本文選題：融券賣空機(jī)制　切入點(diǎn)：市場波動(dòng)性　出處：《復(fù)旦大學(xué)》2013年碩士論文

【摘要】：我國A股市場融資融券試點(diǎn)于2010年開閘,標(biāo)志著信用交易制度引入我國,填補(bǔ)了長期以來,我國證券市場只能單向做多,不能通過賣空來獲利的制度空白。 賣空是成熟資本市場基礎(chǔ)性的交易機(jī)制。它為市場提供了自我糾正的手段,有利于改善流動(dòng)性,提高市場效率,改變了我國證券市場長期以來單邊市的局面。在豐富了投資者交易方式的同時(shí),也改善了券商經(jīng)紀(jì)業(yè)務(wù)的盈利模式。 融資融券試點(diǎn)轉(zhuǎn)常規(guī)后,市場規(guī)模快速發(fā)展。隨著轉(zhuǎn)融通尤其是轉(zhuǎn)融券的推出,融券品種、券源規(guī)模及市場融券余額都會(huì)大幅增長,賣空機(jī)制對A股的影響力日益加強(qiáng)。在此背景下,本文嘗試分析融券賣空機(jī)制對A股市場波動(dòng)性的影響,并對賣空機(jī)制的政策監(jiān)管和風(fēng)險(xiǎn)防范提出建議。論文寫作思路及結(jié)構(gòu)安排如下： 引言部分簡要介紹了論文的選題意義、研究途徑、可能的創(chuàng)新以及局限性。 第一章是對學(xué)界現(xiàn)有賣空機(jī)制研究成果的文獻(xiàn)綜述和評價(jià),從正反兩方面提煉出國內(nèi)外學(xué)者的學(xué)術(shù)觀點(diǎn),重點(diǎn)聚焦于賣空機(jī)制對市場波動(dòng)性的具體影響。筆者在簡要評價(jià)這些觀點(diǎn)的同時(shí),也會(huì)提出自己的見解。 第二章闡述了境外證券市場賣空機(jī)制的發(fā)展歷程。從賣空交易的起源開始,逐漸演進(jìn)到對發(fā)達(dá)資本市場賣空機(jī)制的概述,同時(shí)提及新興市場賣空交易的發(fā)展,最后總結(jié)了海外市場的實(shí)踐經(jīng)驗(yàn)及教訓(xùn)。 第三章對A股市場融券交易的現(xiàn)狀進(jìn)行了具體分析。指出我國融券交易目前呈現(xiàn)出業(yè)務(wù)規(guī)模迅速增長、信用交易總量和余額占比不高、融資、融券業(yè)務(wù)發(fā)展不平衡等特點(diǎn),并分析了現(xiàn)行規(guī)則下賣空機(jī)制存在的發(fā)展瓶頸與障礙。 第四章重點(diǎn)論述賣空機(jī)制的風(fēng)險(xiǎn)及其對市場波動(dòng)性影響的機(jī)制分析。內(nèi)容包括賣空交易的風(fēng)險(xiǎn)識(shí)別與分類、賣空機(jī)制對于市場波動(dòng)性的作用機(jī)理。 第五章對融券賣空如何影響A股市場波動(dòng)性做了實(shí)證分析。運(yùn)用了三種研究方法,從不同角度研究了賣空對A股波動(dòng)性的影響,最后對實(shí)證結(jié)果進(jìn)行了闡述。 第六章為本文的結(jié)論和政策建議。實(shí)證結(jié)論是目前賣空交易規(guī)模的迅速增長,并沒有顯著加大A股收益率的波動(dòng)性。賣空機(jī)制推出后,A股市場的整體波動(dòng)性反而有所降低。但是,大面積賣空會(huì)導(dǎo)致系統(tǒng)性風(fēng)險(xiǎn)擴(kuò)散和深化,因此賣空風(fēng)險(xiǎn)的防范,重點(diǎn)在于建立應(yīng)對金融危機(jī)和突發(fā)利空的風(fēng)險(xiǎn)應(yīng)急機(jī)制。同時(shí),監(jiān)管部門應(yīng)完善融資融券相關(guān)制度,加強(qiáng)賣空信息披露,提高賣空交易的透明度。此外,亟待完善A股轉(zhuǎn)融通制度,降低融券交易成本,從而健全融券賣空機(jī)制。
[Abstract]:The A share market of our country opened the gate in 2010, which marked the introduction of credit trading system into our country, which filled the system blank that the securities market of our country can only do long in one direction, but can not make profits through short selling.Short selling is the basic trading mechanism of mature capital market.It provides the self-correcting means for the market, helps to improve the liquidity, enhances the market efficiency, and changes the situation of our country's securities market which has long been a one-sided market.At the same time, it also improves the profit model of brokerage business.Margin trading pilot to conventional, market scale rapid development.With the introduction of transposing, especially for short securities, the variety, size and market balance of short selling will increase significantly, and the influence of short selling mechanism on A shares will be strengthened day by day.Under this background, this paper tries to analyze the impact of short selling mechanism on the volatility of A share market, and puts forward some suggestions on the policy supervision and risk prevention of short selling mechanism.The ideas and structure of the thesis are as follows:The introduction briefly introduces the significance, research approaches, possible innovations and limitations of the thesis.The first chapter is a literature review and evaluation of the current research results of short selling mechanism in academic circles. It abstracts the academic views of domestic and foreign scholars from both positive and negative aspects, focusing on the specific impact of short selling mechanism on market volatility.In brief evaluation of these views, the author will also put forward their own views.The second chapter describes the development of short-selling mechanism in overseas securities market.From the origin of short selling to the overview of short selling mechanism in developed capital markets, the development of short selling in emerging markets is mentioned, and the practical experience and lessons of overseas markets are summarized.Chapter three analyzes the current situation of short-margin trading in A-share market.This paper points out the characteristics of the short selling mechanism in China, such as the rapid growth of the business scale, the low proportion of the total amount and the balance of the credit transaction, the unbalanced development of the financing and the short selling business, and analyzes the bottlenecks and obstacles in the development of the short selling mechanism under the current rules.Chapter four mainly discusses the risk of short-selling mechanism and its influence on market volatility.The content includes the risk identification and classification of short selling, and the mechanism of short selling on market volatility.Chapter five makes an empirical analysis on how short selling affects volatility of A-share market.Using three research methods, this paper studies the impact of short selling on A-share volatility from different angles, and finally expounds the empirical results.The sixth chapter is the conclusion and policy suggestion of this paper.The empirical conclusion is that the rapid growth of short selling scale has not significantly increased the volatility of A-share yield.Short-selling mechanism after the introduction, A-share market volatility has been reduced overall.However, a large area of short selling will lead to the spread and deepening of systemic risk, so the prevention of short selling risk lies in the establishment of risk emergency mechanism to deal with financial crisis and sudden bad news.At the same time, regulators should perfect the system of short selling, strengthen the disclosure of short selling information and improve the transparency of short selling.In addition, it is urgent to improve the A-share transfer system and reduce the trading cost of short-selling securities.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51

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本文編號：1728874