轉(zhuǎn)融通下融資融券對A股流動性和波動性的影響研究
發(fā)布時間：2018-07-24 17:52
【摘要】：在國際資本市場上,利用融資或融券進行投資交易已經(jīng)有百余年的歷史。該機制有助于資本市場基本功能的實現(xiàn),也是資本市場邁向成熟化的重要標志。我國A股市場自從1990年開始一直是只允許做多且禁止利用杠桿交易的,這導致了市場交易方式單一、系統(tǒng)性風險難以有效釋放。2010年,融資融券正式開放,但可做空標的的規(guī)模和數(shù)量都十分有限。2012年,轉(zhuǎn)融通制度讓融資做多和融券做空交易業(yè)務有了更大的發(fā)展。但學界針對融資做多業(yè)務和融券做空業(yè)務制度對資本市場的流動性和波動性的影響看法不一;同時,中國資本市場正經(jīng)歷著特殊的轉(zhuǎn)型制度情境,對于中國資本市場情境下的相關(guān)研究并不系統(tǒng)。轉(zhuǎn)融通下融資做多交易和融券賣空交易對證券市場的交易波動性水平以及流動程度起到什么樣的作用還有待進一步的研究。本文通過實證研究具體分析轉(zhuǎn)融通制度下融資做多交易和融券做空交易對我國資本市場的流動性和價格震蕩幅度的影響機制和傳導路徑,以期為資本市場投資交易從業(yè)人員、相關(guān)企業(yè)和金融機構(gòu)管理人員提供一些有建設(shè)性的建議。本文基于海內(nèi)外相關(guān)研究成果,在對有關(guān)文獻研究系統(tǒng)化梳理的基礎(chǔ)上,從中確定本文的研究路徑,并在對融資做多交易和融券賣空交易制度簡單介紹的基礎(chǔ)上闡述了轉(zhuǎn)融通下融資做多業(yè)務和融券賣空業(yè)務與資本市場的流動性水平以及價格波動程度的作用動因以及傳導方式,并分別展開研究。本文主要研究結(jié)論如下:(1)在轉(zhuǎn)融通制度下融資做多和融券賣空制度對提升我國股票市場流動性起到顯著的正面效應。同時,相對于融券做空業(yè)務,融資做多業(yè)務的波動對資本更加敏感,融資做多交易和融券賣空交易就是通過為資本市場增加新投資交易量的方式從而為整個資本市場提供更多的流動性。但是資本市場流動性對融資做多業(yè)務和融券做空業(yè)務的影響無顯著作用。(2)融資做多業(yè)務更易加大資本市場的波動幅度,而融券做空業(yè)務則與之相反,其會減小市場的波動幅度并且有利于維持市場的穩(wěn)定。另外,實證結(jié)果也表明,轉(zhuǎn)融通機制對促進股市的穩(wěn)定性起到了顯著的正向作用,然而在擴大融資做多和融券做空業(yè)務規(guī)模方面的作用依舊十分有限,因此其對資本市場波動幅度減小的作用仍然很小。
[Abstract]:In the international capital market, it has been more than a hundred years in the use of financing or margin trading. This mechanism is conducive to the realization of the basic functions of the capital market and an important symbol of the maturity of the capital market. China's A share market has been allowed to do more and prohibit the use of leveraged transactions since 1990, which has led to the market. The mode of the field transaction is single, the systemic risk is difficult to release.2010 years effectively, the financing margin is officially open, but the size and quantity of the short mark are very limited for.2012 years. The system makes the financing make a bigger development and the margin trading business is more developed. There are different views on the liquidity and volatility of the market. At the same time, China's capital market is experiencing a special transition system situation, which is not systematic in the context of China's capital market. Through empirical research, this paper analyzes the impact mechanism and transmission path of the liquidity and price volatility of China's capital market by financing and trading and margin trading, with a view to managing the employees of capital markets, related enterprises and financial institutions. The article provides some constructive suggestions. Based on the relevant research results at home and abroad, on the basis of systematization of relevant literature research, this paper determines the research path of this paper, and expounds the financing and the short selling and short selling on the basis of a simple introduction to the multi transaction and the margin trading system. The liquidity level of business and capital market and the motive force and transmission mode of the price fluctuation are studied. The main conclusions of this paper are as follows: (1) in the system of exchange and financing, financing and short selling system have a significant positive effect on improving the liquidity of China's stock market. The volatility of business, financing and business is more sensitive to capital. Financing, trading and short selling are the way to provide more liquidity to the whole capital market by increasing the volume of new investment for the capital market. But the liquidity of capital market has no significant influence on financing business and margin trading. (2) financing more business is more likely to increase the volatility of the capital market, while the margin trading is contrary to it, which will reduce the volatility of the market and maintain the stability of the market. In addition, the empirical results also show that the exchange mechanism has played a significant positive role in promoting the stability of the stock market. The role of short selling and short selling is still very limited, so its role in reducing the fluctuation of capital market is still very small.
【學位授予單位】：山東工商學院
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.51
[Abstract]:In the international capital market, it has been more than a hundred years in the use of financing or margin trading. This mechanism is conducive to the realization of the basic functions of the capital market and an important symbol of the maturity of the capital market. China's A share market has been allowed to do more and prohibit the use of leveraged transactions since 1990, which has led to the market. The mode of the field transaction is single, the systemic risk is difficult to release.2010 years effectively, the financing margin is officially open, but the size and quantity of the short mark are very limited for.2012 years. The system makes the financing make a bigger development and the margin trading business is more developed. There are different views on the liquidity and volatility of the market. At the same time, China's capital market is experiencing a special transition system situation, which is not systematic in the context of China's capital market. Through empirical research, this paper analyzes the impact mechanism and transmission path of the liquidity and price volatility of China's capital market by financing and trading and margin trading, with a view to managing the employees of capital markets, related enterprises and financial institutions. The article provides some constructive suggestions. Based on the relevant research results at home and abroad, on the basis of systematization of relevant literature research, this paper determines the research path of this paper, and expounds the financing and the short selling and short selling on the basis of a simple introduction to the multi transaction and the margin trading system. The liquidity level of business and capital market and the motive force and transmission mode of the price fluctuation are studied. The main conclusions of this paper are as follows: (1) in the system of exchange and financing, financing and short selling system have a significant positive effect on improving the liquidity of China's stock market. The volatility of business, financing and business is more sensitive to capital. Financing, trading and short selling are the way to provide more liquidity to the whole capital market by increasing the volume of new investment for the capital market. But the liquidity of capital market has no significant influence on financing business and margin trading. (2) financing more business is more likely to increase the volatility of the capital market, while the margin trading is contrary to it, which will reduce the volatility of the market and maintain the stability of the market. In addition, the empirical results also show that the exchange mechanism has played a significant positive role in promoting the stability of the stock market. The role of short selling and short selling is still very limited, so its role in reducing the fluctuation of capital market is still very small.
【學位授予單位】：山東工商學院
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.51
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