融资融券对A股波动性的影响研究

发布时间：2018-02-09 07:43

本文关键词： 融资融券 A股市场波动性 GARCH模型　出处：《山西财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：融资融券是股票市场重要的多空交易机制，具有套期保值、稳定市场、增加流动性以及价格发现等功能，对于股票市场功能发挥具有不可替代的作用。2010年3月31日，我国推出了融资融券交易机制，随着融资融券的正式启动，A股市场告别了多年的单边做多机制，成为我国证券市场发展的里程碑。但是，在现实中，我国的融资融券交易能否起到熨平市场波动的效果？如果可以平抑市场波动，那么这个影响的程度又如何论文首先对融资融券及股市波动性的概念进行界定，梳理了融资融券影响股市波动性的作用机制，分析了融资融券影响股市波动的制约因素，在此基础上，以我国A股市场融资融券交易及沪深300指数运行的数据为样本，运用OLS回归、格兰杰因果检验、描述性统计分析、GARCH模型等方法进行实证分析，并对实证结果进行解释。研究结果表明：从短期来讲，融资交易的发生使股价指数上涨，但是融券交易对股市波动性的影响不具有显著性，另外，融资、融券与波动性之间分别存在单向的因果关系，即融资交易是股市波动的格兰杰原因，股市波动是融券交易的格兰杰原因，这一结果与我国股票市场的特殊情况有关。就长期而言，通过前后的比较可以发现，融资融券推出后A股市场的波动减小了，但是从实证数据来看，，市场波动减小的幅度不大，说明融资融券还未充分发挥其平抑市场波动的作用。
[Abstract]:Margin financing is an important short-trading mechanism in the stock market. It has the functions of hedging, stabilizing the market, increasing liquidity and finding the price. It plays an irreplaceable role in the function of the stock market. China has introduced the mechanism of margin trading. With the formal launch of margin trading, the A-share market has bid farewell to the long unilateral mechanism for many years, which has become a milestone in the development of China's securities market. However, in reality, the A-share market has become a milestone in the development of the securities market. Can the margin trading in our country have the effect of ironing the fluctuation of the market? If market volatility can be calmed, what is the extent of the impact. Firstly, the paper defines the concepts of margin margin and stock market volatility, combs the mechanism of margin margin affecting stock market volatility, and analyzes the restrictive factors of margin margin affecting stock market volatility. Based on the data of margin trading and CSI 300 index operation in China's A-share market, the empirical analysis is carried out by means of OLS regression, Granger causality test, descriptive statistical analysis and GARCH model, and the empirical results are explained. The results show that: in the short term, the occurrence of financing transactions makes the stock index rise, but the impact of margin trading on the volatility of the stock market is not significant. In addition, there is a one-way causal relationship between financing, margin trading and volatility. That is, financing trading is the Granger cause of stock market fluctuation, and stock market fluctuation is Granger reason of margin trading. This result is related to the special situation of stock market in China. The volatility of A-share market has decreased after the introduction of margin financing, but from the empirical data, the range of market volatility is small, indicating that margin margin has not fully played its role of stabilizing market volatility.
【学位授予单位】：山西财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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