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1、A Thesis Submitted in Partial Fulfillment of the Requirementsfor the Degree of Master of ManagementThe Impact of Margin Trading on Liquidity andVolatility of Security MarketCandidateMajorSupervisor:Yuan JuanAccountingAssoc. Prof. Zhu YanHuazhong University of Science and TechnologyWuhan, Hubei 43007
2、4, P.R. ChinaDec, 2011独创性声明本人声明所呈交的学位论文是我个人在导师指导下进行的研究工作及取得的研究成果。尽我所知，除文中已经标明引用的内容外，本论文不包含任何其他个人或集体已经发表或撰写过的研究成果。对本文的研究做出贡献的个人和集体，均已在文中以明确方式标明。本人完全意识到本声明的法律结果由本人承担。学位论文作者签名：日期：年月日学位论文版权使用授权书本学位论文作者完全了解学校有关保留、使用学位论文的规定，即：学校有权保留并向国家有关部门或机构送交论文的复印件和电子版，允许论文被查阅和借阅。本人授权华中科技大学可以将本学位论文的全部或部分内容编入有关数据库进行检索，可
3、以采用影印、缩印或扫描等复制手段保存和汇编本学位论文。保密 ，在年解密后适用本授权书。本论文属于不保密 。（请在以上方框内打 ）学位论文作者签名：指导教师签名：日期：年月日日期：年月日华中科技大学硕士学位论文摘要2011 年中国 A 股市场持续震荡下行，呈现倒钩型走势，但融资融券市场规模却呈不断增长的态势，国内融资融券业务自 2010 年 3 月试点截至 2011 年 8 月末，融资融券交易余额达到 330 余亿元，虽然相比目前 90 只标的 A 股约 9.5 万亿的流通市值总和，融资融券交易规模还比较小。融资融券作为 A 股崭新市场制度，推行该业务带来的影响效应，是我国目前亟待解决的问题。随
4、着融资融券标的证券范围的扩大和转融通的推出预期，融资融券交易将切实影响股票市场和个股的行为。我国推出融资融券业务以来，融券余额相对比重持续较低，融资余额比例维持在 94%到100%之间，在分析融资融券业务对我国股票市场和个股的影响时，本文重点验证融资买空交易机制给对我国市场和标的券的流动性和波动性带来的影响，此外，本文还对在融资融券业务运行阶段出现的重大事件对沪深股市及标的证券的影响上进行细致的分析。本文回顾了国内外分析融资融券交易机制对市场影响的文献，发现针对我国股票市场进行研究的文献较少；通过分析融资融券对市场和个股波动性和流动性的影响机制，本文首次选取我国试点以来 347 个交易日为样本
5、，分别从市场和标的券的角度，实证检验融资融券交易机制对市场和个股稳定性以及运行效率的影响。本文的研究结论如下：融资融券交易机制与波动性存在长期协整关系，而融资融券交易机制与市场流动性不存在长期协整关系；市场流动性变化不是融资融券交易余额和融资余额的 Granger 因果关系原因，而融资融券交易余额和融资余额是市场流动性变化的 Granger 因果关系原因，市场波动性变化不是融资融券交易余额和融资余额的Granger 因果关系原因，而融资融券交易余额和融资余额是市场波动性的 Granger 因果关系原因；短期而言，对整个市场来说，融资融券交易机制能活跃市场交易，促进市场流动性的增加，对市场波动性
6、也有一定抑制作用；对个股来说，允许融资融券交易降低了个股的波动性，增加了个股的流动性。关键词：融资融券标的证券市场流动性市场波动性I华中科技大学硕士学位论文AbstractThe A share market was at down concussion situation and continued to decline after ashort term increases in 2011, while the deal size of margin trading continued to grow.From Mar 2010, the beginning of the trial wo
7、rk of margin trading transaction for securitiescompanies in China stock market, to Aug 2011, the margin trading volume has amountedto 33 billion, however, which is still smaller in scale in contrast to the circulation marketvalue of 90 underlying securities, that is 9.5 trillion. Margin trading is a
8、n importantmeasure of stock market, and it is necessary to study the impact of margin trading on stockmarket, which has been a hot issue and debate in the theoretic and practical field. Thispaper discusses the impact of margin trading on the stock market, mainly from the view ofboth market and speci
9、fic stocks liquidity and fluctuation. The research has importantacademic value and practical significance, especially at the crucial moment that margintrading will turn to routine and refinancing mechanisms will come true. From theimplementation of margin trading until now, the volume of short selli
10、ng in the total margintrading was in the proportion of relatively low, while the short buying stabilized at ahigher share of between 94% and 100%. So this paper still focused on the impact effect ofshort buying, which can be better explain the effect from the angles of market liquidityand fluctuatio
11、n, and use event study on the parametric or nonparametric tests of individualstock inclusion and exclusion of new margin trading rage.This paper firstly outlined articles related to effects of margin trading on securitiesmarkets, and analyzed the influence mechanisms of margin trading on the markets
12、.However, there were not too many researches in the view of China stock market. Andthen it selected the Chinas stock market from Mar 2010Aug 2011, 347 trading sessionsas an example. This paper made empirical analysis from the angles of both stock marketand specific stocks, in order to analyze the ef
13、fect of margin trading and to prove whethermargin trading could stabilize the stock market and boost the liquidity. What this articlehas achieved and main contributions are as following:Margin trading mechanism has a long-term cointegration relationship with the marketvolatility, but not with the ma
14、rket liquidity. Margin trading and short buying are theII华中科技大学硕士学位论文Granger causal element of market liquidity and volatility, but market liquidity andvolatility are not the Granger causal element of margin trading and short buying. We drawthe conclusion that, in the short term, margin trading could stabilize the volatility andenhance stock liquidity of both the market and the single stock.Key words： Margin tradingUnderlying securitiesMarket liquidityMarket volatilityIII华中科技大学硕士学位论文目录摘要. IAbstract . II1绪论1.1 研究背景和研究意义 . (1)1.2 研究思路与研究方法 . (4)1.3 研究内容与创新之处 . (5)2文献综述2.1 融资融券与股市波动性 .
