| The foreign mature stock market implementation of short selling mechanisms earlier, accumulated a lot of valuable experience. From the view of the theory and practice, fictitious transaction mechanism can be active in the stock market, improve stock market liquidity, inhibit the volatility of the stock market. However long-term lack of margin trading and short selling mechanism in China stock market, investors can only do more unilateralism trading, which leads to the expansion of the stock market risk, is difficult to form effective price discovery mechanism, hindered the development and innovation of securities market. To this end, China’s margin trading pilot was officially launched in March 31,2010, which means that China’s stock market officially entered the bilateral transaction.After nearly 6 years of development, China’s margin trading, whether it is the subject of the securities range or the size of the transaction has been greatly improved. But the margin is also a "double-edged sword", in the rapid development of the same time brought new problems. In June 12,2015, under the policy of reducing the leverage of the two financial business, the margin trading began to shrink, China’s stock market will quickly fall. Due to the characteristics of margin trading with high leverage and two-way trade, has effect on the stock market rose to help sell. So in the end the margin trading is increased or reduced the liquidity and volatility of China’s stock market? In different market environment, whether the influence of margin trading on the stock market volatility? These are worthy of our analysis and discussion.First of all, this paper collated and summarized on the basis of domestic and foreign literature, from the meaning, characteristics and functions of the margin of combined with the present situation and the development process of the current development of margin trading in China, and analyze the existing problems, and summarizes the basic situation of China’s margin trading. Secondly, analyze the influencing factors of the volatility and liquidity of the stock market of our country and select the appropriate measures. Then, this paper studies the effect mechanism of the theory of margin trading on the stock market, provides a theoretical basis for the empirical hypothesis. Third, from the perspective of liquidity and volatility, using VAR model, Granger causality test and impulse response, empirical analysis of the impact of margin trading on China’s stock market. The special market in 2015 the stock market rises and falls, we also continue to further study when the stock market is the trend of different channels, influence of margin trading on stock market volatility.The conclusions of this paper are as follows:(l)The financing transaction is the Granger reason of the liquidity of the stock market in our country, it will have the same impact to the stock market liquidity and increase the liquidity of the stock market.(2)Short selling is also the Granger cause of the liquidity of China’s stock market. In general, short selling would increase stock market liquidity when given a positive margin trading unit impact, will produce a shock to the same effect on the stock market liquidity. But in early stage and reduce market liquidity. That is to say, the effect of margin trading on the stock market did not from a began to appear, the market has a certain lag.(3)Financing transaction is the Granger reason of the fluctuation of stock market in our country. In the short term, the volatility of the stock market will have a negative impact effect, that is, to reduce the volatility of the stock market, but it will be absorbed by the market.(4)Short selling is not the Granger reason of the fluctuation of stock market in our country. Impact of reverse volatility short sales transactions on the stock market is to reduce the volatility of the stock market, but the financing transaction effects of reducing the volatility of the stock market than the margin trading in stock market volatility reducing effect is more obvious.(5)In the upward trend, due to the "herding" investors have increased financing transactions, prompting stock market demand continues to increase, a further rise in the stock market, increase the volatility of China’s stock market, the volatility will eventually be digested by the market. The initial margin trading will reduce the volatility of the stock market, is conducive to stabilizing the market.(6)In a downtrend, financing transactions will reduce the volatility of China’s stock market volatility, margin trading will increase the stock market, but not with the term of this volatility reduced over.After this sort of conclusion and gives the explanation analysis, at the end of this paper, combined with the margin trading in China and the characteristics of the investors behavior. Suggestions are put forward from the regulatory mechanism, financing mechanism, margin trading and securities lending business, investor education and brokerage of the internal angle of the construction. |
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