摘要
随着融资交易的发展，越来越多的投资者在进行投资时向证券公司融资，融
资规模也在不断扩大，尤其是在 2014-2015 年两年，融资交易的规模更是达到空
前的增长，而在这期间，我国 A 股市场也连续经历了“疯牛”和“股灾”两种
特殊的市场情况，并且股票市场的走势与融资余额的变化保持高度的一致性。随
着证监会开始清理配资账户，股票市场也开始出现下跌，并且一度出现流动性枯
竭的现象，融资交易与市场流动性之间有什么样的影响，将是本文研究的重点内
容。
本文主要从理论层面、实证层面和仿真层面三个方面对融资交易进行研究，
并探索其与市场流动性之间的关系。在理论层面介绍了融资交易的相关概念和主
要模式，并对其影响市场流动性的作用机制进行相关的介绍，认为融资交易主要
是通过直接或间接的增加股票市场上资金和股票的供给和需求来影响市场流动
性的。在实证方面，本文主要以整个市场和个股为研究对象进行研究，并且根据
股票市场上的涨跌情况分阶段进行研究，研究发现股市在上涨和震荡阶段融资余
额是市场非流动性的 Granger 原因，但是在市场下跌时却出现相反的情况，市场
非流动性是融资余额的 Granger 原因；在对个股研究发现融资交易能够使市场上
的非流动性下降，即流动性增加。同时本文还利用计算实验的方法进行仿真研究，
构建人工股票市场模型，并且将其与真实的股票市场进行对比校准，增加模型的
有效性，对比结果显示所构建的 ASM 具备与真实股票市场相似的格式化特征，
能够用来进行仿真研究。分别设置有无融资交易和不同保证金比例多组实验对市
场非流动性进行对比研究，发现允许融资交易的市场非流动性明显低于不允许融
资交易的市场，同时适当的降低保证金比例能够使市场流动性增加，但是过度降
低会起到相反的作用，市场非流动性不降反增，现在 100%的保证金水平也相对
合理。
关键词：融资交易，保证金比例，市场非流动性，计算实验金融II
ABSTRACT
With the development of margin trading, more and more investors buy stocks by
borrow money from brokerage. The scale of the margin trading is expanded rapidly,
especially in the year 2014 and 2015. And during this time, China A-share market
experienced a “bullish” and “crash”. The stock market has a same changing trend as
that of financing amount. When the China Securities Regulatory Commission control
the margin trading, the stock market begun to fall and the liquidity dried up. The
paper is focus on the relationship of margin trading and market liquidity.
The research is concentrated on the perspectives of theoretical, empirical and
simulation. Firstly, the paper introduce the related concepts and modes of margin
trading and analysis the mechanism of how margin trading affect the market liquidity.
We thought it is through direct or indirect increase the demand and supply of the
funding and shares. In empirical aspect, the paper research the liquidity of the whole
stock market and individual stock. The research found that the margin trading is the
granger cause of market illiquidity when the stock market moves up. But it is appears
an opposite phenomenon when the stock market moves down. In the research of
individual stock illiquidity, the result is that margin trading can increase the liquidity.
This paper developed an artificial stock market to simulate China Stock Market. The
model is calibrated with the actual market and the result found that the model can be
used to simulate the data. In the simulation research, we set two groups of
experiments that one without margin trading and the other one margin trading is
allowed. The result found that the illiquidity of the group with margin trading is lower
than the other group. That is to say margin trading can increase the market liquidity.
And then set different margins in the model, we found that lower the margins in a
appropriate level, the illiquidity will decrease. While the margin is lower to an
excessive level the illiquidity will increase. And the level of 100% in China Stock
Market is reasonable.
KEY WORDS：Margin Trading, Margins Ratio, Market Illiquidity, Agent-based
Computational FinanceIII
目 录
中文摘要 .......................................................................................................................1
ABSTRACT..................................................................................................................1
目 录 .............................................................................................................................1
第 1 章 导论 .................................................................................................................1
1.1 研究背景与意义..............................................................................................1
1.1.1 研究背景................................................................................................1
1.1.2 研究意义................................................................................................3
1.2 研究思路与方法..............................................................................................3
1.2.1 研究思路................................................................................................3
1.2.2 研究方法................................................................................................4
1.3 研究内容与结构..............................................................................................5
1.4 本文的创新点..................................................................................................5
第 2 章 文献综述 .........................................................................................................7
2.1 关于融资融券的综述......................................................................................7
2.1.1 对价格发现功能的影响的研究综述....................................................7
2.1.2 对股票市场波动性影响的研究综述....................................................8
2.1.3 对股票市场流动性影响的研究综述....................................................9
2.2 关于市场流动性的综述................................................................................10
2.2.1 资金流动性对市场流动性的影响......................................................10
2.2.2 市场流动性的衡量..............................................................................10
2.3 关于计算实验金融的综述............................................................................ 11
2.4 对现有研究的评述........................................................................................13
第 3 章 融资交易对我国股票市场非流动性影响的理论研究...............................14
3.1 融资融券的相关概念....................................................................................14
3.1.1 融资融券的基本概念..........................................................................14
3.1.2 融资交易与普通证券交易的区别......................................................15
3.2 融资融券业务的主要模式............................................................................16
3.2.1 融资融券交易的主要模式介绍..........................................................16
3.2.2 融资融券交易模式的比较..................................................................19
3.2.3 我国融资融券交易模式的选择..........................................................20
3.3 融资交易对市场流动性影响的作用机理....................................................21
3.3.1 未引入融资交易时股市的运行机理..................................................21
3.3.2 融资交易对市场流动性影响的作用机理..........................................21
第 4 章 融资交易对我国股票市场非流动性影响的实证研究...............................23
4.1 融资交易对整个市场非流动性影响的实证研究........................................23
4.1.1 数据选取...............................................................................................23
4.1.2 指标选取...............................................................................................24
4.1.3 实证检验结果........................................................