| As the means of short selling,the securities margin trading business has developed many years in the foreign securities markets.This is becoming a symbol of a mature capital market,and is an important basis of the basic function of securities market to exert effect.However,since 1990 Chinese stock market has been a unilateral market,systemic risk and market volatility is very big, many investors have suffered heavy losses.By many years’careful preparation of China Securities Regulatory Commission,the securities margin trading business was officially launched on March 31,2010,which is a milestone in the bilateral market era of Chinese stock market.Investors can not only do more to profit, but also can make short by the margin trading to profit.The number of the underlying stock is from 90 in the beginning to the 700 by the June,30th,2014,and margin balance increased from 659 million yuan in the beginning to more than 400 billion yuan.Margin trading in China’s stock market develops very rapidly, will have a significant impact on the stock market in China.In view of the impact of margin trading on volatility and liquidity of China’s stock market, Chinese and foreign scholars have not reached a unified consensus.But Systematically and rigorously studying the impact of margin trading on China’s stock market in order to be helpful for investors and management of some constructive suggestions will be the research significance of this paper.This paper intends to study the impact of margin trading on the volatility and liquidity of the stock market, and the impact of the volatility of the underlying stock.This article will use the method under the framework of VAR cointegration analysis and the method under the framework of ARDL cointegration analysis to research the impact margin trading on China’s stock market volatility and liquidity.Firstly,each economic variable need go on unit root test,if they have no unit root, then analyse whether there is a cointegration relationship, if it exsits then we study Granger causality test,impulse analysis and variance decomposition and model setting; for the underlying stocks of different categories,this article just use the method under the framework of VAR cointegration analysis,and just research differert kinds of pe ratio and turnover rate.Finally, the main conclusions and policy recommendations are given.The main conclusions of this paper are:(1) Based on the perspective of the market,margin trading can significantly reduce the volatility of the market, this is consistent with the original intention of the Commission launching the margin trading system.But it finds that the impact of margin trading on the stock market liquidity is uncertain, we analysis the possible reason is that after the financial crisis, Chinese stock market performance is not good, the volume appears to be shrinking, the market trading is not active, the total market capitalization of the increase is not obvious, the liquidity index is not as expected as growth,another possible reason is Chinese stock market related system is not perfect.(2) Based on different price earnings ratio of the stock’s point of view,this article finds margin balanced and the volatility of the underlying stock is cointegration, but only in the case of high price earnings ratio, margin trading is Granger causality of volatility index, using financing securities transaction data can explain the volatility.Through Granger causality test, impulse analysis, variance decomposition and model setting, this article finds that in the high price earnings ratio,margin trading can significantly reduce the volatility of the market.(3) Based on different turnover rate underlying stock, this article finds margin balanced and the volatility of the underlying stock is cointegration, but only in case of high and low turnover ratio, margin trading is Granger causality of the volatility index, namely using financing securities transaction data can explain the volatility.Through Granger causality test, impulse analysis, variance decomposition and model setting, this article finds that in the high and short turonover ratio,margin trading can significantly reduce the volatility of the market.The innovation points of this paper are mainly embodied in the following aspects:(1) Different from the existing literature mostly researching the influences of margin trading on the stock market, this study respectively research the impact of margin trading on volatility and liquidity from two angles of the whole stock market and different categories of underlying stocks(2) Based on the actual situation of China’ margin,this article uses the method under the framework of VAR cointegration analysis and the method under the framework of ARDL cointegration analysis to research the impact of margin trading on volatility and liquidity which the method under the framework of ARDL cointegration analysis is the firstly used in the field of margin.(3) This paper uses margin data of 700 underlying stock by June 30, 2014, more than the number of underlying stock in the literatures,the research conclusion is more persuasive.The inadequacies of this paper is(1) The impact of margin trading on the volatility and liquidity of the stock market is affected by the sample period, and different conclusions may not be the same as the sample period, which may be mainly related to the stock market in a bull or a bear market.(2) China’s stock market is not very perfect, influenced by the national level, and the Commission launch of a number of laws and regulations in order to improve its business, which will make margin trading on the impact of volatility and liquidity a certain degree of effect.(3) Because of the many factors that affect the volatility and liquidity of the stock market, considering the special nature of the research methods and the availability of data,this paper does not study the other variables that affect the volatility and liquidity, which may affect the stability of the conclusion. |
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