摘 要

融资融券交易究竟是加剧了股价的波动性，还是抑制了股价的大起大落一直是学术界关注的热点问题。目前较为传统的方法是利用VAR模型来研究融资融券对股价波动性所产生的影响。本文所采用的为模型与面板模型。模型可以更好地描述股价“波动集群的特征”^[1]。而面板模型可以很好地刻画不同行业的融资融券对股价波动性影响的差异。本研究从农林行业入手，首先利用模型研究融资融券对该行业股价波动性的影响，接下来选取农林，地产，制造，批零，运输行业，利用面板模型研究融资融券对不同行业的影响差异。

第一章，对融资融券对股价波动性的影响的相关研究进行了总结和回顾。

第二章，对模型，模型，以及面板模型进行简单介绍。

第三章，首先以农林行业为例，选取该行业2018年1月1日至12月31日共243组日度数据，建立模型，来探究融资融券对股价波动性的影响。结果表明，融资可以显著地平抑股市，而融券对股价波动性无显著影响。接下来，选取农林，制造，地产，批零，运输五个行业的数据，构造面板GARCH模型来研究在不同行业中两融对股价波动性的影响差异。结果表明，融资融券对不同行业股价波动性的影响无显著差异。在各行业中融资会显著降低股价的波动性，相比融资，融券对股价波动性的影响不大。

关键词：融资融券，股价波动性，GARCH模型，面板GARCH

Research on the influence of margin trading on the volatility

of Chinese Stock Market based on Panel GARCH Model

Abstract

Whether margin trading aggravates the volatility of stock price or suppresses the ups and downs of stock price has always been discussed. At present, the traditional method is to use VAR model and its derivative model to study the impact of margin trading on stock price volatility. We use GARCH and panel GARCH model. The panel GARCH model can well depict the difference of the influence of margin trading on stock price volatility in different industries. This study starts with the agriculture and forestry industry, first uses the GARCH model to study the influence of financing bonds on the stock price volatility of the industry, and then selects agriculture and forestry, real estate, manufacturing, zero approval, transportation industry. We also study the the difference between different industries.

In the first chapter, this paper summarizes and reviews the researchs in this area.

In the second chapter, ARCH model, GARCH model and panel GARCH model are introduced.

In the third chapter, this paper select the agriculture and forestry industry as an example, selecting a total of 243 groups of daily data from January 1 to December 31, 2018, and uses GARCH model to explore the influence of margin trading on stock price volatility. Next, the data of agriculture and forestry, manufacturing, real estate, zero approval and transportation are selected to study the impact of margin trading on stock price volatility in different industries. The results show that there is no significant differences. Financing in various industries will significantly reduce the volatility of stock prices, compared with financing, margin trading has little impact on stock price volatility.

Key words: Margin trading, stock price volatility, GARCH model, panel GARCH

目录

摘 要.........................................................................................................1

ABSTRACT.............................................................................................2

第一章 引言......................................................................................4

1.1研究背景………………………………………………………………..4

1.2文献综述………………………………………………………………..4

1.3本文的研究方法，意义和创新点……………………………………..5

第二章 相关理论，样本选取和变量定义.......................................5

2.1时间序列ARCH模型………………………………………………..…..5

2.2时间序列GARCH模型…………………………………………………..5

2.3面板GARCH模型………………………………………………………..6

2.3.1固定影响变截距面板GARCH模型…………………………........6

2.3.2随机影响变截距面板GARCH模型…………................................7

2.4样本选取及变量定义…………………………………………………..7

第三章 实证研究..............................................................................8

3.1融资融券对一个行业股价波动性的研究………………………….…8

3.1.1正态性检验…………......………………………..……………...8

3.1.2 ADF检验……………………………………………....………...8

3.1.3 相关性检验…………………………………………….......…...9

3.1.4 ARCH效应检验…..................................................................…...9

3.1.5 建立GARCH模型...................................................................…...9

3.1.6 GARCH模型的解释................................................................…..10

3.2 以五个行业为例的面板GARCH模型.............................................…..10

3.2.1 数据处理及检验...................................................................…..10

3.2.2 面板模型的设定...................................................................…..11

3.2.3 ARCH效应检验......................................................................…..12

3.2.4 建立面板GARCH模型.................................................................12

3.3.5面板GARCH模型的解释…………………......................………12

第四章 结论与展望...................................................................................................13

4.1 结 论………………………………………………………………….13

4.2 展 望………………………………………………………..………...15

参考文献.....................................................................................................................14

致 谢...........................................................................................................................15

附录.............................................................................................................................16

1. 引言

1.1研究背景