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The Influences Of Margin Trading On Security Markets

Posted on:2011-08-14Degree:DoctorType:Dissertation
Country:ChinaCandidate:X CaiFull Text:PDF
GTID:1119360305973488Subject:Finance
Abstract/Summary:PDF Full Text Request
On January 8,2010,China Securities Regulatory Commission issued a public notice, claiming that the State Council has approved the experiment of margin trading business for Securities companies.It is an important measure to strengthen the construction of China's capital market basic system, enrich the Securities trading ways continuously and improve the market functions.This paper firstly outlined the development path of the global margin trading and the main content, combined with qualitative analysis and effect of many countries restriction on short sales in the international financial crisis of 2008. Then it select the representative of the market, divided into markets and stocks two levels, to make Empirical Analysis of the influence of margin trading on the entire market and individual stocks from angles such as stabilizing the market and improving liquidity.The main contents and conlusions of this article are as followings:1.Choosing the United States,the United Kingdom,European Union (excluding UK), Japan,China's Taiwan and Hong Kong as the research object,analyzing and summarizing the multi-national measures to restrict short selling,the market reaction and their effect in 2008 financial crisis. Analysis showed that strengthening of restrictions and monitoring on short selling transactions to guide it to play an active role in the market is the post-crisis trends in the global regulation of short selling transactions.2.Using China's securities market in Taiwan from Jan 1999–Jan 2010 as an example, the GARCH model and the theory of vector autoregressive (VAR) empirically test the effects of Margin Purchase transactions on the Taiwan stock market volatility. The empirical results show that contrast with the general theoretical assumptions, the Taiwan margin trading increases the volatility of the Taiwan stock market but the influence is minimal.This also shows the influence on the introduction of short selling mechanism of the market volatility is a very complex process, which ultimate direction depends on many factors.3.Selecting five adjustments on the available securities short selling list from August 2005 to September 2009 in the Hong Kong Stock Exchange business, using case study method, by Wilcoxon rank-sum test was allowed to conduct the sale of individual stocks Air pre-trade and to allow short selling transactions to verify that after the volatility of individual stocks included in the list of short sale transactions of this incident on the effects of fluctuations in individual stocks. The empirical results showed that with the event window period from 5 days before and after the event to 10days until to 20days, the incident took place before and after the individual stocks heteroscedasticity mean a significant reduction in the number of incidents increased, indicating allowing short selling not only significantly reduces the volatility of individual stocksbut also sustainability.4.Using China's securities market in Taiwan from Jan 1999–Jan 2010 as an example, the classical linear regression model (classic linear regression model, CLRM), Granger causality analysis of empirically test the effects of Margin Purchase transactions on the Taiwan stock market volatility. The empirical results show that Taiwan's credit transactions play a significant enhancement of the role on the stock market liquidity, in which the effect of financial transactions on the stock market liquidity should be much higher than the Securities Lending Transactions.5.Selecting five adjustments on the available securities short selling list from August 2005 to September 2009 in the Hong Kong Stock Exchange business, using case study method, by Wilcoxon rank-sum test was allowed to conduct the sale of individual stocks Air pre-trade and to allow short selling stocks after the turnover to determine the list of short sales included in the event the impact of mobility on the effects of individual stocks. The empirical results showed that with the event window period from 5 days before and after the event to 10days until to 20days, the incident took place before and after the average turnover stocks significantly increase the number of incidents increased, indicating to allow stocks short selling is not only significantly increase the liquidity of individual stocks, and sustainability.
Keywords/Search Tags:Margin purchase, Short sale, Stablizing market effect, Increasing liquidity effect
PDF Full Text Request
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