融资融券对中国股市波动性与流动性影响的实证研究

发布时间：2018-01-07 20:13

本文关键词：融资融券对中国股市波动性与流动性影响的实证研究　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：融资融券对股票市场的影响一直是理论界与实务界讨论的话题。本文选取从2010年3月到2013年1月三年来的融资融券市场数据作为研究对象,实证分析其对股市波动性与流动性的影响,希望为国内融资融券制度的完善提供借鉴和支持。融资融券业务的开展是深入我国股票市场本质的根本性制度变革,与股改力量相当,是下一轮行情的触发器。本文的实证研究对解决我国融资融券业务存在的信用体系和风险控制等问题具有重要的指导意义,对市场效率的影响也有一定现实意义。本文首先对融资融券在我国发展情况和对股市的影响进行介绍,并提出本文研究视角;随后对现有关于融资融券对股市波动性与流动性影响的学术文献进行归纳综述,以为实证检验融资融券对我国股市的影响奠定基础；在此基础上对比分析了融资融券在世界以及在我国的发展情况,并对融资融券影响股市波动性与流动性的作用机制进行了理论分析；在实证研究部分,本文分别选取了从2010年3月31日到2011年12月5日共408个交易日,以及从2011年12月6日,到2013年1月30日共282个交易日的数据作为样本进行对比分析,并运用统计学中的单位根检验、向量自回归模型、Granger因果检验方程以及脉冲影响分析工具来进行实证研究,得到了相应结论：随着融资融券标的股票数量的增加以及融资融券交易规模的扩大,融资交易能够在降低股市波动性的同时,增加股市的流动性,然而融券交易由于交易规模有限,对股市波动性与流动性没有显著影响；最后,在得到相应结论的基础上,针对即将到来的融资融券标的股票数量的扩容以及转融通机制的推出提出了相应的政策建议,建议在完善监管制度的同时适当放松监管措施,建立有效的保证金制度,并逐步扩大融资融券标的证券范围。本文有以下两点创新之处：一、本文选取了我国融资融券交易自推出以来到2013年1月底为研究期间,是对目前国内研究期间的拓展,并且通过对这两段期间融资融券对股市的影响进行对比分析,运用定性分析和定量分析两种手段,研究了融资融券标的股票数量扩大前后对股市波动性与流动性影响的不同；二、在实证检验“融资融券的推出对股市波动性影响”的问题时,既有文献较多采用GARCH模型的方差方程来反应股市波动性,由于我国融资融券推出时间较短,数据样本有限,采用月标准差的方法减小了样本数,本文采用市场指数的价格波幅来反映股市波动性水平,更具有针对性和适用性。
[Abstract]:The impact of margin trading on the stock market has been discussed in theory and practice. This paper selects the topic from March 2010 to January 2013 three years of margin market data as the research object, the empirical analysis of the impact on the stock market volatility and liquidity, hope to provide reference and support for the improvement of the domestic financial system to carry out margin. Margin business is the fundamental system reform deeply the essence of China's stock market, and reform power, is the next round of market triggers. The empirical research has important guiding significance to solve the problems of China's financing business credit system and risk control problems, also has certain practical significance influence on the market efficiency. Firstly, on the margin in the development of our country and the impact on the stock market, and puts forward the research perspective; then the existing on Financing The margin effect on stock market volatility and liquidity of the academic literature reviews, lay the foundation for the empirical test of margin trading on China's stock market; on the basis of comparative analysis of the margin in the world and the development situation in China, and the margin effect of stock market volatility and liquidity mechanism is discussed theoretical analysis; in the part of empirical research, this article selected from March 31, 2010 to December 2011 5, 408 days, and from December 6, 2011 to January 2013 30, 282 days of data as samples were analyzed, and the use of unit root statistics test, vector autoregression model, Granger causality test and impulse equation impact analysis tools to conduct empirical research, obtained the corresponding conclusion: with the increase in the number of shares underlying margin financing and securities transactions Easy to expand the scale of financing transactions, can reduce the volatility of the stock market at the same time, increase the liquidity of the stock market, however, due to the scale of Trading Margin Trading Co., has no significant impact on stock market volatility and liquidity; finally, based on the obtained results, the number for the upcoming margin underlying stock and expansion the launch of refinancing mechanism to put forward corresponding policy recommendations, recommend appropriate deregulation measures in improving the regulatory system at the same time, the establishment of an effective security system, and gradually expand the scope of the underlying securities margin financing. This paper has two innovations: first, this paper selects the margin trading in China since its launch to the end of January 2013 during the study, it is to expand at home during the study period, and through the two period of the impact of margin trading on the stock market were analyzed by qualitative Two methods of analysis and quantitative analysis, studies the different effects on the stock market volatility and liquidity after expanding the number of margin trading the underlying stock; two, in the empirical test of the margin for stock market volatility influence ", both the variance equation literature more applying GARCH model to the volatility of the stock market reaction in China, due to the introduction of margin trading in a relatively short time, sample data is limited, the method of standard deviation of the samples is reduced, the market price volatility index to reflect the volatility of the stock market level, have more pertinence and applicability.

【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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