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  本文關(guān)鍵詞：融資融券制度的價(jià)格發(fā)現(xiàn)功能的實(shí)證研究　出處：《上海社會(huì)科學(xué)院》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 融資融券 價(jià)格發(fā)現(xiàn) 股票市場(chǎng) 實(shí)證檢驗(yàn)

【摘要】：2010年3月31日,經(jīng)過多年的論證和試運(yùn)行,我國(guó)證券市場(chǎng)正式引入融資融券交易機(jī)制,這是中國(guó)證券發(fā)展歷史上的里程碑。三年多來,融券標(biāo)的已經(jīng)從最初的80只股票擴(kuò)容至700只股票。市場(chǎng)中關(guān)于融資融券的效果以及其對(duì)股市影響的討論始終在持續(xù),這也一直是理論和實(shí)踐研究中的一個(gè)熱點(diǎn)問題。本文利用上海證券交易所的融資融券歷史數(shù)據(jù),研究該政策推出之后對(duì)股票市場(chǎng)究竟有怎樣的影響。 鑒于衡量股票市場(chǎng)表現(xiàn)的三個(gè)重要指標(biāo)是定價(jià)效率、流動(dòng)性及波動(dòng)性,這里的定價(jià)效率也可以表述為價(jià)格發(fā)現(xiàn)功能,即其價(jià)格回歸其真實(shí)價(jià)格的速度和所需的時(shí)間。因此本文從證券市場(chǎng)的價(jià)格發(fā)現(xiàn)、波動(dòng)性和流動(dòng)性特征切入,進(jìn)行研究,首先對(duì)融資融券業(yè)務(wù)在這三方面影響的相關(guān)研究成果進(jìn)行分析和整理,然后試圖探究出本文就這個(gè)問題能夠加深一步思考和研究的思路和方向；進(jìn)一步的本文在上述三個(gè)核心指標(biāo)中選擇了價(jià)格發(fā)現(xiàn)功能作為本文重點(diǎn)研究的指標(biāo),通過引入市場(chǎng)模型以及與其相關(guān)的一些統(tǒng)計(jì)量,進(jìn)行實(shí)證研究,研究融資融券業(yè)務(wù)對(duì)我國(guó)證券市場(chǎng)的價(jià)格發(fā)現(xiàn)功能的影響。 根據(jù)上述的理論分析和實(shí)證研究,本文最終得出了以下兩點(diǎn)結(jié)論：(1)隨著收益計(jì)算期的變長(zhǎng)樣本股票的股價(jià)包含的信息變得充分,其價(jià)格調(diào)整也就更接近于市場(chǎng)指數(shù)這表現(xiàn)在市場(chǎng)模型擬合的β越來越接近真實(shí)值更表現(xiàn)在市場(chǎng)模型的統(tǒng)計(jì)量R2隨之變大,也即是模型擬合越來越有效；(2)在相同的收益計(jì)算期下可融資融券標(biāo)的價(jià)格調(diào)整要快于不可融資融券標(biāo)的。也就是說時(shí)間可以提升定價(jià)效率,使得價(jià)格接近其真實(shí)值,而融資融券也可以,它加速了這一過程,這就意味著融資融券制度的確具有了價(jià)格發(fā)現(xiàn)的功能。
[Abstract]:On March 31 , 2010 , after many years of argumentation and trial operation , China ' s securities market formally introduced the financing margin trading mechanism , which is a milestone in the history of China ' s securities development . More than three years , the subject of securities lending has been expanded from the original 80 stocks to 700 stocks . The market has always been a hot issue in theory and practice research . In view of the three important indexes that measure the performance of stock market are pricing efficiency , liquidity and volatility , the pricing efficiency can also be expressed as the price discovery function , that is , the price returns the speed and time required for its real price . Based on the above - mentioned theoretical analysis and empirical research , the following two conclusions are concluded : ( 1 ) As the stock price of the variable - length sample stock in the income calculation period becomes full , the price adjustment is closer to the market index . The price adjustment is more and more effective in the market model , that is , the model fitting is more and more effective ; ( 2 ) The price adjustment of the financing bond subject to the same income calculation period is faster than that of the non - financing token . In other words , the price is close to its true value , and the financing margin can also , it accelerates the process , which means that the financing margin system does have the function of price discovery .

【學(xué)位授予單位】：上海社會(huì)科學(xué)院
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51;F726

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本文編號(hào)：1366729