An Empirical Study On The Impact Of Margin Trading On China’s Stock Market

This paper studies the impact of margin trading mechanism of the stock market volatility from both theoretical and empirical perspective, and select Chinese stock market related transactions over the past five years for empirical research. On the structural arrangement of this research, reviewed the theoretical research results at domestic and abroad firstly, and proposed research ideas on the basis of these research results. In the theoretical part, introduced detail of the influence mechanism of the margin trading to securities volatility, In the empirical part, analyzed the Shanghai stock market and Shenzhen stock market respectively, combined with the market trend, using the data of stable time series, building VAR model and verifying with econometric methods such as Granger causality test, impulse response, variance decomposition. Therefore, the following conclusions were obtained:1) There is a relationship between the financing transactions and index volatility, and margin trading is not the reasons caused the fluctuations of Shanghai and Shenzhen composite index.2) When the market is in rising range, margin trading lead to index volatility.3) When the market is in down range, financing transactions did not lead to index fluctuations, furthermore, margin trading is not the reason of Shanghai market index volatility, but margin trading caused the index fluctuations of Shenzhen market.