A Study On The Impact Of Margin Trading On Stock Price Volatility In China Stock Market

The Shanghai and Shenzhen stock exchange of China was founded in the early 90 s, now has nearly 25 years, in nearly 25 years, the development of China’s securities market is also groping forward, during the financial reform has made significant progress to ensure the long-term healthy development of China’s securities market. Margin achieve substantial development in China so far has been six years, but also is not very mature, and the margin is leveraged deals with tremendous risky, so this paper selects the representative enterprises of the representative industry of the stock market, study margin for the selected stocks share price volatility, investigate whether the individual stocks price under its role will be a larger volatility, thereby help investors to analyze its risks, and give suggestions.At the very beginning, this paper introduces the basic theory of margin trading, including its origin and development, the main mode of function and risk. Also it introduced the concept of the volatility and several ways to measure the volatility, and points out the factors affecting stock price volatility.In the next place, this paper describes the development and current situation of China’s securities market margin, and with the relevant circumstances abroad are compared. And then the Western economics rational man hypothesis, assuming that investors are rational people, theoretical analysis of the margin of the impact of stock price volatility.Again, Through the analysis of China’s securities market, in order to select the method of representative sampling of representative stocks within the area. Then verify the feasibility of measuring the volatility GARCH model, and the use of GARCH model selected stocks to measure the volatility of stocks and the formation of volatile variable.In the final part, Apply to GARCH model variables and the resulting volatility of financial balances and margin balance corresponding stocks were carried out to establish the VAR model and analyze and draw relevant conclusions. And gives related policy suggestions from institutional investors and securities firms and institution.