融资融券对深圳股票市场波动性的影响研究-毕业论文.doc

毕业论文正文 融资融券对深圳股票市场波动性的影响研究 The Study of Margin Impact on Shenzhen Stock Market Volatility 学 院：金融学院 专 业：金融学 编 号：411 二○一四年 四月 融资融券对深圳股票市场波动性的影响研究 摘 要：融资融券是股票市场重要的多空交易机制，具有套期保值、稳定市场、增加流动性以及价格发现等功能，对于股票市场功能发挥具有不可替代的作用。2010 年 3 月 31 日，我国推出了融资融券交易机制，随着融资融券的正式启动，A 股市场告别了多年的单边做多机制，成为我国证券市场发展的里程碑。我国证券市场敬爱个发现的功能在理论上得到了进一步完善。本文从融资融券的特征、功能和风险出发研究二者的相互关系，具有一定的理论和现实意义。本文通过GARCH模型和VAR模型进行实证分析。研究发现，融资融券可以抑制股票市场的波动性，但是影响甚微，同时发现融券的抑制效果大于融资的效果。最后，本文基于实证结果给出了一些合理的融资融券规章制度的建议。 关键词：融资融券，波动性，GARCH模型，VAR模型 The Study of Margin Impact on Shenzhen Stock Market Volatility Abstract: The margin is the important long and short stock market trading mechanism, which has the function of hedging, stabilizing the market, increasing the liquidity and price discovery. It plays an irreplaceable role in the stock market functions. With the official start of the margin, China launched the margin trading mechanism on March 31, 2010. The A-share market has bid farewell to the years of unilateral do more mechanisms to become a milestone in the development of Chinas securities market. Signaling price discovery function of Chinas securities market has been further improved in theory．In this paper, in consideration of the features, functions and risks of margin, probing into this kind relationship to study both is of the theoretical and practical significance. This paper has done empirical analysis through GARCH model and VAR model. The study found that the margin can suppress the volatility of the stock market, but the impact is minimal. Also this paper found that the inhibitory effect is greater than the margin financing effect. Finally, based on empirical results, this paper has given some reasonable suggestions on margin regulations. Keywords: Margin trading, volatility, GARCH model, VAR model 正文目录 一、引言 I- 5 二、文献综述 I- 6 （一）国外文献 I- 6 （二）国内文献 I- 7 三、背景介绍 I- 8 四、理论分析 I- 8 五、实证分析 I- 10 （一）GARCH模型的构建 I- 10 （二）VAR模型的构建 I- 12 六、结论 I- 15 七、政策性建议 I- 1 （一）加速建设融资融券法规制度 I-