Empirical Research On The Impact Of Margin Trading To Chinese Stock Market

In China on March 31, 2010 officially launched pilot securities margin trading,not only opened the Chinese stock market closed "bilateral market" door for many years, also marks the securities business in our country on the way of healthy development has entered a new milestone.As an introduction of shorter business,margin impact on Chinese stock market has always been the hot spot of the attention, in the industry have different views, so carry on the empirical aspects of the research will help the Chinese stock market on the development direction of stable and mature further.We choose Shanghai and Shenzhen 300 index as the sample representative of the Chinese stock market, volatility and liquidity as the stock market run quality indicators, in November 2011 to 25 solstice December 31, 2015, a total of 996 valid session as sample interval, first for margin trading transactions, paper analyzed the characteristics, the system has carried on the summary to the influencing factors,and through the theoretical analysis to explain the margin of the mechanism of action of the stock market; Secondly through the VAR model set up Shanghai and shenzhen two city financing balance, securities balance between liquidity and volatility and regression vector equation, and through the granger causality test,impulse response function and variance decomposition method verifies the interaction relationship between variables; Drew the conclusion that: financing transactions to a certain extent, can restrain the volatility of Chinese stock market prices, and can promote the stock market liquidity; Securities transactions can also accelerate the underlying securities financing, but no obvious effect to stock price volatility; Intensified and price volatility in the stock market or the velocity increases, the margin trading has been significantly promoted and expand the scale of the deal.Finally combining the empirical analysis results and the existing deficiency of margin trading in China, two financial future development put forward some countermeasures and Suggestions of the business, from the perspective of market participants and regulators of perfect two new idea of integrating business, to our country stock market can be under the influence of margin trading booming in the direction of more stable and healthy.