The Study Of The Margin Trading Influence On The China’s Stock Market Of Volatility And Liquidity

Since the beginning of the margin trading market in March 31,2010, margin market balance continues to rise. June 18,2015 two margin market balance reached at the peak of 227 million 300 thousand Yuan. Margin of the "warm" and "cool" functions make it much of the favor of investors and regulators. Margin in the mature markets always plays the inhibit function of fluctuations in the market, but in our country, many scholars think margin is an important cause of the stock market crash in 2015, also some scholars hold the opposite view. The purpose of the introduction of margin in our country is to reduce price volatility and perfect the capital market. This article will focus on studying that the margin trading would be able to achieve expected effect.Based on the model of heterogeneous beliefs and the stock price over-valued hypothesis, we analysis the impact of the margin to the stock market volatility and liquidity of our country. We choose the Shanghai and Shenzhen margin trading and corresponding to the Shanghai composite index from 2012 to 2015 as the research sample. Through establishing vector autoregressive (VAR) model, Granger causality test, impulse response and variance decomposition analysis method, we can concluded:(1) Volatility:margin in different periods showed different effects,2012-2014 financing bonds stabilize the stock market volatility but 2015 margin tended to promote the role of volatility in the stock market. During the period of 2015, the margin trading had deviated from the normal mechanism of action, which aggravates the volatility of the stock market in China. (2) In terms of liquidity, margin trading in two time periods are shown to enhance the liquidity of the stock market, while promoting the stock market transactions will increase the liquidity of the stock market undoubtedly.Finally, combining with the related research results and the actual situation of our country margin market we put forward some policy suggestion such as establish to flexible leverage and margin rates system, perfect our refinancing mechanism strengthen the supervision of the securities market, establish strict information disclosure system and so on.