The Study Of Effect About The Margin Trading On The Stock Market Volatility

Margin Trading refers to that when investors do securities investment, they can pay a certain amount of margin to the brokerage company which is qualified to engage in margin trading to borrow money to buy securities trading behavior or to borrow securities and sell them.Before the pilot securities lending and borrowing business, China’s stock market is a typical "unilateral market", investors’ investment channels and profitable way is single, only by buying stocks, then sell them after the price roses. And when the stock price in a downtrend, even if investors saw the investment opportunities, due to the fact that the market lack of the corresponding stock short investment channels, investors often can only choose to unwind away or choose to the bedding bag and wait for the price rebound. Under the background that the market lack of the short mechanism, investors try to avoid the price risk, investment transactions is often frequently operated, and the speculative atmosphere is serious, coupled with the reality that the unbalance of power makes our country’s stock market has certain bubble all the year round, once the bubble burst, the stock market is often accompanied by ups and downs, this is also one of the important reasons why our country stock market is often in turmoil. And the Margin Trading is an important port for the stock market to turn to the "bilateral trade" model, which has a great significance to rich market investment channels and improve the market mechanism, therefore, short selling mechanism of stock market has become one important step to the development of the stock market.After a long period of preparation, on March 31 in 2010, the pilot business of securities lending and borrowing launched in china. Margin Trading is a key initiative of the securities market in our country, and also in our country it is an important symbol of the maturity of a securities market. the important task of margin trading undertake is to promote the market’s price discovery function、slow market fluctuation、build a multilateral market pattern, and scholars have conducted a lot of research work.Many scholars’ research found that margin can adjust the market supply and demand balance by leverage effect, and then slow down the volatility of the stock market. But there are also some scholars have a negative attitude on the matter that the influence of a margin on the stock market, they think the margin has a certain risk itself, coupled with fact that the development of China’s securities market is not yet mature, and the time of implementation of the securities lending and borrowing business itself is short, so the margin is also likely to be a kind of catchall to intensify the stock market volatility. Although scholars have been studying this problem for a long time, and have not get the consistent conclusions yet. What is the relationship between the margin and the stock market、whether it has an obvious impact on the stock market? These problems Is worth researching continuously, and this also is the starting point of this paper.In view of this, this article firstly combs the predecessors’ research results systematically, and then categorizes these results, proven way of researching for this article. Secondly, in this paper, the relevant definition of margin is defined, this paper introduces the margin trading mode and the running mechanism, combined qualitative analysis with quantitative analysis method, through the collection of margin transaction data, the article analyzes the current situation of the development of the securities lending and borrowing business quantitatively in our country, and the related problems are put forward. Then use the method of theoretical research and empirical analysis, this article analysis the theoretical mechanism of action of margin on the stock market volatility problem systematically, and illustrates the effect of the margin trading and securities trading on stock price transmission mechanism respectively. Then this paper takes C hina’s Shanghai and Shenzhen two cities as the research object, takes the transaction data begins with the pilot securities lending and borrowing business until December 31, 2014 as the sample, the affect of margin to our country stock market volatility are verified by the VAR model. Finally, this paper combined with the development of the present situation of securities lending and borrowing business in our country, put forward the related policy suggestions to perfect our country margin trading.In this article, through empirical study, found that it’s true that margin trading has a certain function to the stock market volatility, but its overall scale is small in the current stage, the influence degree on the stock market is very weak, there is a growing trend. At the same time, the margin trading is a Granger cause of the stock market volatility, the effect on the stock market volatility is remarkable, it is also a process of complex and changeable. And the securities trading business is not the Granger cause of the volatility of the stock market, and the impact is not significant, but the role of sec urities trading on the stock market volatility is one-way direction.