本文選題：融資融券 + 股票市場(chǎng)��； 參考：《安徽財(cái)經(jīng)大學(xué)》2012年碩士論文

【摘要】：2010年3月31日我國(guó)正式推出融資融券業(yè)務(wù),該業(yè)務(wù)的推出徹底打破了我國(guó)股票市場(chǎng)只能買空而不能賣空的單邊格局。融資融券業(yè)務(wù)的推出不僅起到穩(wěn)定市場(chǎng)的作用,還將為券商帶來(lái)重大發(fā)展機(jī)遇。但融資融券業(yè)務(wù)的推出能否有助于提高股票市場(chǎng)和個(gè)股的流動(dòng)性,無(wú)論是對(duì)成熟市場(chǎng)還是新興市場(chǎng)來(lái)說(shuō)都是一個(gè)有待深入研究的問(wèn)題。 本文首先定性地分析了融資融券對(duì)股票市場(chǎng)流動(dòng)性影響的作用機(jī)制。爾后選取自2010年3月31日至2011年7月5日時(shí)間段的34個(gè)樣本數(shù)據(jù),運(yùn)用“事件研究法”分別針對(duì)我國(guó)推出的融資融券業(yè)務(wù)以及試點(diǎn)券商正式運(yùn)營(yíng)對(duì)股票市場(chǎng)和行業(yè)個(gè)股流動(dòng)性影響進(jìn)行了研究。以SCRC行業(yè)分類標(biāo)準(zhǔn)和“事件研究法”的結(jié)論,選擇11只行業(yè)個(gè)股代表,采用VAR模型和Granger因果檢驗(yàn)的方法深入研究了融資買空交易對(duì)股票市場(chǎng)和行業(yè)個(gè)股流動(dòng)性的影響。針對(duì)研究結(jié)果結(jié)合我國(guó)股票市場(chǎng)的現(xiàn)狀,簡(jiǎn)要提出了些許建議。 本文的研究結(jié)論如下： 1、結(jié)合我國(guó)股票市場(chǎng)推出融資融券業(yè)務(wù)時(shí)間相對(duì)較短的現(xiàn)狀,通過(guò)理論分析認(rèn)為融資融券業(yè)務(wù)對(duì)我國(guó)股票市場(chǎng)的流動(dòng)性產(chǎn)生一定的影響,但影響程度有限。 2、采用“事件研究法”對(duì)我國(guó)融資融券業(yè)務(wù)以及試點(diǎn)券商正式運(yùn)營(yíng)對(duì)股票市場(chǎng)以及個(gè)股的流動(dòng)性影響進(jìn)行分析,認(rèn)為融資融券業(yè)務(wù)的推出對(duì)股票市場(chǎng)和個(gè)股的流動(dòng)性都具有一定的提升作用。但試點(diǎn)券商正式運(yùn)營(yíng)對(duì)市場(chǎng)和個(gè)股的流動(dòng)性影響甚微,隨著試點(diǎn)券商批次的增加,其對(duì)流動(dòng)性影響的作用呈減弱趨勢(shì)。融資融券業(yè)務(wù)的推出比試點(diǎn)券商正式運(yùn)營(yíng)對(duì)市場(chǎng)、個(gè)股的流動(dòng)性影響均大。 3、由于我國(guó)融券賣空業(yè)務(wù)交易量占融資融券業(yè)務(wù)總量比重很小,因此重點(diǎn)研究融資買空業(yè)務(wù)對(duì)流動(dòng)性的影響更具有現(xiàn)實(shí)意義。一、我國(guó)融資買空業(yè)務(wù)是影響股票市場(chǎng)流動(dòng)性變化的Granger原因,“中國(guó)中鐵股票”的融資買空業(yè)務(wù)不是該股流動(dòng)性變動(dòng)的Granger原因,11只行業(yè)代表個(gè)股中,有54%的股票拒絕了融資買空業(yè)務(wù)不是該股流動(dòng)性變化的Granger原因的原假設(shè)；二、我國(guó)融資買空業(yè)務(wù)對(duì)市場(chǎng)和行業(yè)個(gè)股流動(dòng)性的影響都比較微弱,該性質(zhì)不僅表現(xiàn)脈沖響應(yīng)函數(shù)中,也表現(xiàn)在方差分解中。無(wú)論是市場(chǎng)流動(dòng)性還是行業(yè)個(gè)股流動(dòng)性,其變動(dòng)都主要來(lái)自于自身的影響。 4、根據(jù)以上實(shí)證結(jié)論分別從制度、監(jiān)管、券商及投資者角度,對(duì)我國(guó)融資融券業(yè)務(wù)的各個(gè)環(huán)節(jié)提出了相關(guān)意見(jiàn)。
[Abstract]:On March 31, 2010, our country formally launched the financing and short selling business, which completely broke the unilateral pattern that the stock market in our country can only buy short and not short. The introduction of margin-financing business not only plays a stabilizing role in the market, but also will bring major development opportunities for securities companies. But whether the launch of margin trading will help increase liquidity in stock markets and individual stocks is an issue that remains to be studied in both mature and emerging markets. Firstly, this paper qualitatively analyzes the mechanism of the effect of margin on stock market liquidity. From March 31, 2010 to July 5, 2011, 34 samples were selected, By using the event Research method, the paper studies the influence of the financing and short selling business and the formal operation of the pilot securities firms on the stock market and the individual stock liquidity of the industry respectively. Based on the conclusion of SCRC industry classification standard and "event study method", 11 representatives of individual stocks in industry are selected, and the effect of short selling on the liquidity of stock market and individual stock is studied by VAR model and Granger causality test. According to the research results and the current situation of China's stock market, some suggestions are put forward briefly. The conclusions of this paper are as follows: 1. According to the current situation of short time of short margin trading in stock market of our country, through theoretical analysis, it is concluded that margin and short margin business has certain influence on liquidity of stock market in our country, but the influence degree is limited. 2. Using the "event Research method" to analyze the liquidity influence of the stock market and the stock market in China, as well as the formal operation of the pilot securities firms. It is believed that the introduction of short-margin financing can enhance the liquidity of both stock market and individual stock. However, the formal operation of the pilot brokerage has little effect on the liquidity of the market and individual stocks. With the increase of the batches of the pilot securities firms, its effect on liquidity tends to weaken. The introduction of margin trading business than the formal operation of the pilot securities companies on the market, the liquidity impact of individual stocks are greater. 3, because the volume of short selling in short selling accounts for a small proportion of the total volume of short selling in China, it is of practical significance to focus on the impact of short selling on liquidity. First, the short financing business in China is the Granger reason that affects the liquidity change of the stock market. The short financing business of China Railway is not the Granger reason for the liquidity change of the stock. 54% of the stocks rejected the original assumption that short financing was not the Granger cause of the change in liquidity of the stock. Second, the impact of short financing on the liquidity of individual stocks in both markets and industries was weak, which not only reflected the impulse response function, It is also shown in variance decomposition. Whether market liquidity or industry individual stock liquidity, their changes are mainly from their own influence. 4. According to the above empirical conclusions, from the system, supervision, securities firms and investors, put forward the relevant opinions on each link of our country's margin and margin business.
【學(xué)位授予單位】：安徽財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

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