| In March2010,margintrading,as a basic institutional arrangements in thefinancial market introduced into China’s securities market, has ended the long-term"unilateral market" pattern and opened the era of bilateral transactions.With themargin trading expanding, the pool of the underlying securities enlarging, theproportion of the market value increasing, it increasingly plays a significant impacton the stock market.However, what influence does the margin exert on the stockmarket,especially for volatility, has been one of the focusof debatetopicsin thetheoretical and practical circles and is still on discussingRespectivelybased on the market and individual stocks perspective, thispapercomprehensively uses a variety of econometric analysis methods,such asGARCH model,VAR model,impulse response function, variance decomposition,Granger causality, etc.to empirically studythe impact of fluctuation of margin onmarket and of individual stocks adjustment on themselves.The main conclusions ofthe study are as following:Firstly,thetheoretical analysis shows that the margin can lower the stock pricevolatility. If prohibiting short selling or more restricting, the stock price is prone to"overrated";if allowed,pricewill be equal toitstrue value ultimately.Secondly,theempirical results show that the margin can stabilize the volatilityof stock market, and more significant to individual than the whole.(1)Marginpurchase’s impact is negative and shot selling is positive.(2)It is consistent ofindividual share test to assumptions, that is,prohibiting or restricting short sellingwill cause the stock price "overvalued", and allowing it will make stock returnsnegative.Based on the conclusions of the study, this paper presents some rationalpolicies and recommendations for margin development:further expanding themargin trading business and gradually relaxing its limit;strengthening supervisionmore and regulating trade system;popularizingthe knowledge of margin andadvocating rational investment philosophy... |
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