| On October 16,2007, the SSE Composite Index climbed 6124.04 points, and had been fell down from there since then. After seven years of silence, from November 2014to June 2015, China’s stock market has met the second "bull market" since 2006-2007, which was the first "bull market" after stock index and margin trading business developed. The experience is unprecedented in these 8 months for China’s securities market and its investors under the full range of short mechanism.On March 31,2010, the margin trading business was accepted officially by Shanghai and Shenzhen Stock Exchange, which marks the arrival of the era of China’s short. At end of August 2015, margin trading business has been carried out for more than 5 years. During this period, the brokers have expanded a lot of margin investors. The margin trading business has been in a slow growth because of the development process, or because of bad market, it’s not obvious for impact of which on China’s stock market. However, with rising of market price, it also began to show its tremendous influence of margin trading business. Some investors, who cannot reach the threshold of margin trading, began to find distribution channels out of the field. The balance of margin trading continued to climb a new high under the promotion of market. At the same time, the reaction force of margin trading business was also quietly formed on the market.This thesis conducts the empirical analysis by utilizing margin trading data of Shanghai stock exchange (from March 31,2010 to August 31,2015) and Shenzhen stock exchange (from August 31,2015 to July 16,2012).It first conducts ADF unit root stability test and EG two step cointegration test by using Eviews software. Then this thesis conducts Granger causality test and VAR model estimation. The impulse function, which shows the influence of margin trading on the SSE Composite index, is obtained. The conclusion is that margin trading has significant impact on the SSE Composite Index interims of financing balance. Following the same method, this thesis investigates Shanghai Pudong Development Bank trying to study its relationship between margin trading and stocks trend. The finding is that financing balance size is positively related to stocks trend.From the above empirical results, we can see that the amount of financing and margin trading are important factors affecting the market index, and this finding is also confirmed by the reality. In June 2015, after the SSE Composite Index was up to 5178.19, the stock market declined sharply, which was seriously influenced by the account of the margin investors and OTC investors. Some investors have been forced to close position because of inability to add collateral. One of consequences of a large number of compulsory position closing the acceleration of market decline. And the Shanghai composite index repeatedly appeared so-called scenes of "the largest one-day drop in the history" and declined by daily limit of thousands of stocks.Inaddition, this thesis studies the influence of margin trading business on the liquidity and volatility of the SSE Composite Index by utilizing the data of the SSE stock index (from March 31,2010 to August 31,2015). It treats March 31,2010 as the time node. In conclusion, the liquidity of the SSE composite index has increased slightly, and the volatility of the SSE Composite Index has declined after margin trading business development compared with before. This also confirms one purpose of the margin trading business development is to enhance the liquidity of the market and reduce the volatility of the market.Facing the influence of margin trading on the stocks market in 2015, it needs to reconsider margin trading business for regulatory authorities, securities companies and investors. At last, this thesis provides some relevant suggestions for the above three market participants. |
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