The Impact Of Securities Margin Trading On A Share Market Of China

With the development of margin trading in our country, more and more domestic scholars began to explore margin impact on Chinese stock market, in foreign countries, this kind of research has been done the mainstream point of view, and margin can improve the liquidity of the market, reduce the volatility of the market, the stock pricing is reasonable. But the domestic and foreign scholars’s view on margin with the impact of China’s stock market are diffierent. Most of the literature is written after margin just launched in our country, the data quantity is limited, such differences, the author of this paper, after getting the amount of data of the securities lending and borrowing business since its launch four years, aim at the effects of margin to our country stock market analysis. In addition to study the effect of margin to our country stock market, this paper also studied the relationship between margin and stock index futures pricing, so as to analyze the pros and cons of China’s securities market introduction of shorting mechanism.Margin is a form of credit trading, but some people disagree about short, its influence is like a double-edged sword can produce the effects of both sides. Financial crisis makes people feel margin fluctuations in the stock market it make the market not stable, short for stock market volatility is bigger, Also some scholars have opposite opinion, Empirical part is the core of this article, I use the GARCH (1,1), risk (VaR) model, Vector autoregressive of VaR model:cointegration test, Granger test, impulse response function to study the impact of Securities lending and borrowing business on stock and futures market of China. Select Chinese securities business data, study how the margin trading change of the Chinese stock market,especially volatility liquidity and risk analysis, explore the value of stock index futures based some problems at the same time.In addition to the empirical part, this article also lists some of the Securities lending and borrowing business of other countries, find out the policy Suggestions for Chinese national conditions, at the same time, list the problem of our Chinese margin, illustrate how the short of drunkard wine influence the stock market of China.In the empirical part of this article the results of conclusion gradually become accurater from different models, at the start of the GARCH model we can just say Securities lending and borrowing business has relationship with the yield of Chinese stock market,and the method of correlation coefficient can just say Securities lending and borrowing business has relationship with the volatility and liquidity of Chinese stock market,then use VAR model to further improve the conclusion, points out the influence of financing and securities lending on Chinese securities market, draw my own conclusion, Because the data is new, And I use different models for empirical and comparison analysis, so the conclusion is of reference significance.Finally I put forward some referential Suggestions to improve the margin trading of China.