The Impact Of Margin Trading On The Volatility Of Stock Market Through Empirical Study

On March 31th,2010,China formally introduce margin, marking the end of our country for a long time of unilateral market. With the expansion of the underlying securities,securities lending and borrowing,as a kind of credit trading system in our country has made great development. By the end of January 2016,margin underlying securities has reached 987,the Shanghai and S henzhen two city of financing balance up to more than $8000,securities balance reached more than 20. However,the academia in the margin of the securities market and the influence of role still exist many disputes. In particular,on the other hand, margin trading can affect the liquidity and volatility in the security market,have the effect of stable market or increased market volatility risk; Margin trading,on the other hand,is really improved the pricing efficiency of stock market share prices.Therefore, in the margin trading and securities market on the basis of the further development and perfection of test of margin trading again on the fluctuation of stock market in China has important academic value and practical significance.Based on the analysis of the margin impact on the C hinese stock market volatility based on literature,summarizes the advantages and disadvantages of the existing literature and put forward the research direction and research method of this article; Then introduce the present situation of our country margin,and the influence factors of stock market volatility,introduce later margin on the fluctuation of the stock market analysis as theory foreshadowing; Third,based on the existing economic theory,on the impact of margin trading on the stock market volatility mechanism, put forward in this paper,the research hypothesis; Fourth,select samples and transaction data,the empirical test of margin on the fluctuation of stock market; Finally,combined with the result of empirical test and the development status of our country margin system,put forward the policy suggestions to perfect the system of our country margin.This paper choose the 300 index from January 4th,2006 to December 31 th,2015, divided into the margin and the introduction of two groups of margin before launch,at the same time,using BB law will be further subdivided into two groups of data bull market periods and bear market cycle,the empirical test using EGARCH model-GED respectively. The author deeply analyzes the margin impact on stock market volatility,margin with two groups of data before and after the contrast analysis of margin can impact on market volatility,the bull market periods and bear market cycle test margin asymmetric impact on the stock market changes in different period,has important academic value and practical significance. On the one hand,the research results show that the margin of reduce the volatility of the securities market in our country,has a stable market. Securities lending and borrowing business of securities market,on the other hand,the influence of asymmetry exists,namely in the bull market periods and bear market cycle is different impact on securities market,in a bear market reaction exists in market for the bad news,and in a bull market,the leverage effect exists.Finally,according to the results of this article puts forward policy Suggestions on development of margin. First,enhance the launch margin,expanding the scope of the securities lending and borrowing the underlying stocks,appropriate to reduce the margin ratio,increase the scale of securities lend ing and borrowing business. At the same time,regulators to strengthen information disclosure and related laws and regulations,strictly control the margin trading market risk,understand the "leverage effect", adjust to market changes in a timely manner. Second, optimize the structure of market participation main body. Enhance the role of institutional investors to stabilize the market regulating the market,is conducive to the reduction of market volatility. Third,strengthen the propaganda education market for investors,to strengthen the understanding of margin trading risk,the rational investment decisions, not blindly follow suit.