融资融券对 A 股市场波动性的影响研究

作者	赵飞燕
姓名汉语拼音	ZhaoFeiyan
学号	2018000003088
培养单位	兰州财经大学
电话	18536052054
电子邮件	1173426683@qq.com
入学年份	2018-9
学位类别	学术硕士
培养级别	硕士研究生
学科门类	经济学
一级学科名称	应用经济学
学科方向	国民经济学
学科代码	020201
第一导师姓名	郭三化
第一导师姓名汉语拼音	GaoSanhua
第一导师单位	兰州财经大学
第一导师职称	副教授
题名	融资融券对 A 股市场波动性的影响研究
英文题名	Research on the Influence of securities margin trading on the Volatility of A-share Market
关键词	融资融券 A 股市场波动性实证研究
外文关键词	Securities margin trading； ; A share market ; Volatility ; The empirical analysis
摘要	摘要进入21 世纪以来，我国的经济发展和综合国力达到一个新的高度。但是，由于我国的基础比较薄弱，金融制度存在缺陷，尤其在做空方面缺乏相应的机制。因此，在 2010 年第一季度，经过证监会的反复研究和讨论，决定在 A 股开通融资融券业务，完善我国的股票市场。融资融券是指融资行为又称买空行为，投资者对未来看空，向具有资质的机构购买证券等待未来升值；融券对未来持消极态度，向机构卖出证券。其本质是一种做空行为，弥补了我国关于做空制度的缺失。融资融券的效果如何？是否能适应A 股市场？是否能促进我国金融体系的发展？因此，本文以融资融券为研究对象，通过其对 A 股波动性的对比研究，得出相应的结论，并为我国金融市场的后续发展提出相应的建议。首先，本文介绍了选题的背景、研究的意义、关于融资融券的相关理论的归纳与总结、逻辑框架图和本文使用的研究方法；然后是关于融资融券业务的相关理论、叙述，作为全文的理论基础；接着介绍了融资融券对股市波动性的影响，主要包括：融资对股市波动性的影响、融券对股市波动性的影响和融资融券业务对股市波动性的影响；随后用GARCH(1,1)-M 模型和VAR 模型对沪深300 指数进行实证研究；最终得出结论：融资融券业务可以平抑股票市场的波动性，为金融市场的平稳发展起到推动作用。综上所述，为了更好的推动我国做空机制的发展，提出四点建议：（1）加强股票市场监管，完善市场监督体系；（2）加强投资者宣传教育工作；（3）合理扩大 A 股市场“两融”标的股票，规范“两融”交易的发展；（4）降低交易成本，促进融券交易发展。
英文摘要	Abstract Although the short-selling mechanism is relatively mature in the United Kingdom,the United States and other countries,there is always a big debate about its impact on volatility.More in-depth research on this will help clarify its specific impact on market efficiency.Especially in countries with a late start like our country,the short-selling mechanism system is in a process of continuous improvement and perfection. Therefore,the research on the short selling mechanism needs to keep pace with the times.On March 31,2010,with the approval of the China Securities Regulatory Commission,the Shanghai Stock Exchange officially opened the margin trading system.This article will use the relevant data of the Shanghai Stock Exchange,the Shenzhen Stock Exchange and the Cathay Pacific database to conduct empirical research to explore the impact of the introduction of a short-selling mechanism on the volatility of the A-share market,and hopes to provide marginal trading and securities lending to the A-share market.Although the development of margin in countries such as Britain and the United States has been relatively mature,but regarding its impact on volatility but there is a big discussion, for more in-depth research,help to clarify the specific impact on the market efficiency,especially countries like our country starts late, margin system is in a process of continuous improvement and perfection,the research of its need to keep pace with The Times.With the approval ofthe China Securities Regulatory Commission (CSRC),the Shanghai StockExchange (SSE) officially opened its margin trading system on March 31, 2010.This paper intends to use the relevant data of Shanghai Stock Exchange,Shenzhen Stock Exchange and CSMAR Database to conduct an empirical study,and introduce the impact of this mechanism and relevant regulatory measures on the volatility of A-share market,and hope to give some enlightenment to the margin trading business of A-share market. Inresponse to this,this article first comprehensively and detailedlysorted out the relevant research literature on margin trading and securitieslending athome and abroad,and then introduced the related concepts,transaction characteristics,three business models of margin trading and securities lending business in my country,and the development of margin trading and securities lending business in China.Trading status and development process,and then introduced the theoretical basis and influence mechanism of margin trading and securities lending on stock market volatility.Then from the empirical level,it analyzes the effect of the three aspects of margin trading,margin trading and margin trading, and expansion of the underlying stocks of margin trading on the volatility of the CSI 300 stock index.This article selects the relevant data of margin trading and securities lending and the CSI 300 index from January 2, 2014 to November 30,2020,and takes the latest three expansions as theresearch object,divided into four time periods to study the expansion of the A-share market The impact of sex.The article adopts the GARCH(1,1)-M model for empirical analysis,and finally concludes that the recent three expansions of margin trading and securities lending have a calming effect on the volatility of my country's A-share market,but the effect is very limited.Therefore, using the above-mentioned volatility index fitted by the GARCH(1,1)-M model (represented by VOL),and the financing balance and securities lending balance data,the VAR model is established,and the unit root test (ADF test is adopted),Granger causality test, impulse response and variance decomposition,respectively analyze the relationship between financing balance and A-share volatility and the relationship between securities lending balance and A-share volatility. Through analysis,it can be concluded that financing transactions will increase stock market volatility,securities lending transactions will stabilize stock market volatility,and the impact of financing transactions on the stock market is greater than that of securities lending transactions. Finally,in view of the main problems existing in my country's financing business and securities lending business,the following opinions and suggestions are put forward:(1)Strengthen the supervision of the stock market and improve the market supervision system.(2)Strengthen publicity and education for investors to ease market speculation.(3) Reasonably expand the stock market margin financing and securities lending targets,and standardize the development of short-selling mechanisms.(4)Balance the development of financing business and securities lending business,and reduce their transaction costs. This article uses historical data of the stock market to study the impact of margin financing and securities lending on the stock market,in order to better understand the impact of margin financing and securities lending on market price fluctuations,provide some reference for effective risk identification,help investors better understand this mechanism,and promote In the actual operation process,investors make more rational and prudent decisions.At the same time,based on this article,we put forward suggestions for reference,hoping to improve the existing mechanism of my country's financial market and promote the steady development of the market.
学位类型	硕士
答辩日期	2021-05
学位授予地点	甘肃省兰州市
语种	中文
论文总页数	48
参考文献总数	51
馆藏号	0003534
保密级别	公开
中图分类号	F20/89
文献类型	学位论文
条目标识符	http://ir.lzufe.edu.cn/handle/39EH0E1M/29616
专题	统计与数据科学学院
推荐引用方式 GB/T 7714	赵飞燕. 融资融券对 A 股市场波动性的影响研究[D]. 甘肃省兰州市. 兰州财经大学,2021.

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