Securities Lending And Borrowing Business Reseach On The Influence Of The Growth Enterprise Market Volatility

On March 31, 2010, our country securities market is the official opening securities lending and borrowing business, has since said goodbye to the "one-sided". But the development of the securities lending and borrowing business, if you can help to effectively improve the operational efficiency of stock market in China, the current academic and practice is still controversial. In six years, the scale of securities lending and borrowing business has been rapid development, the SFC conducted several capacity margin target, chinext stocks from the second expansion has become two melt mark margin targets. Research of margin trading on chinext stock market and how to impact on volatility of the underlying stocks, its research conclusion to improve the efficiency of the growth enterprise market transactions, the relevant government departments to formulate reasonable two financial regulation policy, reduce or even avoid the gem irrational fluctuation and adjust the investment strategy has important significance for investors.Based on the index and individual stocks volatility as the research object, the gem in econometrics and other related theory as the instruction, using GARCH model, size of margin trading and gem refers to the relationship between the volatility in the study. First of all, this paper puts forward the research background and research significance, on the basis of the review and summarize the related literature at home and abroad, put forward in this paper, research methods, research ideas and the structure arrangement; In the second part introduces the basic concept of margin trading and stock market volatility and the mechanism of action of margin impact on stock market volatility. Then, the paper introduces the our country the birth process of gem securities lending and borrowing business, development course and the present development status of and some problems were analyzed and summarized in this paper; In the empirical part, in view of the gem stock expansion point in time, the selected time interval is divided into three stages, the test data, the research in stages as margin expansion of underlying securities, its business scale of the gem refers to the impact of volatility, and selecting the representative individual stocks- huayi brothers, study its after become margin target stock price volatility.Draws the following conclusions:(1) since the gem to carry out the two financial transactions, from January 2013 to February 2013, according to the expansion point time interval is divided into three stages, according to the regression coefficient values, both the financing and securities trading less influence on the gem index volatility, but think we phased return results with the increase of gem margin stock target, the gem index volatility has a downward trend.(2) in the market at the stage of crash irrational, investors have seen panic selling, volatility rises, securities selling pressure can lead to increased market volatility, and financing to buy short-term stability, markets, have the effect of certain inhibition of volatility.(3) select the gem stocks on the empirical results show that the margin trading for stocks to its share price volatility has helped up to down, showed the margin to the influence of individual stocks volatility is not with the gem refers to the same, margin trading of stocks effect needs further investigation. Finally according to the empirical results, the paper puts forward policy Suggestions.