The Study Of Margin Impact On Stock Price Volatility

March 31, 2010 margin trading was officially launched in China, which is a major reform of the stock market trading system. It makes the development of China's securities market entering a new stage. It also raised an important question: whate will margin trading bring an effect to the volatility of stock market? Correct understanding of this issue is to improve and perfect the supervision system of China's securities market is important. As the margin trading has just started in the Mainland stock market, there is no actual data. in view of Hong Kong and mainland stock market correlation, the paper selects the Hang Seng Index from January 2, 1990 to December 31, 2009 as the sample data. hen take the margin and the uptick rule as dummy variables into GARCH (1,1) and extended model GARCH (1,1)-M, EGARCH (1,1), GJR-GARCH (1,1), CARCH and asymmetric CARCH a total of six models Case studies. And traw to two conclusions: (1) the launch of margin trading can reduce the volatility of the stock market, play a stabilizing role in the securities markets; (2) it is not obviously impact on the volatility of stock prices whether taking an uptick rule. Finally, comparing Hong Kong stock market, analysis the factor of the Margin impact on volatility of the mainland stock market. Through analysis these factors of margin impact on volatility of the mainland stock market, And then make relevant policy recommendations.