不同行情下融资融券对中国A股市场波动性影响研究-金融学专业论文.docxVIP

暨南大 暨南大学硕士学位论文 不同行情下融资融券对中国 A 股市场波动性影响研究 万方数据 万方数据 摘 要 2010 年 03 月 30 日，上海、深圳证券交易所正式发出通知，次日起接受符合要求的证 券公司融资融券交易申报，至此两融业务交易正式步进中国的资本市场。中国股票市场的 发展还不到 30 年，但最近一年多中国股市经历的大起大落，监管层接连出台针对融资融 券的一系列措施，使得人们重新重视起融资融券对股票市场波动性的影响研究。本文首先 梳理了国内和国外的一些关于融资融券对股票市场波动性影响的相关文献，分析这些文献 的一些亮点和不足之处，根据目前市场情况，重点研究融资融券在本轮牛熊转换中的影响。 本次论文共五章：第一、绪论部分，简介研究的意义和背景等；第二、国内外研究文 献的简单描述；第三、我国融资融券的现状与作用机制；第四、融资融券对我国股市波动 性影响的实证分析；第五、根据实证结果提出自己的建议。 本文的研究结论如下:选取了上证指数的数据样本，样本区间是 2010 年 3 月 31 日至 2015 年 9 月 30 日，通过 EGARCH，VAR 模型的构建，并通过协整检验和 Granger 因果检 验，方差分解，脉冲响应等，得出的实证结果表明，融资融券在熊市阶段对市场波动性影 响不明显，在股票大涨期与大跌期，对上证指数波动性有显著影响。 关键词:融资融券；股票市场波动性；上证指数 I Abstract March 30, 2010, Shanghai, Shenzhen stock exchange officially issued a notice, the next day to accept the requirements of the securities company margin trading, so far two financial transactions entered into Chinas capital market. The development of Chinas stock market is less than 30 years, but in recent years many Chinas stock market has experienced ups and downs, regulators successive introduction of aiming at the margin of a series of measures, making it a renewed emphasis on research on influence of margin trading on the volatility of the stock market. In this paper, we first sort out the relevant literature on the impact of margin on the volatility of the stock market, and analyze some of the highlights and shortcomings of these literature, according to the current market situation, focus on the impact of margin trading in the current round of bull bear conversion. This thesis consists of five chapters: first, the introduction part, the significance and background of the research; second, the brief description of the domestic and foreign research literature; third, the current situation and mechanism of Chinas margin trading; fifth, the impact of margin trading on Chinas stock market volatility empirical analysis; Fourth, according to the empirical results put forward policies and suggestions The conclusions of this paper are as follows: select the data sam