【摘要】：2010年3月我國股票市場正式試點(diǎn)融資融券交易制度。融資融券交易近年發(fā)展迅速,標(biāo)的股票經(jīng)過五次擴(kuò)容,目前滬深兩市已經(jīng)約有950只可進(jìn)行融資融券標(biāo)的股。融資融券的推出改變了我國只能單邊買入做多進(jìn)行交易獲利的市場制度。同時也推出了股票市場的信用交易,這也是我國股票市場邁向成熟市場的重要標(biāo)志。融資融券交易的推出逐漸邁入成熟階段。但其對我國股票市場的波動性影響如何,融資融券交易的實(shí)施給股票市場帶來了哪些監(jiān)管的挑戰(zhàn),投資者面對新的交易體制該如何改變交易策略和投資理念,這都是我國股票市場發(fā)展中面臨的重要問題。本文以滬深300指數(shù)代表我國股票市場情況,融資余額和融券余額分別代表融資交易和融券交易。用以上實(shí)際數(shù)據(jù)來研究融資融券交易對股票市場波動性的影響。取樣本區(qū)間為我國融資融券進(jìn)入常規(guī)正常運(yùn)行階段的最新數(shù)據(jù),即2011年11月25日到2015年12月31日為時間跨度,共996個交易日,時間跨度比對我國之前研究的文獻(xiàn)更長。實(shí)證分析了各變量間的相互因果關(guān)系。首先,闡述本文研究的背景,研究背景中發(fā)現(xiàn)研究的價值所在,從而提出本文研究的意義所在。在分析了國內(nèi)外研究現(xiàn)狀的基礎(chǔ)上,提出研究方法與思路。其次,先從理論部分介紹我國融資融券的基本概念、我國融資融券業(yè)務(wù)的發(fā)展歷程以及融資融券交易的特點(diǎn)。并且應(yīng)用經(jīng)濟(jì)學(xué)中需求供給理論推演融資融券對股市波動性影響的作用機(jī)制。接著,在實(shí)證分析方面,先進(jìn)行樣本數(shù)據(jù)的選取和指標(biāo)的選取,選取滬深300指數(shù)、融資余額以及融券余額為原始數(shù)據(jù)。基于理論分析和實(shí)證分析得出研究結(jié)論,本文研究有如下結(jié)論:我國股市波動性自身慣性沖擊加大了我國股票市場的波動性;短期內(nèi)融資買入交易加劇了我國股票市場的波動性;短期內(nèi)融券賣出交易抑制了我國股票市場的波動性。對結(jié)論進(jìn)行分析,提出改善我國融資融券交易的政策建議。
[Abstract]:In March 2010, China's stock market formally pilot margin trading system. Margin trading has developed rapidly in recent years, and the underlying stocks have been expanded five times. At present, there are about 950 stocks available in the Shanghai and Shenzhen stock markets. The introduction of margin has changed the market system in which China can only buy long and make profits. At the same time, the credit trading of stock market is also introduced, which is also an important symbol of our stock market moving towards mature market. The launch of margin trading gradually entered a mature stage. But how does it affect the volatility of the stock market in our country? what regulatory challenges does the implementation of margin trading bring to the stock market? how should investors change their trading strategies and investment ideas in the face of the new trading system? This is our country stock market development in the face of important problems. In this paper, the CSI 300 index is used to represent the situation of China's stock market, and the financing balance and the margin balance represent the financing transaction and the margin trading respectively. Using the above data to study the impact of margin trading on the volatility of the stock market. The sample interval is the latest data of China's margin financing and margin trading into the normal operation stage, that is, the time span from November 25, 2011 to December 31, 2015 is 996 trading days. The time span is longer than that of the previous literatures in China. The causality between variables is analyzed empirically. First, the background of this study and the value of the research are discussed, and the significance of this study is put forward. Based on the analysis of the current research situation at home and abroad, the research methods and ideas are put forward. Secondly, the paper introduces the basic concept of margin trading, the development process of margin trading and the characteristics of margin trading. And use the theory of demand and supply in economics to deduce the mechanism of the influence of margin financing on stock market volatility. Then, in the empirical analysis, we select the sample data and index, select the Shanghai and Shenzhen 300 index, financing balance and margin balance as the original data. Based on the theoretical analysis and empirical analysis, the conclusions of this study are as follows: the volatility of China's stock market has increased the volatility of its own inertia impact; In the short term, the short term financing buying transaction intensifies the volatility of China's stock market, while the short term short selling transaction inhibits the volatility of our country's stock market. The conclusion is analyzed and some policy suggestions are put forward to improve the margin trading in China.
【學(xué)位授予單位】：貴州財經(jīng)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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