| The Shanghai and Shenzhen stock exchange in2013, according to the announcement late on January25, to meet the needs of the development of securities lending and borrowing business, since January31,2013, the scope of the underlying stocks will be expanded to500. This news has also further shows the margin trading in the Chinese stock market scale expands unceasingly.Margin is the March31,2010pilot in the securities company’s business. Its is carried out in order to prompt the security market is more active, improve the brokerage survival environment and play to stabilize prices and effectively alleviate the pressure of the market of insufficient funds. The purpose of the business is very clear, but should it can play its due role in the market? This is the author’s purpose in writing this article, through the securities lending and borrowing business after launch market data for empirical testing. According to the inspection results to determine whether the volatility will affect China’s stock market volatility.Securities lending and borrowing, refers to the method whereby a securities company to lend money for its investors to buy securities or lending securities for the business activities for selling, Investors’borrowed fund to buy securities to the securities company, borrowing securities and selling activity, known as margin trading, which is also called credit transactions. Securities lending and borrowing business is for securities companies and securities margin trading is on the company’s customers, also is for investors. It includes brokers financing and lending securities to investors, securities to investors and financial institutions to the financing and lending securities brokerage.Securities lending and borrowing business, fundamentally solve the China’s stock market unilateral market trading, it is of milestone significance for China’s capital market. At the same time, to start a new business we also want to on the risk and the correlation of influence on other relevant market make a judgment and estimation.The csi300index, this article selects the samples used for stock market index proxy variables, combining the daily refinancing purchases and daily sell well, with the three variables to make an overall inspection on the stock market volatility. Through the unit root test (ADF), the ARCH-GARCH model and VAR, SVAR test method to test and determine the stock market volatility. Results show that the margin has no significant effect on the volatility of the stock market.This paper will be divided into five parts:The first part, introduction. Mainly introduced this article selected topic and the significance, the domestic and foreign literature review, research capacity and methods, as well as the innovation of this paper and the insufficiency.The second part, China’s margin present condition analysis. This passage mainly introduces the Margin of China’s history, present situation and the existing system bottlenecks and solving suggestion.The third part, Margin impact on stock market volatility. Mainly from the margin on the mechanism of action of stock market volatility and factor analysis of stock market volatility about margin.The fourth part, the empirical analysis. We classify the sample data to do some analysis. The first kind is based on all the time about the sample data. And the second is to select a drop period in session data, the third kind is to select a rise time of the data. Three times the empirical test, using the TARCH, SVAR, and impulse response method to analyze the results.The fifth part, conclusions and recommendations. According to the fourth part the empirical conclusions. At the same time, according to the conclusion and the recent events in the market, puts forward related suggestionsIn this paper, there are three conclusions:1. Based on the conclusion of each period of volatilityDuring the whole period, increase the volatility of the leveraged buyouts, will make the stock market volatility has a2periods within the change of the negative. Show that in the whole period, increase the volatility of financing purchases is conducive that market will be more smooth, more effective and more rational market prices. And in the two period of decomposition, from cointegration equation in falling period and rising period of the pulse analysis, volatility of financing purchases and amount of securities sold are both increasing. It made the market more severe fluctuations in the short term.2. Based on the Granger test conclusionIn the whole period of Granger test, it is concluded that the volatility of financing purchases on the day can explain more part of the volatility of the stock market and at the same time it is more like the endogenous variables, while securities sold amount didn’t pass the test, it is as exogenous variables. Through the test financing to buy and sell securities are exogenous variables with each other. This inspection result is conform to the actual situation. The margins from the pilot in our country is only four years. In the test period, the number of securities mark is increased from100to500,but it is also far from the number of securities financing can buy. So there is a limited data in securities trading in this period of time which impacted on the overall market and failed to produce the same effect to the financing. This is also the reality in securities lending and borrowing business.In the rising period of Granger test, it is concluded that in the stock market’s volatility in the equation, only both the financing to buy and sell securities volatility can explain more about the stock market’s volatility. In financing to buy and sell securities in the equation, the test shows that the stock market’s volatility increases can explain their volatility. This can be explained in the actual situation, when a certain trend is relatively clear in the market, and excluding margin, market volatility itself will increase. But including the securities lending and borrowing business, market volatility will increase the emotions of people to buy or sell, make margin volatility increases to a certain extent.3. The conclusion under the long-term affect perspective of fluctuations.Both from the whole period of time to study and unidirectional rising and falling time research, in the long run, the development of margin impact on the volatility of the stock market is very small. Only on the stock market volatility in the short term there is a positive or a negative,but the value is too small. And the impact for a long time tend to be0. So the conclusion is to carry out margin trading from the perspective of long term, will not affect the stock market volatility. |
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