融资融券扩张期资金成本管理研究  

Study on the Capital Cost Management on the Margin Trading Expansionary Phase

作　　者：齐岳[1,2] 李天扬[1] 刘彤阳 

机构地区：[1]南开大学商学院 [2]南开大学中国公司治理研究院,天津300071

出　　处：《金融发展研究》2016年第2期3-8,共6页Journal Of Financial Development Research

基　　金：国家自然科学基金重点项目"我国集团企业跨国治理与评价研究"(71132001);教育部人文社会科学重点研究基地重大项目"基金治理和基民利益保护研究"(14JJD630007);南开大学专业学位研究生精品课程项目(ZB150007);南开大学商学院学科建设之教学案例项目(63152005)

摘　　要：我国融资融券业务的推出为证券市场注入新的活力,但也使券商面临相应的资金管理问题。在股市剧烈波动背景下,本文通过实际案例,分析这一新兴业务资金管理模式的困境,通过时间序列模型对其进行讨论并提出节约成本、提高资金运行效率的方法。本文的创新点在于将时间序列模型应用到券商两融业务的资金管理中,为稳定并加快形成融资功能完备的股票市场,进而培育公开透明和长期稳定健康发展的资本市场提供建议。The Launch of the margin trading in our country injects new vitality into the security market, but also makes the brokerage face corresponding problems about fund management. Under the background of the dramatic fluctuations in the stock market, this article analyzes the plight of the fund management model of this emerging business based on the actual cases, discusses and puts forward the solutions through the time series model and finally achieves the goals of cost saving and improvement of the running efficiency of funds. Innovation point of this paper lies in the ap- plication of time series model in the brokers＇ fund management of margin trading. It also provides advice for stabilizing and constructinga stock market that has a perfect fmancing functionas soon as possible, and furthermore fostering a capital markets that develops openly, transparently, and long-term, healthilyas well as stably.

关 键 词：融资融券 资金成本管理 时间序列 自回归模型 

分 类 号：F830.91[经济管理—金融学]