發(fā)布時(shí)間：2018-06-19 14:12

  本文選題：融資融券 + 賣空��； 參考：《南京師范大學(xué)》2012年碩士論文

【摘要】：融資融券交易在美、日等發(fā)達(dá)國家和臺(tái)灣、香港等新興市場(chǎng)已經(jīng)相當(dāng)成熟,而在我國尚處于起步階段。2010年3月31日,我國滬深交易所開始正式接受融資融券交易申報(bào),這標(biāo)志著我國融資融券交易試點(diǎn)工作的正式施行。融資融券交易的引進(jìn)對(duì)我國股市到底有何影響?國內(nèi)外學(xué)者一般只是在總結(jié)成熟市場(chǎng)融資融券交易特點(diǎn)的基礎(chǔ)上,實(shí)證分析融資融券交易對(duì)這些國家或地區(qū)股市的影響,從而對(duì)我國融資融券交易提出政策借鑒,而少有人對(duì)我國的融資融券交易特點(diǎn)做出系統(tǒng)的梳理、總結(jié),更少有人實(shí)證研究融資融券對(duì)我國股市的影響。本文以我國融資融券交易作為研究對(duì)象,在系統(tǒng)梳理我國與成熟市場(chǎng)融資融券交易制度異同點(diǎn)的基礎(chǔ)上,從有效性、穩(wěn)定性和流動(dòng)性三個(gè)方面,全面深入地分析了融資融券交易對(duì)股市的影響,進(jìn)而通過實(shí)證分析研究融資融券交易(以上證50指數(shù)成分股的融資融券交易額為代表)對(duì)我國股市(以上證50指數(shù)為代表)的影響,以期為我國融資融券交易制度的改革與完善提供政策建議。 具體而言,本文首先系統(tǒng)梳理國內(nèi)外關(guān)于融資融券對(duì)股市影響的文獻(xiàn),總結(jié)出現(xiàn)有理論和實(shí)證研究的結(jié)論與特點(diǎn)；在此基礎(chǔ)上,本文重點(diǎn)研究我國融資融券交易的特點(diǎn),并將其與國外成熟市場(chǎng)(美國、口本、臺(tái)灣)融資融券交易的特點(diǎn)相比較,總結(jié)其異同點(diǎn)；接著,本文通過劉Miller(1977)的研究框架進(jìn)行延伸與拓展,研究融資融券對(duì)股市影響的作用機(jī)制,全面深入地分析融資融券交易對(duì)股市定價(jià)效率、波動(dòng)性和流動(dòng)性的影響；在上述理論研究的基礎(chǔ)上,本文通過建立VAR模型、ARDL模型等計(jì)量經(jīng)濟(jì)模型,實(shí)證分析了融資融券交易對(duì)我國股市波動(dòng)性和流動(dòng)性的影響；最后,針對(duì)實(shí)證分析的結(jié)果,本文對(duì)我國融資融券交易制度的改革提出政策建議。 本文的主要研究結(jié)論如下： (1)短期內(nèi),賣空交易會(huì)加劇股市波動(dòng),但隨著時(shí)間的推移,會(huì)減輕我國股市波動(dòng),即長期來看,賣空交易會(huì)減輕股市波動(dòng),但其作用很微弱； (2)買空交易能夠減輕我國股市波動(dòng),但其作用很微弱； (3)賣空、買空交易能夠提高我國股市流動(dòng)性,但其作用很微弱。
[Abstract]:Margin trading in the United States, Japan and other developed countries, Taiwan, Hong Kong and other emerging markets have been quite mature, but in China is still in its infancy. On March 31, 2010, China's Shanghai and Shenzhen exchanges began to formally accept margin trading declaration. This marks the formal implementation of the pilot project of margin trading in China. How does the introduction of margin trading affect the stock market in China? Domestic and foreign scholars generally only summarize the characteristics of margin trading in mature markets, and empirically analyze the impact of margin trading on the stock markets of these countries or regions. However, few people systematically comb the characteristics of margin trading in China, and conclude that there are few empirical studies on the impact of margin trading on China's stock market. This paper takes margin trading in our country as the research object, on the basis of systematically combing the similarities and differences between China and the mature market, from the three aspects of validity, stability and liquidity. It thoroughly analyzes the influence of margin trading on stock market. Then through the empirical analysis, the paper studies the influence of margin trading (represented by the margin trading volume of Shanghai 50 index) on China's stock market (represented by Shanghai 50 index). In order to provide policy recommendations for the reform and improvement of margin trading system in China. Specifically, this paper first systematically combs the domestic and foreign literature on the impact of margin trading on the stock market, summarizes the conclusions and characteristics of theoretical and empirical research; on this basis, this paper focuses on the characteristics of margin trading in China. And compare it with the characteristics of foreign mature market (USA, Taiwan), sum up its similarities and differences. Then, this paper extends and expands through the research frame of Liu Millerong (1977). This paper studies the mechanism of the influence of margin trading on the stock market, and analyzes the effect of margin trading on the pricing efficiency, volatility and liquidity of the stock market. By establishing the VAR model and ARDL model, this paper empirically analyzes the impact of margin trading on the volatility and liquidity of China's stock market. This paper puts forward some policy suggestions on the reform of margin trading system in China. The main conclusions of this paper are as follows: in the short term, short selling will aggravate the volatility of the stock market, but with the passage of time, it will reduce the volatility of China's stock market, that is, in the long run, short selling will reduce the volatility of the stock market. But its effect is very weak; (2) short trading can reduce the fluctuation of stock market in our country, but its effect is very weak; (3) short selling and short selling can improve the liquidity of stock market in our country, but its effect is very weak.
【學(xué)位授予單位】：南京師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

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