The Policy Effect And Mechanism Analysis Of Margin Trading System On The Volatility Of Stock Price

The margin trading system is an innovative credit trading system.Before the introduction of the system,securities regulators expected that margin trading system would have four basic functions:price discovery,liquidity enhancement,market stability and risk management.However,after the introduction of the margin trading system,the phenomenon of violent fluctuations,soaring rises and slumps in stock market still appeared frequently.The violent fluctuation of the stock market will not only distort the information response mechanism of the stock market and reduce the efficiency of market operation,but also may cause large-scale financial risks.As an important global emerging capital market,the trading mechanism still needs to be gradually improved.Evaluate the effectiveness of the margin trading system,study the impact of margin trading system on the risk of stock price volatility and its characteristics and transmission mechanism is of great guiding significance to further improve the system of margin trading under the new situation.From the perspective of finance,this paper makes a theoretical analysis of the influence mechanism between margin trading and stock price volatility,and further analyzes the heterogeneity and hysteresis of policy effect,as well as the influencing factors leading to the difference of policy effect of individual stocks.It reveals the economic theoretical basis of the influence of margin trading system on stock price fluctuation through mediating variables such as investors’ speculative trading behavior,heterogeneous beliefs,information content and information reflection speed of stock price,and puts forward four research hypotheses to be verified.Then,the main measurement methods used in this article are introduced.The traditional causal inference method and the counterfactual analysis method based on the Lasso method are compared and analyzed,so as to choose the method that is more suitable for the research background of this article.In particular,it is worth pointing out that in order to test the estimated parameters of Lasso,This paper introduces three high-dimensional statistical inference methods based on lasso:Multiple Sample-Splitting,Regularized Projection,and compares the highdimensional statistical inference methods based on statistical power and parameter coverage indicators,and combines high-dimensional inference theory with counterfactual analysis methods.An improved Lasso counterfactual analysis method is proposed.The empirical analysis of this article is divided into three levels.First of all,this paper uses the 90 underlying securities in the first batch of pilot margin trading systems as the processing group to study the individual causal effects of margin trading on the volatility of stock prices.This paper adopts the counterfactual analysis method based on Lasso to conduct control group individual selection and individual causal effect estimation,and a method similar to the exact P test is proposed to test the significance of individual causal effects.The study found that for the first batch of underlying securities,after the implementation of the margin trading system,the volatility of the subject stocks generally dropped significantly.The industries with obvious stabilizing effect include pharmaceutical manufacturing,monetary and financial services,capital market services,etc.Further,in this part of this article,1,036 stocks from the first round of pilot projects and five subsequent expansions are used as the processing group,and the generalized synthetic control method is selected to overcome the non-contemporaneous problem of policy implementation.The study found that after stocks became the underlying securities,stock price volatility have significantly decreased,but the margin trading system has significant heterogeneity and hysteresis characteristics in its effect.For the Shanghai main board stocks,after they became the underlying securities,their volatility dropped in a short period of time.For the Shenzhen main board and small and medium-sized board stocks,there is a certain degree of hysteresis in the impact of margin trading on the volatility of the underlying stocks.For GEM stocks,the margin trading system has no significant impact on the stock volatility of the sector.In summary,no matter from the overall average treatment effect,or from the perspective of the hysteresis of policy impact,the four sectors are quite heterogeneous.Finally,this paper collects the financial status and operating results of the listed company,uses principal component analysis to extract common factors,and establishes multiple regression models to discuss the impact of different factors of listed companies on margin trading,and the source of difference in the effect of margin trading on individual stock price stabilization.The margin trading system has a "Matthew effect" on the stability of individual stock prices.The implementation of the margin trading system makes the stock prices of listed companies with stronger profitability more stable,and has an effect on asset-heavy listed companies with lower operating efficiency,causing the phenomenon of "the stronger the stronger,the weaker the weaker".At the same time,using the mediating effect analysis method to study the transmission mechanism of the margin trading system on the volatility of the underlying stocks,it is found that the margin trading system inhibits investors’ speculative trading,reduces investors’ heterogeneous beliefs,and increase the information content and information response speed of the stock price,thereby reducing the volatility of the stock price.