本文選題：融資融券交易　切入點：波動性　出處：《首都經(jīng)濟貿(mào)易大學》2017年碩士論文　論文類型：學位論文

【摘要】：我國融資融券交易自2010年3月開始以來,歷經(jīng)6年多時間,已得到了長足的發(fā)展。融資融券交易是否能抑制我國股票市場波動性,對這個問題學界看法不一。本文在梳理現(xiàn)有文獻的基礎(chǔ)上,從標的個股和市場整體兩個角度研究了融資業(yè)務與融券業(yè)務對波動性的影響。首先,利用我國兩融交易五次擴容這一良好外生條件,應用面板數(shù)據(jù)進行四次雙重差分分析,從而探討在我國兩融業(yè)務的漸進發(fā)展中,融資融券對標的個股的波動性影響變化。結(jié)果發(fā)現(xiàn),在前期,融資融券業(yè)務擴容前后標的股票的波動性有所增加,但并不顯著;而在后期,標的股票的波動性在擴容后明顯下降,“抑漲抑跌”效果明顯。其次,根據(jù)不同外部特征對股票市場牛、熊市階段進行劃分,并選取最近一次牛、熊市過程,建立VAR模型,研究融資業(yè)務與融券業(yè)務對市場波動性的不同影響。發(fā)現(xiàn)融資業(yè)務與融券業(yè)務對市場波動性、向上波動、向下波動都起到了抑制性作用。融券業(yè)務作用主要體現(xiàn)在對于向上波動的抑制;而對于向下波動,融資業(yè)務的影響力度大于融券指標。另外,相對來講融券業(yè)務在牛市階段的影響力度大于在熊市,而融資業(yè)務在熊市階段抑制作用更大。這說明,融資業(yè)務“抑跌”作用明顯,支撐了股票價格;而融券業(yè)務的影響則相反,“抑漲”明顯�；谝陨涎芯�,本文認為隨著融資融券業(yè)務的發(fā)展,其政策目標逐漸凸顯。不過仍有必要進一步完善制度建設(shè),促進融資融券業(yè)務均衡發(fā)展。
[Abstract]:Since the beginning of margin trading in China in March 2010, after more than six years, it has made great progress. Whether margin trading can restrain the volatility of China's stock market, On the basis of combing the existing literature, this paper studies the impact of financing business and margin trading on volatility from the perspective of the underlying stock and the market as a whole. This paper makes use of the good exogenous condition of the five expansion of the two financial transactions in China, and applies panel data to carry out four times of double differential analysis, so as to probe into the gradual development of the two financial services in China. The results showed that the volatility of underlying stocks increased before and after the expansion of margin trading, but not significant. The volatility of the underlying stock decreases obviously after the expansion, and the effect is obvious. Secondly, according to the different external characteristics, the stock market bull and bear market stages are divided, and the latest bull, bear market process is selected to establish the VAR model. This paper studies the different influences of financing business and short margin business on market volatility. The effect of margin trading is mainly reflected in the inhibition of upward volatility, while for downward volatility, the impact of financing business is greater than margin trading index. In addition, Comparatively speaking, the influence of margin trading in the bull market is greater than that in the bear market, while the financing business has a more inhibitory effect in the bear market stage, which shows that the financing business has an obvious role of "restraining the fall", which supports the stock price; On the contrary, the influence of margin trading is obvious. Based on the above research, this paper thinks that with the development of margin trading, its policy goal is gradually prominent. However, it is necessary to further improve the system construction. Promote the balanced development of margin business.
【學位授予單位】：首都經(jīng)濟貿(mào)易大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.51

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