本文關(guān)鍵詞： 融資交易 融券交易 深圳中小板 波動(dòng)性　出處：《廣西大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：2010年3月31日,我國(guó)證券市場(chǎng)正式引入融資融券交易機(jī)制,這也是我國(guó)證券發(fā)展史上的一個(gè)重要的里程碑時(shí)刻。對(duì)我國(guó)股市運(yùn)行效率能否隨著融資融券業(yè)務(wù)的開展得到有效提高,學(xué)術(shù)界仍存在著爭(zhēng)議。三年來,融資融券交易得到了飛速的發(fā)展。隨著標(biāo)的股票的范圍不斷擴(kuò)大,越來越多的深圳中小板塊股票加入到融資融券標(biāo)的股票的大名單中。融資融券交易對(duì)深圳中小板股票市場(chǎng)和標(biāo)的股票的影響究竟怎樣?這是一個(gè)開展融資融券業(yè)務(wù)值得關(guān)注的問題。 本文將從深圳中小板股票市場(chǎng)入手研究融資融券交易機(jī)制對(duì)深圳中小板股票波動(dòng)性的影響。首先,提出了本文所要研究的主要問題,研究方法,研究思路和結(jié)構(gòu)安排。在回顧了國(guó)內(nèi)外的理論基礎(chǔ)上,提出本文的研究思路。其次,在本文的理論部分,詳細(xì)介紹了融資融券交易對(duì)股票波動(dòng)性的作用機(jī)制。在實(shí)證部分,針對(duì)于融資融券對(duì)中小板股票市場(chǎng)影響分析,首先通過采用Garch (1,1)模型估計(jì)了深圳中小板指數(shù)的波動(dòng)性,然后基于向量自回歸理論(VAR),通過VAR方程估計(jì)、Granger因果檢驗(yàn)、脈沖響應(yīng)以及方差分解驗(yàn)證融資融券業(yè)務(wù)是否具有穩(wěn)定深圳中小板股票市場(chǎng)波動(dòng)性的效應(yīng)。在研究融資融券業(yè)務(wù)對(duì)標(biāo)的股票的波動(dòng)性的影響中,采用引入時(shí)間虛擬變量的Garch模型,通過擬合融資融券推出前與推出后一年的深圳中小板標(biāo)的股票的不同波動(dòng)性作出比較,考察融資融券業(yè)務(wù)推出后對(duì)標(biāo)的股票的影響情況。得出了如下結(jié)論：(1)深圳中小板股票市場(chǎng)的融資和融券業(yè)務(wù)增加了股票市場(chǎng)的波動(dòng)性,與一般理論假設(shè)相反,但是總體而言影響甚微。(2)融資融券業(yè)務(wù)對(duì)深圳中小板標(biāo)的股票的波動(dòng)性也存在增強(qiáng)作用,但是作用效果較小。最后,對(duì)全文進(jìn)行總結(jié)并得出相關(guān)結(jié)論,融資融券對(duì)深圳中小板股票市場(chǎng)和個(gè)股的波動(dòng)性存在一定影響,根據(jù)研究結(jié)論并結(jié)合現(xiàn)實(shí)對(duì)股票市場(chǎng)提出相關(guān)建議。
[Abstract]:In March 31st 2010, China's securities market formally introduced the mechanism of margin trading. This is also an important milestone in the history of China's securities development. There is still controversy over whether the efficiency of China's stock market can be effectively improved with the development of margin trading business. Margin trading has developed rapidly. As the range of underlying stocks continues to expand, More and more small and medium-sized stocks in Shenzhen join the list of stocks with margin and short margin. How does margin trading affect the stock market and underlying stocks of Shenzhen small and medium-sized board? This is a financing margin business worthy of attention. This paper will study the influence of margin trading mechanism on the volatility of Shenzhen small and medium board stock market from the perspective of Shenzhen small and medium board stock market. Firstly, the main problems and research methods of this paper are put forward. On the basis of reviewing the theories at home and abroad, this paper puts forward the research ideas. Secondly, in the theoretical part of this paper, the mechanism of margin trading on stock volatility is introduced in detail. Based on the analysis of the influence of margin and margin on the stock market of small and medium-sized boards, the volatility of Shenzhen small and medium-sized board index is estimated by using Garch model, then based on the theory of vector autoregressive, the Granger causality test is estimated by VAR equation. Impulse response and variance decomposition verify whether margin trading has the effect of stabilizing the volatility of Shenzhen small and medium board stock market. In this paper, the Garch model with time virtual variable is used to compare the volatility of the underlying stocks of Shenzhen small and medium-sized board before and one year after the introduction of margin financing and short selling. This paper investigates the influence of margin trading on the underlying stocks, and draws the following conclusion: 1) the financing and short selling in Shenzhen small and medium board stock market increases the volatility of the stock market, which is contrary to the general theoretical assumption. However, the overall impact of margin trading on Shenzhen small and medium board stock volatility is also enhanced, but the effect is small. Finally, the full text is summarized and relevant conclusions are drawn. Margin financing has a certain impact on the volatility of Shenzhen small and medium board stock market and individual stocks. Based on the conclusions of the research and combined with the reality of the stock market, the paper puts forward some relevant suggestions to the stock market.
【學(xué)位授予單位】：廣西大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51

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本文編號(hào)：1513213