Empirical Research On The Deposit Rate Of Margin In China’s Securities Market Based On CVaR

Margin trading is also called credit transaction or margin trade, which means the consumer can borrow money or securities in the form of mortgage bonds from securities companies to participate in securities trading market activities.We can pay deposit in the form of cash or securities as guarantee funds.Margin trading provide investors a certain proportion of financial leverage, to a certain extent, witch amplifies the demand for funds and securities and enhance the security market liquidity, especially the liquidity of big blue chip stock, premium or discount losses can be greatly decreased when investors buy and sell shares. At the same time, investors may suffer a bigger loss.Therefore, the manager puts forward develop margin system from the beginning of the trial operation, in the deposit system, investors should affording a percentage of the deposit in every financing transaction process, and use the deposit to offset account of possible losses.Deposit is a barrier to risk in the margin trading, but the deposit amount is a difficult to decide, it is a significant issue to set the margin percentage and securities margin discount rate in the margin trading risk control management.lt is difficult to guard against the risk caused by market volatility or other factors when the rate of margin is too low or securities margin discount rate is too high; On the other hand, it will affect the scale and efficiency of securities margin trading.At present, margin trading is still immature in our country, so we use the fixed deposit system, most brokers use a higher fixed ratio due to the stringent risk management system, the system is lack of flexibility,which affects the scale and efficiency of the margin trading business and hurt investments and hinders the market flow.Therefore, the research on the setting of dynamic margin rate can not only overcome the defects of the margin trading fixed deposit rate in China, but also enrich the theory on setting margin ratio method, the introduction of dynamic margin rate has important realistic and theoretical significance.Based on previous studies, this paper selects two stocks in the underlying securities pool to set dynamic margin ratio based on CVaR.Firstly, using the difference model to study yield difference of sample stocks during the sample period, generally, the stock price has rush and thick tail, so GARCH-t distribution model can be used to calculate the margin,and can predict the stock price volatility conditional heteroscedasticity. Secondly, according to the results of the conditional heteroscedasticity, calculating the VaR and CVaR value of the each sampled stocks.Finally, through the analysis results and test, drawing to the conclusion that CVaR model can cover more market risk.In this paper, the main empirical conclusions are as follows:(1)The sampled stocks yield sequence does not obey normal distribution, and there exits the ARCH effect, so this article uses the GARCH-t model to measure the market volatility of yield sequence.(2)Through Kupiec and DLC inspection, CVaR model is proven to be effectivly to set margin trading margin ratio.(3)Using CVaR model to set the rate of margin trading of the eight catic plane stocks generally changes far lower than the fixed 50% margin financing and the 60% securities margin ratio.(4)The result shows that the guarantee rate of margin trading is higher as the liquidity is stronger.The innovation point of this paper are as follows:(1)In view of the domestic scholars,using CVaR model to measure dynamic margin ratio of literature is rare in China, based on dynamic margin and stock index futures research, this article applies CVaR method to set our country margin rate, witch contribute to broaden margin assessment and the way of risk management.(2)Different from existing literature, instead of subdividing margin trades’ proportions of the initial margin and maintaining margin, this article set holding period for one day, that is to say according to the history of underlying securities market price fluctuations, setting out a day or more days of margin rate in the future.There are many deficiencies in this paper:Firstly, margin trading faces many problems, such as:market risk, credit risk, operational risk, technology risk, etc., this paper only considered the main market risk, which is not comprehensive; Secondly, this paper only uses CVaR model for risk early warning, so the method is unitary. Due to the changes of the securities market is complex, the majority of cases needs to combine with other technologies together to set the deposit percentage which is much closer to the actual circumstance;Finally, this article does not consider the liquidity risk problem of the underlying securities.