论融券卖空机制对A股市场波动性的影响及其风险防范

发布时间：2018-04-10 00:29

本文选题：融券卖空机制　切入点：市场波动性　出处：《复旦大学》2013年硕士论文

【摘要】：我国A股市场融资融券试点于2010年开闸,标志着信用交易制度引入我国,填补了长期以来,我国证券市场只能单向做多,不能通过卖空来获利的制度空白。卖空是成熟资本市场基础性的交易机制。它为市场提供了自我纠正的手段,有利于改善流动性,提高市场效率,改变了我国证券市场长期以来单边市的局面。在丰富了投资者交易方式的同时,也改善了券商经纪业务的盈利模式。融资融券试点转常规后,市场规模快速发展。随着转融通尤其是转融券的推出,融券品种、券源规模及市场融券余额都会大幅增长,卖空机制对A股的影响力日益加强。在此背景下,本文尝试分析融券卖空机制对A股市场波动性的影响,并对卖空机制的政策监管和风险防范提出建议。论文写作思路及结构安排如下：引言部分简要介绍了论文的选题意义、研究途径、可能的创新以及局限性。第一章是对学界现有卖空机制研究成果的文献综述和评价,从正反两方面提炼出国内外学者的学术观点,重点聚焦于卖空机制对市场波动性的具体影响。笔者在简要评价这些观点的同时,也会提出自己的见解。第二章阐述了境外证券市场卖空机制的发展历程。从卖空交易的起源开始,逐渐演进到对发达资本市场卖空机制的概述,同时提及新兴市场卖空交易的发展,最后总结了海外市场的实践经验及教训。第三章对A股市场融券交易的现状进行了具体分析。指出我国融券交易目前呈现出业务规模迅速增长、信用交易总量和余额占比不高、融资、融券业务发展不平衡等特点,并分析了现行规则下卖空机制存在的发展瓶颈与障碍。第四章重点论述卖空机制的风险及其对市场波动性影响的机制分析。内容包括卖空交易的风险识别与分类、卖空机制对于市场波动性的作用机理。第五章对融券卖空如何影响A股市场波动性做了实证分析。运用了三种研究方法,从不同角度研究了卖空对A股波动性的影响,最后对实证结果进行了阐述。第六章为本文的结论和政策建议。实证结论是目前卖空交易规模的迅速增长,并没有显著加大A股收益率的波动性。卖空机制推出后,A股市场的整体波动性反而有所降低。但是,大面积卖空会导致系统性风险扩散和深化,因此卖空风险的防范,重点在于建立应对金融危机和突发利空的风险应急机制。同时,监管部门应完善融资融券相关制度,加强卖空信息披露,提高卖空交易的透明度。此外,亟待完善A股转融通制度,降低融券交易成本,从而健全融券卖空机制。
[Abstract]:The A share market of our country opened the gate in 2010, which marked the introduction of credit trading system into our country, which filled the system blank that the securities market of our country can only do long in one direction, but can not make profits through short selling.Short selling is the basic trading mechanism of mature capital market.It provides the self-correcting means for the market, helps to improve the liquidity, enhances the market efficiency, and changes the situation of our country's securities market which has long been a one-sided market.At the same time, it also improves the profit model of brokerage business.Margin trading pilot to conventional, market scale rapid development.With the introduction of transposing, especially for short securities, the variety, size and market balance of short selling will increase significantly, and the influence of short selling mechanism on A shares will be strengthened day by day.Under this background, this paper tries to analyze the impact of short selling mechanism on the volatility of A share market, and puts forward some suggestions on the policy supervision and risk prevention of short selling mechanism.The ideas and structure of the thesis are as follows:The introduction briefly introduces the significance, research approaches, possible innovations and limitations of the thesis.The first chapter is a literature review and evaluation of the current research results of short selling mechanism in academic circles. It abstracts the academic views of domestic and foreign scholars from both positive and negative aspects, focusing on the specific impact of short selling mechanism on market volatility.In brief evaluation of these views, the author will also put forward their own views.The second chapter describes the development of short-selling mechanism in overseas securities market.From the origin of short selling to the overview of short selling mechanism in developed capital markets, the development of short selling in emerging markets is mentioned, and the practical experience and lessons of overseas markets are summarized.Chapter three analyzes the current situation of short-margin trading in A-share market.This paper points out the characteristics of the short selling mechanism in China, such as the rapid growth of the business scale, the low proportion of the total amount and the balance of the credit transaction, the unbalanced development of the financing and the short selling business, and analyzes the bottlenecks and obstacles in the development of the short selling mechanism under the current rules.Chapter four mainly discusses the risk of short-selling mechanism and its influence on market volatility.The content includes the risk identification and classification of short selling, and the mechanism of short selling on market volatility.Chapter five makes an empirical analysis on how short selling affects volatility of A-share market.Using three research methods, this paper studies the impact of short selling on A-share volatility from different angles, and finally expounds the empirical results.The sixth chapter is the conclusion and policy suggestion of this paper.The empirical conclusion is that the rapid growth of short selling scale has not significantly increased the volatility of A-share yield.Short-selling mechanism after the introduction, A-share market volatility has been reduced overall.However, a large area of short selling will lead to the spread and deepening of systemic risk, so the prevention of short selling risk lies in the establishment of risk emergency mechanism to deal with financial crisis and sudden bad news.At the same time, regulators should perfect the system of short selling, strengthen the disclosure of short selling information and improve the transparency of short selling.In addition, it is urgent to improve the A-share transfer system and reduce the trading cost of short-selling securities.
【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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