The Analysis Of Secur Ities Margin Trading Impact On Stock Market Volatility

Securities Margin Trading means credit trading and short selling. For investors, there is a new way to trade for profits, for capital market and currency market, liquidity are also increased. In recent years, when scale of Securities Margin Trading develops quickly and trading system trends perfect, regulators are not blindly committed to promote the expansion of the scale. At the end of 2014, regulators began to control the risk of stock market and reduce the bubble of stock market by the elements of trading mechanism and policies, such as stock source restriction and adjust margin ratio et.This paper aims to investigate the overall effect and the point effect of Securities Margin Trading on stock market volatility, and related trading mechanism changing that the opening of Securities Margin Trading, the scale expansion, and regulatory policy how to influence the stock market volatility. Thereby put forward specific proposals to control the volatility of stock market.The paper chooses CSI-300 index and Securities Margin Trading volume, respectively as a measure of market volatility variable and a measure of the balance of the overall margin trading.By dummy variable and lag order, etc., we use GARCH(1,1) model to adjust mean equation and variance equation according to different interval samples. We regard four times underlying stock expansion, refinancing, short selling restriction and margin adjustments as time node, for Empirical Analysis of the margin trading on the stock market volatility.The empirical results show that: in the long-term, the opening of margin trading inhibits volatility inhibition, but the effect is weak. After Securities Margin Trading opening the overall stock market volatility can be reduced, among volatilityare increased by Margin Purchase transactions but inhabited by Short Sale at a great degree. The expansion of underlying stock to a certain extent at a certain can stabilize the stock market volatility, mainly in the short sale to stabilize fluctuations. Once participation of Margin Purchase is too high, stock market volatility began to intensify. Refinance trading can increased stock market volatility, among that money transfer increase the volatility and securities transfer can be carried out to stabilize the stock market volatility to a certain extent. When the stock market fell irrational, short-selling restrictions effects on the stock market volatility is not significant, even slightly increased stock market volatility. Twice margin ratio adjustment have exacerbated the stock market fluctuation.According to the empirical results, we put forward the following recommendations to control stock market volatility and improve the margin trading system. We should focus on investor education, to improve the structure of Chinese stock market investors, reduce short selling restrictions, encourage financial innovation, reduce the frequent policy changes.