The Analysis Of Margin Tarding Business Impact On The Stock Market Volatility Based On VAR Model

During the year of2010，Chinese Securities Regulatory Commission announcedstart running the margin trading system officially. However, academic research on theimpact of the margin trading business on the domestic stock market volatility is rare，so this thesis on margin trading on China’s stock market volatility becomes verynecessary.Firstly，I compared the differences of the margin development model in India,Japan, the United States, Singapore, Taiwan and other regions, through the contrastbetween the strengths and weaknesses,we can easily find useful inspiration for ourcountry. Then considering the various countries and regions in the regulation of theirbusiness models, risk control methods, the monopoly power of brokers and theirdevelopment of over several decades or even centuries, we will analysis differentmodels comprehensively and systematic based on the comprehensive evaluation theirunique impact of stock market volatility.And then considering the actual situation of China’s securities market, capitalmarket, stock market margin trading business during the past three years，And usingfinancial time series(Shanghai and Shenzhen300Index, the balance of the financingtransaction size, the scale of the balance margin trading) from July2011to July2013,through the vector auto regression model, constructed the corresponding mathematicalmodel, combined with the corresponding financial time series model. By using othertest modes::Augmented Dickey-Fuller Test, Granger causality test, variancedecomposition and error impact test, unit root test. After the analysis of mathematicalfinancial models, we will do many researches on the margin trading businessdevelopment up to date, restrictive factors for further development, the impact ofMargin trading on the CSI300Index. And finally in accordance with empirical resultsobtained from statistical analysis software, try to solve the problems emerged since the operation of ‘refinancing’ systems, and then give some constructive suggestionsand recommendations.