An Empirical Analysis Of The Impact Of The Securities Margin Trading On The Volatility Of Stock Market In China

Since the stock market crash in June 2015, the "securities margin trading" became the talk of the hot spots. Media continue to emerge "overseas short" "conspiracy theory" and other reports to try to explain the formation of the stock market crash. Some analysts believe that the introduction of securities margin trading system led to the market "great earthquake". This paper focuses on whether the system of securities margin trading has increased the volatility of the stock market or not. At the first, this thesis describes the study background and meaning; Secondly, the paper describes securities margin trading system overview and introduces the development process, features, functions, mode and situation analysis, and describes the launch of securities margin trading system and development in our country on this basis. Thirdly, the paper makes a summary of domestic and foreign scholars’ researches on this topic; Finally, the paper introduces securities margin trading on the stock market volatility mechanism of action and then makes an empirical analysis. The empirical analysis uses margin data from January 2015 to December 2015 underlying stocks daily transactions, using volatility, margin debt, short debt and margin balance to establish panel data analysis. According to the empirical results, the introduction of securities margin trading increases volatility of individual stocks, and thus increases the volatility of the stock market. In the end, this paper makes related causes analysis and policy recommendations based on empirical results.