| A system has its effectiveness factors.Therefore,different systems will lead to distinct results,and the effect of one system could be different when applied to different economic environment.It is a new-institutional-economics-based theory,and has been fully testified in the securities market.Margin system has been put into practice in the securities market in western countries for over 400 years.By taking a review of the history and evolution of this system,people can see the relentless pursuit of a system of perfection by the academic circle and in practices.Currently,mature securities markets represented by the US have established a complete margin system,whose core value is to provide maximum liquidity for the market.With this system,the authority could effectively decrease the occupied capital of investors,greatly increase the convenience of the investment activities in securities market,as well as promote the efficiency of the pricing mechanism.However,the author considers that margin systems of this type are not applicable to China's securities market.What is in accordance with China's securities market is the counter-cyclicality margin system,which takes valuation function as its core value.To illustrate this point of view,the author attempts to establish a theoretical framework for evaluation of the validity of margin system in securities markets,which is based on the theory of human's limited rationality,the transaction cost theory,the theory of property rights as well as the theory of institutional change.With financial analysis instruments as the technical support,the author attempts to provide theoretical assistance to varieties of securities markets to choose appropriate margin system.The author has also designed a margin system,which is based on the characteristics of China's securities market and the supervisory authority,and is aiming to minimize the operation cost.This system is in accordance with the above-mentioned framework and its validity has been testified.During his study,the author tried to find the answers to the following questions: how does human's limited rationality work in margin transaction? How to define and measure the transaction cost,which is the benchmark for performance in securities market? What kind of margin system design could reduce the transaction cost? What is the approach to promote the performance of property rights arrangement relating to the margin system? In case of institutional change on margin system,how to evaluate the performance? Could the counter-cyclicality margin system start the evolvement and realize the North Path Dependence I? To answer the above-mentioned questions,the author has carried out the following studies:Chapter I Introduction.This chapter briefs the background,significance,literature review,method of study,content and structure of this paper,as well as innovative studies.In the part of literature review,the author has taken inductive reasoning and research on domestic and international literature according to the viewpoints and academic structure.This part consists of 3 sections:i)The author has generalized and studied the three different viewpoints on the connection of margin transaction and market volatility,and has assumed that case-by-case analysis should be carried out on the influence of margin transaction on market volatility;ii)The author has generalized and studied the two different viewpoints on the effectiveness of the adjustment of margin ratio,and has considered that a proactive counter-cyclicality margin system could improve the efficiency of the market;iii)The author has generalized and studied the literature in margin system design and has held the viewpoint that stock exchange and futures exchange should be integrated into the margin system of securities market.Chapter II Theoretical Framework for Study on the Margin System in Securities Market.This chapter focuses on defining key concepts and research range,introducing the theoretical source of the paper,and elaborate the theoretical framework for the analysis of the margin system.Relevant theories are elaborated in the following five areas:i)The interpretation of the margin system in the securities market in new institutional economics.The author has analyzed the connection of new institutional economics and margin transaction in the perspective of institution and performance.ii)Human's limited rationality and margin system.Based on the logic of limited rationality and its influence in securities market,the author has analyzed the applicability of the limited rationality theory in analysis on margin transaction.iii)The transaction cost theory and margin system.Based on the logic of transaction,transaction cost,the connection of transaction cost and performance,the measure of transaction cost,and transaction cost in securities market,the author has analyzed the source of the transaction cost theory,and offered guidance to the study on the performance of margin system;iv)The theory of property rights and margin system.Based on the logic of property rights,property rights in margin transaction,the efficiency of property rights arrangement,the author has analyzed significance of the theory of property rights to the optimization of the margin system;v)The theory of institutional change and margin system.Based on the logic of institutional change,its classification,cost and path dependence,the author has offered guidance for the design and implementation of the margin system.This chapter has also provided the theoretical framework for the analysis of the margin system.Chapter III Present Situation and Problems of the Margin System in China's Securities MarketStarted with two types of margin transactions,i.e.securities margin trading and share price index futures,the author has analyzed the present situation of margin transaction in China's securities market,the difference comparing with international market,specific rules of the margin system and problems in margin transactions.He has also studies the viewpoints of the supervisory authority of China's securities market as well as the trend for the evolvement of the margin system.Chapter IV The Evolvement of Transaction Cost and Margin System in China's Securities MarketFirstly,the author has analyzed the definition and measurement of transaction cost: according to the definition,cause,content as well as measurement,and based on these studies,he has restructured the implication and measurement of the transaction cost in securities market.Secondly,the author has analyzed the influence of the margin system on transaction cost in securities market.The studies have covered the positive feedback characteristics from the investors' timing ability as well as stock selection ability in securities margin trading,and got the assumption that uncommitted securities margin trading will increase the transaction cost in securities market.The author also has analyzed the spillover effect of the share price index futures on stock spot market,and has assumed that share price index futures could also cause an increase on the transaction cost in securities market.In the end,he has made the point that introducing the counter-cyclicality mechanism to the margin system could save the transaction cost in securities market.Chapter V The Design of Counter-cyclicality Margin System and Efficiency AnalysisFirstly,the author has studied the design and content of the counter-cyclicality margin system in theoretical framework;secondly,he has provided the specifications in design and implementation of the counter-cyclicality margin system,and gave full illustration with case study;finally,the author made comparison on the performance against the backdrop margin system evolvement with numerical simulation.Chapter VI Policy ProposalsTo conclude the arguments of previous chapters,the author has offered suggestions for the margin system reform of China's securities market from the perspective of the macro supervision,securities margin trading as well as share price index futures in securities market. |
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