發(fā)布時間：2018-02-03 16:45

  本文關(guān)鍵詞： 融資融券 標(biāo)的股票 價格波動 反事實路徑　出處：《河北大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：融資融券業(yè)務(wù)的開展結(jié)束了我國股票市場單邊交易的歷史。隨著兩融業(yè)務(wù)的推進(jìn),轉(zhuǎn)融通機制的實施,兩融交易規(guī)則的多次調(diào)整,標(biāo)的股票范圍的不斷擴容,我國融資融券交易機制獲得了長足發(fā)展。但是在股市運行過程中,融資融券是否促進(jìn)了我國股市穩(wěn)定?兩融標(biāo)的股票范圍逐步從主板市場擴容至中小企業(yè)板和創(chuàng)業(yè)板市場,從高市值股票擴容至中小市值股票,在不同市場板塊和不同市值標(biāo)的股票中,融資融券對股價波動性的影響是否一致?2014年3月至2016年2月,我國股票市場依次經(jīng)歷了牛市和熊市的洗禮,融資融券交易機制在其中是否起著推波助瀾的作用?本文將2010年3月31日之后的中國股市劃分為三個階段,分別是震蕩市(2010年3月31日至2014年3月21日)、牛市(2014年3月24日至2015年6月9日)和熊市(2015年6月10日至2016年2月29日)。在各市場周期中,分別選取控制組和實驗組股票,利用政策實施前股價數(shù)據(jù)擬合回歸方程,估計各實驗組股票在假設(shè)沒有實施融資融券交易政策情況下的股價走勢,即反事實股價路徑,進(jìn)而計算出標(biāo)的股票的實際波動率和估計波動率,通過二者的比較,分析在不同市場周期、不同板塊、不同行業(yè)以及不同市值中融資融券交易制度對標(biāo)的股票價格波動性的影響。通過實證分析可知,在震蕩市中,融資融券交易機制在一定程度上抑制了標(biāo)的股票價格波動性,但其效果并不明顯,在牛市和熊市中,融資融券交易機制提高了標(biāo)的股票價格的波動性;在震蕩市中,融資融券交易機制對于標(biāo)的股票價格波動性的抑制,在主板中的效果要好于中小企業(yè)板,在牛市和熊市中,融資融券交易機制對不同市場板塊的影響有所差異,但差異不大;融資融券交易機制對不同行業(yè)標(biāo)的股票價格波動性影響呈現(xiàn)不平衡性,且無明顯規(guī)律;標(biāo)的股票總市值越小,其在不同市場周期中,融資融券交易機制對抑制或提高標(biāo)的股票價格波動性的作用越明顯。根據(jù)我國融資融券交易制度的發(fā)展現(xiàn)狀和實證結(jié)果,本文提出了一些合理化建議。一是建立風(fēng)險動態(tài)監(jiān)管體系,靈活運用兩融監(jiān)管政策;二是加強投資者教育,改善投資者結(jié)構(gòu);三是加快融券機制發(fā)展速度,充分發(fā)揮融券賣空機制作用;四是降低兩融交易費用,提高市場主體參與積極性。
[Abstract]:The development of margin trading ends the history of unilateral trading in China's stock market. With the promotion of the two financial services, the implementation of the transfer mechanism, the regulation of the two financial transactions has been adjusted many times, and the scope of the underlying stock has been continuously expanded. The mechanism of margin trading has made great progress in China. But in the process of stock market operation, does margin trading promote the stability of China's stock market? The scope of the two financial target stocks gradually expanded from the main market to the small and medium-sized enterprises board and the growth enterprise market, from the high market value stock expansion to the small and medium market value stock, in the different market plates and different market value target stocks. Is the impact of margin financing on stock price volatility consistent? From March 2014 to February 2016, China's stock market experienced the baptism of bull market and bear market in turn. In this paper, the Chinese stock market after March 31st 2010 is divided into three stages, namely the shock market (March 31st 2010 to March 21st 2014). Bull markets (March 24th 2014 to June 9th 2015) and bear markets (June 10th 2015 to June 10th 2015) are in various market cycles. Select the control group and experimental group stocks respectively, use the stock price data before the implementation of the policy to fit the regression equation, estimate the stock price trend of each experimental group stock under the assumption that there is no margin trading policy. Namely counterfactual stock price path, and then calculate the actual volatility of the underlying stock and estimated volatility, through the comparison of the two, analysis in different market cycles, different plates. Different industries and different market value margin trading system on the underlying stock price volatility. Through empirical analysis, in the shock market. Margin trading mechanism has restrained the volatility of underlying stock price to a certain extent, but its effect is not obvious. In bull market and bear market, margin trading mechanism increases the volatility of underlying stock price; In the shock market, margin trading mechanism on the underlying stock price volatility inhibition, the effect in the main board is better than the small and medium-sized board, in the bull market and bear market. The influence of margin trading mechanism on different market sectors is different, but the difference is not significant. The influence of margin trading mechanism on the volatility of stock price in different industries is unbalanced and has no obvious regularity. The smaller the total market value of the underlying stock, the smaller it is in different market cycles. The more obvious the effect of margin trading mechanism on restraining or increasing the volatility of underlying stock price. According to the current situation and empirical results of margin trading system in China. Some reasonable suggestions are put forward in this paper. One is to establish a dynamic supervision system of risk, and to apply the policy of "two financial regulation" flexibly; Second, strengthen investor education and improve investor structure; Third, accelerate the development of margin mechanism, fully play the role of short selling mechanism; Fourth, reduce the transaction costs, improve the market participants enthusiasm.
【學(xué)位授予單位】：河北大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.51

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本文編號：1487866