本文關(guān)鍵詞： 融資融券 流動(dòng)性 波動(dòng)性 VAR模型 ARDL模型　出處：《復(fù)旦大學(xué)》2013年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：中國(guó)融資融券從正式試點(diǎn)實(shí)施至今經(jīng)歷了近三年的快速發(fā)展,隨著允許融資融券標(biāo)的證券范圍的不斷擴(kuò)大、規(guī)模的逐漸增加以及制度的日趨完善,融資融券越來(lái)越成為投資者、監(jiān)管層以及學(xué)術(shù)界關(guān)注的重點(diǎn)。而關(guān)于融資融券對(duì)股票市場(chǎng)的影響到底如何,國(guó)內(nèi)外實(shí)務(wù)界及學(xué)術(shù)界對(duì)該問(wèn)題的爭(zhēng)論一直不絕于耳。因此,本文擬通過(guò)對(duì)融資融券價(jià)格發(fā)現(xiàn)功能、融資融券對(duì)股票市場(chǎng)流動(dòng)性和波動(dòng)性的影響等方面進(jìn)行深入、系統(tǒng)地研究,以期探究中國(guó)推出融資融券機(jī)制對(duì)股票市場(chǎng)所產(chǎn)生的影響。 具體研究上,本文在對(duì)現(xiàn)有理論知識(shí)和文獻(xiàn)研究進(jìn)行了系統(tǒng)回顧和深入分析的基礎(chǔ)上,首先,通過(guò)事件研究法檢驗(yàn)股票在允許融資融券前后價(jià)格是否發(fā)生了顯著變化,以分析中國(guó)融資融券的價(jià)格發(fā)現(xiàn)功能；其次,文章進(jìn)一步從融資和融券兩個(gè)角度,通過(guò)分別構(gòu)建VAR模型和ARDL模型,研究了不同市場(chǎng)狀態(tài)下及全樣本情況下,融資融券對(duì)股票市場(chǎng)流動(dòng)性和波動(dòng)性的影響。最后,基于以上研究和結(jié)論,提出簡(jiǎn)要的政策建議。 本文主要的實(shí)證研究結(jié)論為： 1.融資融券價(jià)格發(fā)現(xiàn)功能的研究結(jié)果表明,在融資融券試點(diǎn)實(shí)施階段,可能由于標(biāo)的證券范圍較小、融資融券規(guī)模比重較低等原因,融資融券的價(jià)格發(fā)現(xiàn)功能尚未得以體現(xiàn)；隨著融資融券標(biāo)的證券范圍的擴(kuò)充,融資融券的價(jià)格發(fā)現(xiàn)功能有所發(fā)揮,但是允許融資融券后,股票價(jià)格的變化方向并不確定,股票價(jià)格顯著上升伴隨的是市場(chǎng)上較強(qiáng)的融資力度,股票價(jià)格顯著下降伴隨的是市場(chǎng)上較強(qiáng)的融券力度。 2.融資融券對(duì)股票市場(chǎng)流動(dòng)性和波動(dòng)性的實(shí)證研究表明,全樣本下,融資交易顯著提高了股市流動(dòng)性、降低了股市波動(dòng)性,融券交易也顯著降低了股市波動(dòng)性,但是與股市流動(dòng)性卻是負(fù)相關(guān)的(在10%的顯著性水平上)。不同市場(chǎng)狀態(tài)下,融資交易在牛市和熊市都能提高股市流動(dòng)性、降低市場(chǎng)波動(dòng)性,但熊市中不是那么顯著,影響的程度也比牛市中的效果弱；融券交易在牛市下顯著提高了股市流動(dòng)性、降低了股市波動(dòng)性,但是在熊市下確是降低了股市流動(dòng)性(雖然并不顯著),對(duì)于波動(dòng)性也沒(méi)有顯著降低的影響。
[Abstract]:China has experienced three years of rapid development from the implementation of the formal pilot. With the continuous expansion of the scope of securities subject to margin financing and short selling, and the gradual increase in scale and system, margin margin has become more and more investors. The focus of attention of the regulatory and academic circles. However, there has been a lot of debate about the impact of margin financing on the stock market, both at home and abroad, as well as in academic circles. This paper intends to make a deep and systematic study on the price discovery function of margin and margin and its influence on the liquidity and volatility of the stock market in order to explore the impact of the mechanism of short margin financing on the stock market in China. On the basis of the systematic review and in-depth analysis of the existing theoretical knowledge and literature, this paper first tests whether the stock price has changed significantly before and after the margin margin is allowed by the event study method. In order to analyze the price discovery function of margin financing and short selling in China. Secondly, from the two angles of financing and margin trading, this paper constructs VAR model and ARDL model respectively, and studies the different market conditions and the whole sample situation. The influence of margin financing on the liquidity and volatility of stock market. Finally, based on the above research and conclusions, a brief policy proposal is put forward. The main conclusions of this paper are as follows:. 1. The research results of the price discovery function of margin and short bond show that the price discovery function of margin and short bond has not been realized in the stage of the pilot implementation of margin and margin because of the small scope of underlying securities and the low proportion of margin and margin. With the expansion of the range of securities that are subject to margin financing, the price discovery function of margin and margin has been brought into play, but the direction of stock price change is uncertain after margin financing and short selling is allowed. The sharp rise in stock price is accompanied by strong financing in the market, and the marked decline in stock price is accompanied by strong margin lending in the market. 2. The empirical study on the liquidity and volatility of stock market by margin trading shows that, under the full sample, the liquidity of the stock market is significantly increased, the volatility of the stock market is reduced, and the volatility of the stock market is significantly reduced by the margin trading. But there is a negative correlation with stock market liquidity (at a significant level of 10%). Under different market conditions, both bull and bear markets can increase market liquidity and reduce market volatility, but less significantly in bear markets. The degree of influence is also weaker than in a bull market, where margin trading significantly increases stock market liquidity and reduces stock market volatility. But in a bear market it does reduce stock market liquidity (though not significantly, nor does it have a significant impact on volatility.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F224;F832.51

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本文編號(hào)：1502770