融资融券对中国证券市场运行绩效的影响研究

发布时间：2018-03-18 17:34

本文选题：融资融券　切入点：证券市场　出处：《东华大学》2013年硕士论文　论文类型：学位论文

【摘要】：融资融券交易作为一种创新机制引入我国的证券市场,结束了我国证券市场多年的“单边市”运行态势,必然会对我国的证券市场产生深远的影响。究竟融资融券交易对我国证券市场产生了何种影响?其是否发挥了平抑市场波动性,提高市场流动性的基本功能?与此同时,随着融资融券标的证券的增加,融资融券由试点阶段转入常规阶段,“转融通”机制如何发挥作用也受到人们的关注。本文在大量文献阅读的基础上,首先系统概述了融资融券交易制度；然后通过对比研究全球主要的融资融券交易机制,以探讨适合我国国情的融资融券交易模式。随后,本文分别从融资融券对市场波动性、流动性两个角度展开融资融券交易对我国证券市场的冲击效应的理论研究,并以沪深股市的经验数据作为样本,通过0LS模型和Granger因果检验,实证分析了融资融券与沪深股市波动性和流动性的长期关系和因果关系,发现股市处于不同行情时,融资融券与沪深股市波动性和流动性的长期关系发生相应的改变。最后,基于融资融券交易的信用特征,本文探讨了我国融资融券交易的风险控制体系的构建问题。融资融券的授信模式选择、市场影响已成为监管层与投资者的关注重点,该研究成果将为我国证券监管层高效运用融资融券机制,以提升我国证券市场运行绩效的科学化实践提供重要的决策依据,对于实现证券市场的健康、稳定、可持续发展,具有非常重要的理论与现实意义。
[Abstract]:As an innovative mechanism, margin trading has been introduced into China's securities market, which has brought to an end the running situation of "one-sided market" in China's securities market for many years. It will have a profound influence on the securities market of our country. What kind of influence has the margin trading had on the securities market of our country after all? Does it play the basic function of stabilizing market volatility and improving market liquidity? At the same time, with the increase of the underlying securities of margin and margin, margin and margin is changed from the pilot stage to the normal stage, and how to play the role of the "transfer" mechanism is also concerned by people. On the basis of reading a lot of literature, this paper firstly summarizes the trading system of margin and short margin, and then, through the comparative study of the main mechanism of margin trading in the world, discusses the trading mode of margin and short margin that is suitable for the national conditions of our country. This paper studies the impact of margin trading on China's securities market from the perspectives of margin volatility and liquidity, and takes the empirical data of Shanghai and Shenzhen stock markets as samples, through 0LS model and Granger causality test. This paper analyzes the long-term relationship and causality between margin margin and volatility and liquidity of Shanghai and Shenzhen stock markets, and finds that the long-term relationship between margin margin and volatility and liquidity of Shanghai and Shenzhen stock markets changes correspondingly when the stock market is in different prices. Based on the credit characteristics of margin trading, this paper discusses the construction of risk control system of margin trading in China. The choice of credit mode of margin financing and short selling, the market influence has become the focus of attention of regulators and investors, the research results will be efficient use of margin mechanism for the securities regulatory layer in China. It is of great theoretical and practical significance for the realization of healthy, stable and sustainable development of the securities market to provide an important decision basis for the scientific practice of improving the performance of the securities market in our country.
【学位授予单位】：东华大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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