Research On The Calculation Method Of Margin Margin Margin In Shanghai And Shenzhen Stock Markets

As a two-way trading tools in the stock market, margin trading business in Shanghai and Shenzhen stock market make rich of the game modes of long side and short side. It is better for establishing a stable capital market price discovery system,promoting financial innovation and the development of the basic transaction system in the financial derivative market. Institutional investors can take advantage of margin business in the domestic stock market and the stock index futures in the domestic futures market,which can effective in reducing the irrational trend behaviors,some as low sell and high buy, to lock the impact of stock market systemic risk to its net asset value. It is good for protection of the investors’ interests and the long-term development of capital markets. However, the current margin of the margin trading business setting mechanism is relatively simple, which serious problem including high transaction costs and low efficient use of funds. To promoting the efficiency of the margin trading business, it is an important option as establishment the margin settings model which tracks the historical volatility of th stock price. This article will use the non-parametric estimation of extreme value theory such as Hill and Var-X to calculate the optimal margin level of the margin-trade market and its stocks, in order to get more appropriate approach on estimation of the margin, which reconcile the safety and efficiency of the market.