An Empirical Study Of Shanghai Stock Exchange Margin Impact Of Stock Market Volatility

Our country formally introduced margin trading mechanism on March31,2010, which marked the development of China’s securities market entered a new stage, In three years, margin trading has been rapid development of the underlying securities margin trading range and gone three expansions in China. On September6,2013, the margin of the underlying securities has been expanded to700. Since the introduction of margin trading mechanism, the discussion that it will bring to our country how it affects the stock markets never stopped, In the end, whether it affects margin trading on the stock market’s exacerbated volatility. However, it will affect the stock market of margin expansion target market, which has been the study of the theory and practice of a hot issue.In this paper, the implementation of margin trading on the background of the past three years, the SSE180Index over the past two years of data, based on the selected card between March5,2012to2014January1date180index daily data, and daily balances and margin financing balance as sample data. By setting the GARCH model for empirical analysis, I believe that the role of in-depth understanding of the role played by the margin mechanism and explore margin since the beginning of the implementation of its impact on the Chinese stock market is of great significance. With the development of the underlying margin expansion, the margin trading business is very popular, In addition, the author analyzes the factors affecting the margin of China’s stock market volatility, and how to promote the margin trading business related recommendations made in China’s development. This article may be re-studied of innovation margin of price volatility when considering the effect of the size of the margin of the target on the stock market. Investors may be irrational structure or margin ratio is too high, coupled with the number of underlying securities is still too small, the selected sample interval is still shorter. Led to draw the conclusion of this article,the evidence is that the impact of margin180Index is very limited now, and it can ba reduce the volatility of stock price; while the expansion of the scope on the subject is not a significant impact on the stock market in the short term. With the subject of margin expansion, financing inhibit stock market volatility has increasing trends; however, the effect of trading business on the stock market volatility is not significant.For analysis of the results of this paper, the authors draw on previous experience on the basis of proposed policy recommendations. First, optimize the structure of investors. Because the institutional investors have sufficient information and good investment ideas, it should expand the scope of institutional traders, which it can reduce the volatility of the stock market; however, for retail investors, they should be optimize and develop the concept of the value of their investment. Second, to further expand the scope of the underlying securities and expand the business scope of securities companies. Third, encourage innovation in financial markets, improve the regulatory system. Implementation refinancing mechanism to facilitate the development of margin trading, securities companies can solve the financing problem, but also enhance its ability to resist risks through the establishment of securities finance companies. In addition, the introduction of transfer margin trading business can make up for the current coupon source mechanism fewer short board, and help to reduce the rate of margin trading. Short sales can enhance the positive role of the market mechanism.