A Study On The Correlation Between Yield Fluctuation And Performance Fluctuation Under Margin Trading

Stock return volatility is the core issue of research on asset pricing, financial risk management and etc. Fundamentals-based theory is an important branch in explaining stock return volatility, whether stock return volatility is explained by changes in the fundamental value is also one of the criteria to measure the effectiveness of the stock market. Based on the data of China’s A-share market from2008to2012,I found that the variance of returns is negatively associated with return-on-equity and the negative relation is significant, and the relation between the variance of returns and the variance of return-on-equity is significantly positive.Margin trading has become one of the main issues in China’s stock market. China margin trading started from March31,2010, up to February28,2013, margin balance has reached about140billion yuan, the number of securities companies which carry out margin trading business expanded from the original6to74, the number of margin underlying stock has expanded to500. Securities refinancing has been launched to broaden the securities that can be used for margin trading, which will play an important role in margin trading. China margin trading mechanism is still in constantly improving, and the size of the margin trading will further expand, margin trading will undoubtedly play an increasingly important role in China’s stock market in the future. In this context, our paper based on the data of china’s margin trading, and found that the volatility of stock returns is lower after that stock can be sold short, and stock return volatility is positively associated with margin balance indicator.