The Influences Of Margin Trading On China’s Stock Markets

In our country,Since stock market was set up in1990,Specifically prohibit short selling behavior in the market, so in order to make money the investors can only through buy low and sell high the stocks,which was only wait for the stock market rose can profit.This situation is called single-market.In october5th,2008,The China Securities Regulatory Commission officially announced the launch of margin trading pilot,initially laid the mode of the margin trading system, which marks China’s securities margin trading truly entered a substantive stage. In March31th,2010the Margin Trading business was officially launehed,which is a milestone in the reform of China’s securities market,.It was indicating our country henceforth bid farewell to the20years of unilateral market era.Investors can not only do more to profit,but also can make short by the margin trading to profit。The Margin trading provide investors with new trading patterns,and more profitable channels.By the29th February,2012, the margin trading business in our country has been running for nearly two years,from the Shanghai and Shenzhen running situation,whether the Margin purchase or the amount of Short selling,the transaction size continued to enlarge,and increased rapidly.In particularily, after the scope of the pilot business expanded and the pilot business be turned to conventional,the size of the margin trading business expanded further. So far,there have been approved3batches of security companies and a total of25securities companies,2,200securities business department to participate in the pilot margin trading, Meanwhile,investors are becoming more and more positive in the margin trading business. The introduction of margin trading credit trading mechanism of great significance to improve China’s securities market trading mechanism, enhance the liquidity of the securities market, the inhibition of stock market volatility from the theoretical experience of margin trading to stabilize the market functions. This article ittends to select China’s Shanghai and Shenzhen’s overall margin transactions as research subjects, which as a comprehensive analysis of the margin trading business of China’s stock market, mainly from two aspects of stock market volatility and liquidity to be investigated. For the development and mechanisms of our margin in order to improve the theory and practice support.The second part of this article briefly describes the basic knowledge of the margin trading mechanism, including its basic concepts, trading features and functions, and simple sorting out of the development of domestic and foreign margin trading, followed by China finance financial securities business by the pilot business "to" routine business "trading system before and after differences were analyzed.The third part of this article briefly describes the theoretical analysis of the financing, margin trading mechanism of stock market volatility and liquidity. In order to lay a theoretical foundation for subsequent empirical research part. And Part IV of this article will use to the relevant data and econometric models a brief introduction, and provide technical support on the back of empirical analysis.The fifth part as a sample of transaction data, select the domestic market on the basis of theoretical studies of margin trading to turn routine, trying to study a basic business as a securities market, will China’s stock market early in its trading transactions what kind of impact. Select the CSI300index of China’s securities market as a stock market transactions on behalf of, on behalf of the liquidity of the stock market turnover of the Shanghai and Shenzhen300Index, selected in the stock market volatility index, in general, many scholars selection of trading index returns The rate of daily amplitude of the variance or trading index as the proxy variable of volatility. However, given the non-normality of financial time series, the fat tail characteristics, the index volatility of conditional heteroscedasticity, will affect the empirical test results, this paper uses the GARCH (1,1) model to simulate the volatility of the stock market. Eviews5.0econometric software an empirical analysis of relevant data, through the establishment of the vector auto regression (VAR) model, the Granger causality test method and the impulse response effect and the variance decomposition analysis to empirical research in finance, margin trading on China’s stock market liquidity and volatility. And the following conclusions. 1.The impact on the stock market liquidity:margin trading in China has significantly increase the stock market liquidity, and the empirical results also showed that the intensity of financing to buy the empty transaction of stock market liquidity is greater than the role of short sales transactions on the stock market liquidity. The variance decomposition results show that, in the tenth trading day, the financing to buy the empty transaction of stock market liquidity explain the proportion of20%, short sales transactions on the stock market liquidity explain the proportion of11%.2.The impact on the stock market volatility:short sales transactions significantly affect the stock market volatility, but the Margin purchase is not significant affect the stock market volatility.on the contrary, to some extent, stock market volatility change would investors financing to buy the empty transaction decision-making guidance. The same time, the empirical results found that margin business of the early running of China’s stock market to a certain extent,"fueled or down" effect, that is, to some extent, margin trading, exacerbated by China’s stock market fluctuations, but we also found that this exacerbated by weak effect. Produce such a result and is closely related to our current margin development. Margin trading business in China has just converted to conventional pilot business, and market access in the pilot phase, the subject of a narrow range, the reasons for participation in the margin of the smaller brokerages and investors mode of thinking yet to change the, making the margin trading to faster growth, but the deal size is still severely limited. Which led to the basic function of the margin is not very good play.