本文關(guān)鍵詞： VAR模型 融資融券 流動(dòng)性 波動(dòng)性　出處：《對(duì)外經(jīng)濟(jì)貿(mào)易大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：自我國2010年3月正式啟動(dòng)融資融券業(yè)務(wù)以來,其對(duì)于我國A股市場(chǎng)的影響一直是相關(guān)領(lǐng)域的熱門研究方向。關(guān)于融資融券業(yè)務(wù)的開展究竟起到穩(wěn)定股價(jià)波動(dòng)還是助漲助跌的作用,至今仍是學(xué)術(shù)界熱議的話題。融資融券業(yè)務(wù)已在成熟的金融市場(chǎng)得到了廣泛的應(yīng)用。一般來說,融資融券交易能夠增強(qiáng)市場(chǎng)的流動(dòng)性、降低市場(chǎng)的波動(dòng)性。業(yè)務(wù)的開展為券商創(chuàng)造更多的利潤而且響應(yīng)了多層次證券市場(chǎng)的需求,但同時(shí)也具有放大風(fēng)險(xiǎn)的負(fù)面效應(yīng)。本文通過2011年至2017年的融資融券交易日數(shù)據(jù)以及滬深300指數(shù)數(shù)據(jù),選取了波動(dòng)性和流動(dòng)兩個(gè)指標(biāo),通過VAR模型分析來研究融資融券對(duì)我國股票市場(chǎng)的影響。在2012年年底,轉(zhuǎn)融通試點(diǎn)的的出臺(tái)為增加了證券公司資金以及證券來源,為證券公司開展融資融券業(yè)務(wù)提供了資源。融資融券的發(fā)展是與市場(chǎng)的制度和政策密切相關(guān)的。在2015年8月4日,融券規(guī)則的改變使得融券業(yè)務(wù)發(fā)展的形勢(shì)又發(fā)生了改變。經(jīng)過對(duì)這三個(gè)重要的時(shí)期進(jìn)行階段劃分,并進(jìn)行VAR模型分析,發(fā)現(xiàn)雖然融資融券對(duì)流動(dòng)性和波動(dòng)性都有顯著的影響,但是顯著程度和影響結(jié)果不同。通過分析得到開放融資融券業(yè)務(wù)有利于流動(dòng)性增加,波動(dòng)性減少,而限制融資融券業(yè)務(wù)會(huì)起到流動(dòng)性下降,波動(dòng)性增加的結(jié)論。文章研究了導(dǎo)致這一現(xiàn)象的原因,并就如何充分發(fā)揮融資融券的在股票市場(chǎng)中的價(jià)格發(fā)現(xiàn)功能及減少波動(dòng)給出了建議。
[Abstract]:Since March 2010, our country officially started the financing and short margin business, Its impact on China's A-share market has always been a hot research direction in related fields. On whether the development of margin trading has played a role in stabilizing stock price fluctuations or helping to help rise and fall. It is still a hot topic in academia. Margin trading has been widely used in mature financial markets. Generally speaking, margin trading can enhance the liquidity of the market. Reduce market volatility. Business development creates more profits for securities firms and responds to the needs of the multi-layered securities market. However, it also has the negative effect of magnifying risk. Through the trading date of margin trading day from 2011 to 2017 and the data of Shanghai and Shenzhen 300 index, this paper selects two indexes of volatility and current. Through the analysis of VAR model, this paper studies the influence of margin financing on China's stock market. At the end of 2012, the introduction of the transposing trial increased the funds of securities companies as well as the sources of securities. It provides resources for securities companies to carry out margin trading. The development of margin financing is closely related to the market system and policy. In August 4th 2015, The change of margin rules has changed the situation of the development of margin trading. By dividing the three important periods and analyzing the VAR model, it is found that margin lending has a significant impact on liquidity and volatility. But the degree of significance and the result of influence are different. Through the analysis, it is found that open margin business is beneficial to increase liquidity and reduce volatility, while limiting margin and margin business will decrease liquidity. This paper studies the causes of this phenomenon and gives some suggestions on how to give full play to the price discovery function of margin and margin in the stock market and to reduce the volatility.
【學(xué)位授予單位】：對(duì)外經(jīng)濟(jì)貿(mào)易大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.51

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