| Our margin trading business started in October2008, heralded the beginning ofthe pilot margin trading in China has entered a red herring, entered the real procedure.Margin began formal operation in March2010, this time to run for the significantimpact of the stock market, so that China entered the era of credit transactions, onlyunilateral done before the end of the multi-age. The move for the majority of investorsto provide a new approach to profit, at present, the margin has been running for morethan3years, through the Shanghai Stock Exchange, Shenzhen transaction amount ofdata you can see, they are constantly increasing scale, and this trend will alwayscontinue.This paper summarizes the significant impact of margin stock market relatedliterature, points out application status at home and abroad margin trading andresearch studies in this area for a significant impact on China’s stock market. Takinginto account the refinancing and margin trading of securities trading system as anascent market, prepare the system outlined herein refinancing connotation to clarifythe difference between refinancing and contact between the two margin, followed byanalyzes indicate in the course of the operation of the market, the impact of margintrading liquidity and volatility of the stock market’s role in the mechanism, this paperstudies the impact of margin trading when the securities market, the removal of bothliquidity and stock market volatility angles, analyze the empirical margin trading inChina’s stock market after a steady run for change and the impact on stock marketliquidity and volatility, and then put forward their own ideas based on the results ofempirical analysis.The main conclusions of this article are as folio wings:1.Firstly GARCH model fitting SSE180Index, respectively, followed by the useof VAR model, Granger causality test and other empirical methods to verify margintrading in the stock market during operation, can have the effect of reducing thevolatility of the stock market, the empirical results of beginning with the theoreticalassumptions consistent empirical analysis results indicate that the introduction ofmargin trading of securities markets may reduce the volatility of the stock market, butthe impact is small effect. Also reflects a phenomenon that changes in the stockmarket price volatility is a relatively complex process, the volatility is not onlyaffected by changes in the margin, which also mixed with many other factors, similarto the financing of financial participation investors Securities Transactions belongsorganization or individual, of the Commission and other regulatory agencies for monitoring operation of margin trading, as well as national policies and so on.2.In the test when analyzing the impact of margin for the Shanghai stock market,we use Granger causality test, OLS regression to empirical analysis. The resultsshowed that: Margin trading with the stock market to enhance the liquidity effect, butto improve the liquidity of the market is small. The reason may be a short time ofimplementation of margin trading system, and some limitations in the system, the sizeof the margin trading is still much room for development. At the same time it reflectsa phenomenon that changes in stock market liquidity is a relatively complex process,the flow of change is not only affected by margin trading, there is also mixed withmany other factors. Granger causality test results indicate that in the short termfinancing transactions Granger cause stock market liquidity unidirectional. In themedium to long term, the stock market liquidity is unidirectional Granger factorsfinancing transactions. In the short to medium term time, the stock market liquidityand margin trading with each other for the Granger causality, and unidirectionalGranger root cause long-term stock market liquidity to securities lending transactions. |
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