【摘要】：自滬深證券交易所1990年成立以來，我國(guó)股票市場(chǎng)的投資品種越來越豐富，投資規(guī)模逐步擴(kuò)大，制度建設(shè)不斷完善，，運(yùn)行機(jī)制日益規(guī)范。盡管如此，高波動(dòng)等問題一直困擾著我國(guó)股市的健康發(fā)展，做空機(jī)制的缺乏是重要原因之一。在國(guó)外成熟證券市場(chǎng)上，融資融券是股市最基本的業(yè)務(wù)之一，理論上它具有平抑股價(jià)波動(dòng)，增加股市流動(dòng)性，滿足投資者多樣化的投資需求等積極效應(yīng)。因此，長(zhǎng)期以來人們期待融資融券交易能夠改變我國(guó)股票市場(chǎng)的“單邊市”格局。我國(guó)融資融券業(yè)務(wù)試點(diǎn)自2010年3月31日正式啟動(dòng)，它是繼我國(guó)股權(quán)分置改革后，對(duì)我國(guó)資本市場(chǎng)發(fā)展影響巨大的一項(xiàng)金融創(chuàng)新，是完善市場(chǎng)運(yùn)行機(jī)制的重要補(bǔ)充，也是我國(guó)資本市場(chǎng)不斷走向成熟的重要標(biāo)志。融資融券的實(shí)際市場(chǎng)效應(yīng)在國(guó)外學(xué)術(shù)界仍存在著相當(dāng)多的爭(zhēng)議，它作為我國(guó)資本市場(chǎng)一項(xiàng)重要的制度創(chuàng)新，對(duì)我國(guó)股票市場(chǎng)具備怎樣的實(shí)際效應(yīng)，更有待于進(jìn)一步的檢驗(yàn)。本文的研究目的是實(shí)證檢驗(yàn)我國(guó)融資融券交易試點(diǎn)期間和轉(zhuǎn)常規(guī)后的市場(chǎng)效應(yīng)，以為如何進(jìn)一步完善融資融券制度和提高市場(chǎng)質(zhì)量提供相關(guān)的實(shí)證依據(jù)。 本文先是闡述了融資融券交易及其市場(chǎng)效應(yīng)的理論基礎(chǔ)，然后選取較具代表性且可量化的Anderson波動(dòng)性指標(biāo)和Amihud非流動(dòng)性指標(biāo)作為衡量市場(chǎng)效應(yīng)的評(píng)價(jià)依據(jù)，運(yùn)用Panel-Data回歸模型、VAR模型、Granger因果關(guān)系檢驗(yàn)、脈沖響應(yīng)函數(shù)分析以及多元線性回歸等方法，分別檢驗(yàn)融資融券對(duì)標(biāo)的股票和對(duì)股市大盤的影響，研究結(jié)果發(fā)現(xiàn)，試點(diǎn)期間融資相對(duì)于融券更能平抑波動(dòng)，增強(qiáng)流動(dòng)性，而轉(zhuǎn)常規(guī)后融券平抑股價(jià)波動(dòng)的功能開始顯現(xiàn)，但兩個(gè)階段的影響系數(shù)均較小，本文據(jù)此為如何完善我國(guó)融資融券制度，促進(jìn)股票市場(chǎng)穩(wěn)定、健康發(fā)展提出相關(guān)對(duì)策建議。
[Abstract]:Since the establishment of Shanghai and Shenzhen Stock Exchange in 1990, the stock market of our country has more and more investment varieties, the scale of investment has gradually expanded, the system construction has been continuously improved, and the operating mechanism has become more and more standardized. However, the problems of high volatility have been puzzling the healthy development of Chinese stock market, and the lack of short-selling mechanism is one of the important reasons. In foreign mature securities market, margin financing is one of the most basic business of stock market. Theoretically, it has the positive effects of stabilizing stock price fluctuation, increasing stock market liquidity and satisfying investors' diversified investment demand. Therefore, it has long been expected that margin trading can change the "one-sided market" pattern in China's stock market. Since March 31, 2010, the pilot project of margin trading in China has been officially launched. It is a financial innovation that has a great impact on the development of capital market after the reform of split share structure in China. It is also an important supplement to the improvement of market operation mechanism. Also is our country capital market unceasingly moves toward the maturity the important symbol. The actual market effect of margin financing is still controversial in foreign academic circles. As an important institutional innovation in China's capital market, what kind of practical effect on the stock market of our country needs to be further tested. The purpose of this paper is to empirically test the market effect of margin trading in China during the trial period and after switching to conventional trading so as to provide relevant empirical evidence for how to further improve the margin trading system and improve the market quality. This paper first expounds the theoretical basis of margin trading and its market effect, and then selects the representative and quantifiable Anderson volatility index and Amihud illiquidity index as the evaluation basis of market effect. By using Panel-Data regression model and Granger causality test, impulse response function analysis and multivariate linear regression, the effects of margin and margin on the underlying stock and the stock market are tested respectively. During the pilot period, the financing can stabilize the fluctuation and enhance the liquidity, but the function of stabilizing the fluctuation of stock price is beginning to appear, but the influence coefficient of the two stages is small. According to this, this article is how to perfect the system of margin and short margin in our country. To promote the stability of the stock market, the healthy development of the relevant countermeasures.
【學(xué)位授予單位】：山東財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F224

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