摘要
我国在没有融资融券业务时市场结构单一，衍生工具匮乏，证券市场单边交易明
显。自 2011 年后融资融券业务基本成为各家券商的常规业务，投资者也终于有了工
具来对冲市场风险，而在 14 年至 16 间我国股市经历的剧烈波动也对融资融券业务的
发展和探索带来了全新的考验。现阶段，随着中国经济的大发展，尽管逐渐跻身于资
本大国，但是在推行两融业务方面，依旧存在众多不足之处，深入探究融资融券对中
国 A 股波动性的影响，将进一步剖析现象背后所存在的深层原因和问题，找出相应
的解决措施，对促进我国 A 股市场健康发展有着极大的实践意义

文本通过实证与理论相结合的方式，以我国 A 股 14 年-16 年间沪深 300 指数作
为研究对象，通过对指数波段的观察，将指数分为上升、下降和平稳阶段。旨在研究
融资与融券业务对股市在上升和下降及平稳期间对我国股市波动性的影响。实证方面
本文选取融资买入额、融券卖出额和波动性作为研究指标，通过对数据进行平稳性检
验、协整检验，建立 VAR 模型和脉冲响应等方法，对我国 A 股波动性影响进行分析，
最后得出结果和提出建议。从而对融资融券业务对我国 A 股波动性的影响提供参考
依据和理论支持

关键字：A 股；波动性；融资融券；
作者：袁园
指导老师：贝政新
II
Empirical analysis of margin trading&39;s volatility
influence on China&39;s a-share market
Abstract
When there is no margin trading in our country, the problem of mono market
structure, derivatives scarcity and unilateral transaction are obvious. Since 2011, margin
trading almost became each broker’s regular business and investors finally have tools to
hedge market risks. While the worst bout of volatility that our country’s stock market
gyrated between 2014 to 2016 has brought a brand new test to the development and
exploration of margin trading. Though China is at present in a period of great development
of economy and gradually edged itself into a capital giant, it still has many deficiencies in
implementing margin trading. Therefore, this essay will delve margin trading into the
volatility effect of Chinese a- shares, moreover, further analyze deep reasons and problems
behind this phenomenon in order to find out the corresponding solution, which has great
practical significance on promoting the healthy development of the A share market in
China.
With a view of combining practice and theory, this paper selects China’s A shares csi
300 index from 2014 to 2016 as the research object. Through the observation of band index,
the index is divided into stationary, rise and fall phase, aiming at exploring the volatility
effect of stock market during the rising, falling and smooth time. In the aspect of empirical
analysis, this dissertation selects financing purchases, selling securities and volatility as the
research target. Through stationary test, cointegration test, VAR model and impulse
response to the data, it analyzes margin trading’s influence on China’s a-share market
volatility. Finally it analyzes the results and offers suggestions on margin trading to China’s
a-share market volatility with some references and theoretical basis.
Key word: A share ; volatility; margin trading
Written by:Yuan yuan
Supervised by:Bei zhengxin
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目 录
第一章 绪 论 .........1
1.1 研究背景....... 1
1.2 研究意义与目的....... 3
1.3 融资融券概念界定... 4
1.3.1 融资融券的概念......... 4
1.3.2 融资融券交易特征..... 4
1.3.3 融资融券交易与普通证券交易的区别......... 5
1.4 主要研究思路、内容与方法........... 6
1.4.1 研究思路、内容......... 6
1.4.2 研究方法......... 7
1.5 本文研究创新与局限........... 7
1.5.1 研究创新点..... 7
1.5.2 研究局限......... 8
第二章 文献评述 ...9
2.1 国外文献综述........... 9
2.2 国内文献综述......... 11
2.3 国内外文献评述..... 13
第三章 融资融券对股市波动性的理论性分析.14
3.1 未引入融资融券交易股市的运行机制分析......... 14
3.2 融资融券影响股市波动性的作用机制..... 15
第四章 研究设计 .20
4.1 研究对象..... 20
4.2 样本选取..... 20
4.3 指标选取..... 20
4.4 实证模型的选择..... 21
第五章 融资融券对我国 A 股波动性影响的实证分析23
5.1 变量的描述性分析. 23
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5.2 平稳性检验. 25
5.2.1 全部样本的 ADF 单位根检验......... 25
5.2.2 A 股上升阶段的 ADF 单位根检验. 26
5.2.3 A 股下降阶段的 ADF 单位根检验. 26
5.2.4 A 股平稳阶段的 ADF 单位根检验. 26
5.3 协整检验..... 27
5.3.1 全部样本的协整检验........... 27
5.3.2 A 股上升阶段的协整检验... 27
5.3.3 A 股下降阶段的协整检验... 28
5.3.4 A 股平稳阶段的协整检验... 28
5.4 模型滞后阶数的确定及构建......... 29
5.4.1 全部样本的模型滞后阶数的确定及构建......