發(fā)布時間：2018-02-24 19:51

  本文關鍵詞： VAR模型 融資融券 流動性 波動性　出處：《對外經(jīng)濟貿(mào)易大學》2017年碩士論文　論文類型：學位論文

【摘要】：自我國2010年3月正式啟動融資融券業(yè)務以來,其對于我國A股市場的影響一直是相關領域的熱門研究方向。關于融資融券業(yè)務的開展究竟起到穩(wěn)定股價波動還是助漲助跌的作用,至今仍是學術界熱議的話題。融資融券業(yè)務已在成熟的金融市場得到了廣泛的應用。一般來說,融資融券交易能夠增強市場的流動性、降低市場的波動性。業(yè)務的開展為券商創(chuàng)造更多的利潤而且響應了多層次證券市場的需求,但同時也具有放大風險的負面效應。本文通過2011年至2017年的融資融券交易日數(shù)據(jù)以及滬深300指數(shù)數(shù)據(jù),選取了波動性和流動兩個指標,通過VAR模型分析來研究融資融券對我國股票市場的影響。在2012年年底,轉融通試點的的出臺為增加了證券公司資金以及證券來源,為證券公司開展融資融券業(yè)務提供了資源。融資融券的發(fā)展是與市場的制度和政策密切相關的。在2015年8月4日,融券規(guī)則的改變使得融券業(yè)務發(fā)展的形勢又發(fā)生了改變。經(jīng)過對這三個重要的時期進行階段劃分,并進行VAR模型分析,發(fā)現(xiàn)雖然融資融券對流動性和波動性都有顯著的影響,但是顯著程度和影響結果不同。通過分析得到開放融資融券業(yè)務有利于流動性增加,波動性減少,而限制融資融券業(yè)務會起到流動性下降,波動性增加的結論。文章研究了導致這一現(xiàn)象的原因,并就如何充分發(fā)揮融資融券的在股票市場中的價格發(fā)現(xiàn)功能及減少波動給出了建議。
[Abstract]:Since March 2010, our country officially started the financing and short margin business, Its impact on China's A-share market has always been a hot research direction in related fields. On whether the development of margin trading has played a role in stabilizing stock price fluctuations or helping to help rise and fall. It is still a hot topic in academia. Margin trading has been widely used in mature financial markets. Generally speaking, margin trading can enhance the liquidity of the market. Reduce market volatility. Business development creates more profits for securities firms and responds to the needs of the multi-layered securities market. However, it also has the negative effect of magnifying risk. Through the trading date of margin trading day from 2011 to 2017 and the data of Shanghai and Shenzhen 300 index, this paper selects two indexes of volatility and current. Through the analysis of VAR model, this paper studies the influence of margin financing on China's stock market. At the end of 2012, the introduction of the transposing trial increased the funds of securities companies as well as the sources of securities. It provides resources for securities companies to carry out margin trading. The development of margin financing is closely related to the market system and policy. In August 4th 2015, The change of margin rules has changed the situation of the development of margin trading. By dividing the three important periods and analyzing the VAR model, it is found that margin lending has a significant impact on liquidity and volatility. But the degree of significance and the result of influence are different. Through the analysis, it is found that open margin business is beneficial to increase liquidity and reduce volatility, while limiting margin and margin business will decrease liquidity. This paper studies the causes of this phenomenon and gives some suggestions on how to give full play to the price discovery function of margin and margin in the stock market and to reduce the volatility.
【學位授予單位】：對外經(jīng)濟貿(mào)易大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.51

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本文編號：1531498