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研究生:李雯臻
研究生(外文):Lee, Wenchen
論文名稱:開放融資融券對上海證券交易所市場效率的影響
論文名稱(外文):The Effect of Margin Trade upon the Market Efficiency of Shanghai Stock Exchange
指導教授:吳蕚清吳蕚清引用關係
指導教授(外文):Wu, Eching
口試委員:宮在明林卓民
口試委員(外文):Kung, JaimingLin, Chomin
口試日期:2011-06-21
學位類別:碩士
校院名稱:靜宜大學
系所名稱:財務金融學系
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2011
畢業學年度:99
語文別:中文
論文頁數:64
中文關鍵詞:融資融券市場效率價格波動一般自我迴歸條件異質變異數模型
外文關鍵詞:margin trademarket efficiencyvolatilityGARCH model
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不同於過去文獻探討融資融券成數改變對股價行為的影響,本研究分析股票市場開放融資融券後的價格波動性,觀察該機制實行後對證券市場價格波動之影響。冀望以較不受其他因素干擾的條件下,能更清晰的明瞭融資融券業務對證券市場效率的作用,及其影響因素。
本文藉由Antoniou and Holmes (1995)所採用一般自我迴歸條件異質變異數模型(GARCH)的方法,以上海證券交易所在2010年3月31日推出融資融券前後為研究區間,以各股票公司為研究對象,檢測證券市場價格之波動是否有所改變。
實證顯示在單因子模型下,45家公司的觀察樣本中有23家公司在實行融資融券後,其價格波動在統計上呈顯著改變,而22家無顯著變化;若以三因子模型為市場模型時,實證結果顯示有21家公司在實行後,其價格波動呈顯著變動,而24家無顯著相關。

The previous studies on the market efficiency are almost based upon the existing market mechanism. It cannot clarify the influence of the mechanism on the market efficiency because the outcome composed of a mixed interference. While the China equity market introduced the margin trade into the Shanghai exchanges in 2010, this gives us an opportunity to examine the impact of new mechanism on the market efficiency clearer.
Thus, we employ the method utilized by Antoniou and Holmes (1995) to inspect the influence of the margin trade on the stock market. Based on the GARCH model and the selected 45 companies, this study examines the relation between the volatility of stock return and margin trade.
The empirical results show that there are 23 companies of the whole samples having a statistically significant effect on the stock return volatility under the single-factor model; in addition, there are less companies, 21, exhibiting a statistically significant effect on the stock return volatility by the three-factor model.

目錄
摘要 I
Abstract II
目錄 III
表目錄 V
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第三節 研究架構 5
第二章 市場介紹與文獻回顧 6
第一節 中國大陸的證券市場簡介 6
第二節 文獻探討 9
壹、以不同市場及方法來測試其效率性 9
貳、賣空限制對股票市場的影響 12
參、信用交易條件的調整對市場波動所造成的影響 13
第三章 研究設計 18
第一節 假說設立 18
第二節 研究方法與模型建構 20
壹、研究方法 20
貳、模型建構 21
第三節 變數定義說明 24
第四章 實證研究 25
第一節 資料來源與樣本選取 25
第二節 敘述統計 27
第三節 實證結果與分析 29
壹、ARCH效果檢定 30
貳、最適GARCH模型序列的檢定 31
參、GARCH模型的檢定 34
一、單因子模型 34
二、三因子模型 34
三、單因子模型 35
四、三因子模型 37
肆、影響市場效率的因子檢測 42
伍、Fama and French模型穩定性檢定 44
第五章 結論 48
第一節 研究結論 48
第二節 研究限制 49
附錄 50
參考文獻 58

表目錄
表3.1 迴歸模型(4)之變數定義表 24
表3.2 迴歸模型(3)之變數定義表 24
表4.1 融資融券前後上海綜合指數的變化 27
表4.2 報酬率序列相關及異質性檢定結果 30
表4.3 各公司在不同因子模型下的Akaike info criterion(AIC) 32
表4.4 所有公司之日報酬的單因子GARCH模型 34
表4.5 所有公司之日報酬的三因子GARCH模型 35
表4.6 單因子GARCH模型下之虛擬變數係數值 36
表4.7 三因子GARCH模型下之虛擬變數係數值 38
表4.8 單因子及三因子市場效率檢定之統計 39
表4.9 影響指數波動GARCH實證結果 40
表4.10 影響融資融券對報酬波動的因素分析-以公司規模有無顯著之平均數差來檢定 42
表4.11 影響融資融券對報酬波動的因素分析-以公司成長因子有無顯著之平均數差來檢定 43
表4.12 三因子模型中解釋變數對被解釋變數的關係 44
附錄表1 臺灣與深滬交易所交易制度之比較 51
附錄表2 中國大陸近年來證券市場的發展概況 52
附錄表3 融資融券標的之證券名單 54
附錄表4 各家公司在不同序列的GARCH模型中的AIC值 55



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