本文選題：融資融券 + 證券市場　； 參考：《南京大學》2014年碩士論文

【摘要】：2010年我國融資融券試點建立,我國的融資融券交易獲得了迅速發(fā)展,融資融券的重要地位日益顯現(xiàn)。我國的證券市場具有高換手率而流動性不足的特點,市場扭曲較為嚴重,投機性較強。能否合理利用融資融券機制和其保證金制度這一杠桿,增強市場的流動性,抑制波動性和泡沫,一直是學界爭論的焦點,這一問題的研究也對我國融資融券制度的實施具有重大的現(xiàn)實意義。對于融資融券及保證金制度對證券市場的作用,學界持有不同的觀點。有些學者持樂觀態(tài)度,認為融資融券能夠造福證券市場；而有些學者認為融資融券的實施,反而會“助長殺跌”,惡化證券市場的環(huán)境；也有觀點認為,沒有明顯的證據(jù)表明融資融券對證券市場有正向或負向作用。而對于保證金能否作為調(diào)控杠桿控制融資融券交易及市場運行情況,學者們也有相應的三種不同觀點。傳統(tǒng)上,實證方法一直是經(jīng)濟學研究的主要方法。而在近年發(fā)展中,新興的實驗研究方法以其可控制性、可重復性等優(yōu)點,體現(xiàn)出獨特的經(jīng)濟學研究優(yōu)勢,并逐步成為經(jīng)濟學研究的重要方法。本文希望運用實驗研究方法對這一議題進行實驗研究,為已有的實證研究提供有力的補充。同時,目前實驗研究大多關注了融資融券制度對證券市場的影響,而保證金制度研究仍舊是一個空白。而我國的實驗研究剛剛起步,還未涉及到融資融券這一領域。因此,本研究希望能夠填補這一空白領域。本文提出了四個猜想,對實驗結果進行了展望。接著,我們借鑒Smith的經(jīng)典實驗制度,招募被試,模擬真實證券市場,進行實驗,包括無融資融券、有融資融券、融券保證金比例上調(diào)、融資保證金比例上調(diào)和設置維持擔保比例等五個場景。本文運用了描述統(tǒng)計、獨立分布t檢驗和多元回歸分析等方法對實驗數(shù)據(jù)進行了比較分析。通過數(shù)據(jù)分析,本文有如下幾個結論：首先,融資融券制度能夠有效地提升市場的流動性,降低市場平均價格水平,抑制股價泡沫；其次,保證金制度是對融資融券和證券市場進行調(diào)控的有效工具,融資保證金上調(diào)和融券保證金上調(diào)能夠有效地降低市場的波動性,但會使市場流動性受到損失；最后,維持擔保比例會使市場流動性下降,推動股價上升�；诒疚牡难芯拷Y論和中國融資融券交易發(fā)展現(xiàn)狀,本文從三個方面提出了相應的政策建議,包括：第一,完善融資融券機制,促進融資融券交易協(xié)調(diào)發(fā)展；第二,合理利用保證金杠桿,調(diào)控融資融券發(fā)展；第三,建立融資融券風險控制體系,控制融資融券風險。
[Abstract]:In 2010, China's margin trading was developed rapidly, and the important position of margin and margin was increasingly apparent.China's securities market is characterized by high turnover rate and lack of liquidity.Whether we can reasonably use the leverage of margin mechanism and margin system, enhance the liquidity of the market, restrain volatility and bubble, has always been the focus of debate in academic circles.The research on this issue is of great practical significance to the implementation of margin and margin system in China.Scholars hold different views on the role of margin and margin system in securities market.Some scholars are optimistic that margin lending can benefit the securities market, while others believe that the implementation of margin lending will instead "contribute to the killing of the decline" and worsen the environment of the securities market; others also hold that the implementation of margin lending will "contribute to the killing of the decline" and worsen the environment of the securities market.There is no clear evidence that margin lending has a positive or negative effect on the securities market.As to whether margin can be used as a lever to control margin trading and market operation, scholars also have three different views.Traditionally, the empirical method has been the main method of economic research.In recent years, the new experimental research methods, with the advantages of controllability and repeatability, embody the unique advantages of economic research, and gradually become an important method of economic research.This paper hopes to use the experimental research method to carry on the experimental research to provide the powerful supplement for the existing empirical research.At the same time, most of the experimental researches focus on the influence of margin system on securities market, but margin system is still a blank.However, the experimental research in our country has just started, and it has not been involved in the field of margin and short-margin.Therefore, this study hopes to fill this gap.In this paper, four conjectures are put forward and the experimental results are forecasted.Then, we draw lessons from Smith's classical experimental system, recruit participants, simulate the real securities market, conduct experiments, including no margin margin, margin margin, margin margin ratio increase,Financing margin ratio increase and set up to maintain the guarantee ratio and other five scenarios.In this paper, descriptive statistics, independent distribution t-test and multivariate regression analysis are used to compare and analyze the experimental data.Through the data analysis, this paper has the following conclusions: first, margin financing system can effectively enhance the liquidity of the market, reduce the average price level of the market, restrain the stock price bubble; secondly,Margin system is an effective tool to regulate margin margin and securities market. Raising margin margin and margin margin raising margin can effectively reduce the volatility of the market, but it will make the market liquidity lose.Maintaining the guarantee ratio will reduce liquidity in the market and drive up the share price.Based on the conclusion of this paper and the current situation of margin trading in China, this paper puts forward the corresponding policy recommendations from three aspects: first, to improve the mechanism of margin trading, promote the coordinated development of margin trading; second,Third, establish the risk control system of margin margin to control margin risk.
【學位授予單位】：南京大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51

【參考文獻】

相關期刊論文 前4條

1 王鑫;朱曦濟;陳文杰;;對我國融資融券機制下合理保證金比例的研究[J];國際金融;2011年12期

2 馮玉梅;陳璇;王亞男;;融資融券對標的股票價格變化影響的實證研究[J];山東財政學院學報;2012年03期

3 黃洋;李宏泰;羅樂;唐涯;;融資融券交易與市場價格發(fā)現(xiàn)——基于盈余公告漂移的實證分析[J];上海金融;2013年02期

4 楊曉蘭;金雪軍;;基于實驗經(jīng)濟學方法的證券市場信息有效性研究[J];浙江大學學報(人文社會科學版);2005年06期

相關碩士學位論文 前1條

1 李毓剛;證券信用交易監(jiān)管法律制度研究[D];復旦大學;2008年

，

本文編號：1756989