融资融券对股票市场质量影响的实证研究

发布时间：2018-10-11 13:04

【摘要】：在西方发达资本市场,融资融券业务已经是非常成熟的常规业务,但是在我国仍然属于一个新事物。2011年11月25日,上海证券交易所发布了《上海证券交易所融资融券交易实施细则》,我国融资融券业务才正式由逐步试点升级为常规业务。2012年8月30日,我国开始推行转融资业务,投资者表现出了非常强的兴趣,转融通业务的推出扩大了融资融券来源,无疑使融资融券业务更加完善。理论上说随着交易规模和参与程度的扩大,融资融券业务对市场的作用将日益显现,但这一业务对我国股票市场实际影响如何?这还有待检验。基于该背景,本文首先对融资融券交易原理做了简单介绍,从理论上分析了对其推出对市场质量的冲击,并根据融资融券不同特点分别描述了该业务对市场流动性及波动性的作用原理。通过选取融资融券业务正式推出后的日交易数据,采用向量自回归模型VAR,格兰杰因果检验,脉冲响应函数以及方差分解,将融资、融券、流动性以及波动性设置代理变量,通过实证分析得出结论表明：融资业务对波动性和流动性具有显著影响,在一定程度上提升了市场流动性,降低了市场波动性,这与本文的假设一致。通过脉冲响应函数结果分析,该业务对市场的影响并不是立刻显现,而是一个长期的过程。融券业务也对市场波动性和流动性具有较为显著的影响,这一点和前人研究结果有一些出入,这可能是随着我国融资融券业务发展,交易规模和参与程度的扩大,其改善市场质量的作用逐渐凸显。文章后面以标的证券为研究对象,采用面板数据回归模型分析了融资融券业务对标的股的影响,结果发现该业务对标的股影响较为明显。改善了标的股的流动性和降低了波动性。在文章最后,针对我国融资融券业务规模小、参与程度低等发展现状,并结合本文研究结果对我国融资融券业务的完善提出政策建议。
[Abstract]:In the western developed capital markets, margin trading is a very mature business, but it is still a new thing in our country. November 25, 2011, The Shanghai Stock Exchange issued the detailed rules for the implementation of margin trading on the Shanghai Stock Exchange, and only then did China's margin and margin business formally upgrade from a pilot to a conventional business. On August 30, 2012, China began to implement the transfer financing business. Investors have shown a strong interest, the introduction of revolving business has expanded the financing and short margin sources, which undoubtedly makes the margin financing business more perfect. In theory, with the expansion of trading scale and participation, the role of margin trading will become more and more obvious, but how does this business affect the stock market in China? This has yet to be tested. Based on this background, this paper firstly introduces the principle of margin trading, and theoretically analyzes the impact on the market quality caused by its launch. According to the different characteristics of margin financing, the paper describes the effect of the business on market liquidity and volatility. By selecting the daily trading data after the formal launch of margin trading business, using the vector autoregressive model VAR, Granger causality test, impulse response function and variance decomposition, the financing, margin, liquidity and volatility are set up proxy variables. The empirical analysis shows that: financing business has a significant impact on volatility and liquidity, to a certain extent, improve market liquidity and reduce market volatility, which is consistent with the hypothesis of this paper. By analyzing the results of impulse response function, the effect of the business on the market is not immediately apparent, but a long-term process. Margin trading also has a significant impact on market volatility and liquidity, which is different from previous studies. This may be due to the expansion of trading scale and participation with the development of margin trading in China. Its function of improving the quality of the market is gradually prominent. This paper takes the underlying securities as the research object and uses the panel data regression model to analyze the influence of margin trading on the underlying stocks. The results show that the business has a more obvious impact on the underlying stocks. Improved liquidity of underlying stocks and reduced volatility. At the end of the article, in view of the small scale of margin and short margin business and the low degree of participation in the development of our country, combined with the research results of this paper, the paper puts forward some policy recommendations for the perfection of the margin and margin business in our country.
【学位授予单位】：西南交通大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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