简单介绍的基础上阐述了转融通下融资做多业务和融券卖空业务与资本市场的流动性水平以及价格波动程度的作用动因以及传导方式,并分别展开研究。本文主要研究结论如下:(1)在转融通制度下融资做多和融券卖空制度对提升我国股票市场流动性起到显著的正面效应。同时,相对于融券做空业务,融资做多业务的波动对资本更加敏感,融资做多交易和融券卖空交易就是通过为资本市场增加新投资交易量的方式从而为整个资本市场提供更多的流动性。但是资本市场流动性对融资做多业务和融券做空业务的影响无显著作用。(2)融资做多业务更易加大资本市场的波动幅度,而融券做空业务则与之相反,其会减小市场的波动幅度并且有利于维持市场的稳定。另外,实证结果也表明,转融通机制对促进股市的稳定性起到了显著的正向作用,然而在扩大融资做多和融券做空业务规模方面的作用依旧十分有限,因此其对资本市场波动幅度减小的作用仍然很小。
[Abstract]:In the international capital market, it has been more than a hundred years in the use of financing or margin trading. This mechanism is conducive to the realization of the basic functions of the capital market and an important symbol of the maturity of the capital market. China's A share market has been allowed to do more and prohibit the use of leveraged transactions since 1990, which has led to the market. The mode of the field transaction is single, the systemic risk is difficult to release.2010 years effectively, the financing margin is officially open, but the size and quantity of the short mark are very limited for.2012 years. The system makes the financing make a bigger development and the margin trading business is more developed. There are different views on the liquidity and volatility of the market. At the same time, China's capital market is experiencing a special transition system situation, which is not systematic in the context of China's capital market. Through empirical research, this paper analyzes the impact mechanism and transmission path of the liquidity and price volatility of China's capital market by financing and trading and margin trading, with a view to managing the employees of capital markets, related enterprises and financial institutions. The article provides some constructive suggestions. Based on the relevant research results at home and abroad, on the basis of systematization of relevant literature research, this paper determines the research path of this paper, and expounds the financing and the short selling and short selling on the basis of a simple introduction to the multi transaction and the margin trading system. The liquidity level of business and capital market and the motive force and transmission mode of the price fluctuation are studied. The main conclusions of this paper are as follows: (1) in the system of exchange and financing, financing and short selling system have a significant positive effect on improving the liquidity of China's stock market. The volatility of business, financing and business is more sensitive to capital. Financing, trading and short selling are the way to provide more liquidity to the whole capital market by increasing the volume of new investment for the capital market. But the liquidity of capital market has no significant influence on financing business and margin trading. (2) financing more business is more likely to increase the volatility of the capital market, while the margin trading is contrary to it, which will reduce the volatility of the market and maintain the stability of the market. In addition, the empirical results also show that the exchange mechanism has played a significant positive role in promoting the stability of the stock market. The role of short selling and short selling is still very limited, so its role in reducing the fluctuation of capital market is still very small.
【学位授予单位】：山东工商学院
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51
[Abstract]:In the international capital market, it has been more than a hundred years in the use of financing or margin trading. This mechanism is conducive to the realization of the basic functions of the capital market and an important symbol of the maturity of the capital market. China's A share market has been allowed to do more and prohibit the use of leveraged transactions since 1990, which has led to the market. The mode of the field transaction is single, the systemic risk is difficult to release.2010 years effectively, the financing margin is officially open, but the size and quantity of the short mark are very limited for.2012 years. The system makes the financing make a bigger development and the margin trading business is more developed. There are different views on the liquidity and volatility of the market. At the same time, China's capital market is experiencing a special transition system situation, which is not systematic in the context of China's capital market. Through empirical research, this paper analyzes the impact mechanism and transmission path of the liquidity and price volatility of China's capital market by financing and trading and margin trading, with a view to managing the employees of capital markets, related enterprises and financial institutions. The article provides some constructive suggestions. Based on the relevant research results at home and abroad, on the basis of systematization of relevant literature research, this paper determines the research path of this paper, and expounds the financing and the short selling and short selling on the basis of a simple introduction to the multi transaction and the margin trading system. The liquidity level of business and capital market and the motive force and transmission mode of the price fluctuation are studied. The main conclusions of this paper are as follows: (1) in the system of exchange and financing, financing and short selling system have a significant positive effect on improving the liquidity of China's stock market. The volatility of business, financing and business is more sensitive to capital. Financing, trading and short selling are the way to provide more liquidity to the whole capital market by increasing the volume of new investment for the capital market. But the liquidity of capital market has no significant influence on financing business and margin trading. (2) financing more business is more likely to increase the volatility of the capital market, while the margin trading is contrary to it, which will reduce the volatility of the market and maintain the stability of the market. In addition, the empirical results also show that the exchange mechanism has played a significant positive role in promoting the stability of the stock market. The role of short selling and short selling is still very limited, so its role in reducing the fluctuation of capital market is still very small.
【学位授予单位】：山东工商学院
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51
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