The Study Of Margin Impact On China's Stock Market Volatility

Margin takes China into the era of the credit trading in March 31,2010, and ends one-side market in China stock market. What impact will be generated on China's stock market by this maturing business in the West? I think it is important to realize deeply this business and explore the impact on China's stock market. This paper selects the SSE 50 Index, the amount of leveraged buyouts and the number of selling stocks by borrowing as the sample data from 16 April,2010 to April 29,2011. Then do the empirical analysis by GARCH model. Because the margin trading has not carried out before March 31,2010, many scholars analyze Hong Kong or Taiwan stock market, which is more interrelated with China, for the further speculating the impact on China's stock market. These three markets also have significant differences, so lots of inaccurate inference will be caused. In this paper, the data of margin trading in China is used to come to the conclusion:Margin trading has no impact currently on the SSE 50 Index. This mainly composes of the following three reasons. Firstly, investor structure is irrational; Secondly, margin percentage is too high; Finally, the number of underlying securities is too little. But it is believed that, as the scale of margin trading enlarging, it will impact deeply on China stock market. In addition, the author analyzes the impact factors of China stock market volatility caused by margin, and makes relevant recommendations for promoting development of this business in China.