本文選題：融資融券　切入點：市場與個股影響　出處：《上海交通大學(xué)》2013年碩士論文

【摘要】：融資融券自正式進(jìn)入我國證券市場以來歷經(jīng)了兩次擴(kuò)容，目前標(biāo)的股票數(shù)量已經(jīng)占了A股上市股票總數(shù)的1/4，正對我國證券市場產(chǎn)生著深遠(yuǎn)的影響。本文試圖回答關(guān)于融資融券的幾個熱點問題：第一，融資融券對于市場及個股的流動性與波動性究竟有何影響；第二，融資和融券兩項業(yè)務(wù)對于A股市場的影響是否有所不同；第三，市場和個股對于融資融券的反應(yīng)是否有所區(qū)別。 本文根據(jù)融資融券標(biāo)的證券的重大變化，將2009年1月至2013年1月的時間分成三個研究階段，分別開展融資融券在市場層面和個股層面對于波動性和流動性的影響的理論研究與實證研究，并得出了以下結(jié)論： 在市場層面，，融資融券整體而言增加了市場的流動性，抑制了市場的波動性。分別查看融資交易和融券交易對于市場的影響也得出一致的結(jié)論，融資與融券交易都能夠增加市場的流動性，平抑市場的波動性。 在個股層面，我們通過傾向匹配評分法（PSM）構(gòu)建了與經(jīng)篩選后的融資融券實驗組個股一一對應(yīng)的控制組。通過對比實驗組與控制組的回歸結(jié)果，本文發(fā)現(xiàn)實驗組與控制組的波動性都隨著融資融券的發(fā)展減��；而對于流動性兩組得出了不同的結(jié)果，實驗組的流動性下降而控制組的流動性上升，從而為“噪聲交易者”假說提供了新證據(jù)。
[Abstract]:Margin financing has been expanded twice since it entered the securities market in China. At present, the number of target stocks has accounted for 1 / 4 of the total number of A-share listed stocks, which is having a profound impact on the securities market of our country.This paper tries to answer several hot questions about margin and margin: first, how does margin and margin affect the liquidity and volatility of market and individual stock; second, whether the influence of financing and short selling on A share market is different;Third, the market and stocks to margin financing reaction is different.According to the significant changes of securities in margin margin, this paper divides the period from January 2009 to January 2013 into three stages.The theoretical and empirical studies on the impact of margin financing on volatility and liquidity at the market level and the stock level are carried out respectively, and the following conclusions are drawn:At the market level, margin financing increases the liquidity of the market as a whole, and restrains the volatility of the market.It is concluded that both financing and margin trading can increase the liquidity of the market and stabilize the volatility of the market.At the level of individual stock, we construct a one-to-one control group corresponding to each stock of the experimental group.By comparing the regression results between the experimental group and the control group, it is found that the volatility of both the experimental group and the control group decreases with the development of margin and margin.The liquidity of the experimental group decreased while that of the control group increased, thus providing new evidence for the "noise trader" hypothesis.
【學(xué)位授予單位】：上海交通大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51

【參考文獻(xiàn)】

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