The Study Of Margin Impact On Volatility And Liquidity Of Stock Market

Since the establishment of China’s stock market in 1990s, it developed quickly and achieved the encouraging development of the performance. But lack of short mechanism in the process of the development, hindered the long-term development of the stock market. In order to remedy the defect, China formally launched pilot margin trading On March 31,2010.It marked the securities market of our country ended the "unilateral city" era, into the new era of credit transactions.After nearly five years development, by the end of 2014, the margin balance scale has achieved the growth of more than one hundred thousand times. The number of the underlying stocks is also growing ten times. As one of the types of financial derivatives, margin trading released market dynamics.To a certain extent, it promoted the prosperity of the stock market. And margin trading is a "double-edged sword", it magnifies gains as well as enlarges the market risk. Leverage the "temptation" makes some brokers "forget the risk". Therefore, strengthen research on the impact of margin trading on the stock market and aim at the existing problems of margin trading to put forward the corresponding proposal has important practical significance.According to such a logic thread of this article, theoretical analysis, empirical test, some suggestions and conclusion analysis. On the basis of descript the concept, introduce the function, analysis the mechanism of the stock market and analyze the current situation,select 566 and 449 trading days before and after refinacing as samples, use ADF test, VAR model,Granger causality test and other empirical methods, contrasted analyze the refinancing of margin trading on the stock market. On the basis, suggest to consummate the perfection of the mechanism of refinancing, management the investors, control risk. The following research conclusions:First, the impact on the stock market volatility:After the refinancing, enhanced financing who trade bring down the fluctuations in stock price. But borrowing short selling exacerbated the share price volatility in the short term. Before and after the refinancing, margin trading is the granger cause of changes in share price volatility. Second, the stock market liquidity effects:After the refinancing, margin trading improves the liquidity of the stock market. And margin trading is the Granger cause of the stock market liquidity level changes.