摘要融资融券业务自 2010 年在我国启动以来，使我国的股票市场发生了改变，促使我国 证券交易方式多元化。虽然一直以来发展的速度很快但也存在着很多的弊端。

本文首先结合国内外现有的研究对融资融券对我国股票市场流动性的影响进行理论性 的分析做文献综述，然后选取上证 50 的有关数据来作为股票市场流动性的依据，通过研究沪市融资买入额与融券卖出量对上证 50 的流动性的影响，来分析融资融券业务对我国股票 市场流动性的影响。接着对数据进行平稳性检验，然后运用自回归模型研究融资融券对我 国股市流动性的影响。结果表明，融资融券业务的开展确实能够提升股票市场的流动性， 但是融券业务对股市流动性的影响不是太明显。最后根据研究的结果对我国融资融券交易 制度提出一些建议。81218

毕业论文关键字  融资融券  流动性  VAR 模型

毕 业 论 文 外 文 摘 要

Title An Empirical Study of Liquidity impact on China's stock market margin

Abstract Margin trading business since our launch in 2010, making China's stock market has changed, prompting the persification of China's securities transactions。 Although the rate has been growing fast, but there are a lot of disadvantages。

Firstly, it combined with the existing domestic and international research on the impact of the margin trading liquidity of our stock market to do the analysis of theoretical literature review, and then select the data on the card 50 is used as the basis for the stock market liquidity, by studying the Shanghai Stock Exchange financing the purchase amount and affect the amount of margin selling SSE 50 liquidity, and to analyze the impact of the margin trading on China's stock market liquidity。 Then the data stationary test, then use a Self regression model margin of China's stock market liquidity。 The results showed that, to carry out margin trading business can really enhance the liquidity of the stock market, but the impact of trading business on the stock market liquidity is not too obvious。 Finally, we put forward some suggestions on margin trading system based on the results of the study。

Keywords Margin    Liquidity VAR model

本 科 毕 业 论   文 第 I 页

目 次

1 绪论 1

1。1 选题背景 1

1。2 研究的理论意义及价值 1

1。3 文献综述 2

1。3。1 国外的研究 2

1。3。2 国内的研究 2

1。4 研究的思路与方法 3

1。4。1 研究的思路 3

1。4。2 研究的方法 3

2 融资融券的概念及其对股票市场的作用概述