Research On The Impact Of Margin Trading On The Volatility Of The GEM Market

The establishment and development of the margin trading system is an important measure of the construction of our country’s capital market, in the past nine years, margin system from the pilot to expand, increase the number of underlying shares, trading volume also growth. But very poor stability in 2015 and just starting in 2016 margin trading, margin trading fluctuations larger, brokerage on the underlying stock restraint measures also increased significantly, which have affected the concrete operation of margin trading. In theory, the development of margin trading will have a certain impact on the liquidity and volatility of the stock market. But its impact on the gem and how it should how to evaluate the margin and the gem, and construct a more orderly, in order to promote the margin trading development and gem development etc., also be worth exploring.This paper combined with the method of literature review, data analysis method and empirical analysis method, based on the combination of the qualitative analysis and the quantitative, along with putting forward the problem, analysis of problem-- ideas to solve the problem of margin on GEM overall volatility and stock volatility of the shadow. The research in this paper introduces the background, research direction and related literature related, related theory, lay a foundation for the research on post. Combined with the reality of China’s margin and gem development and compilation of relevant data, with VAR model, impulse response and Granger causality test and other means, to evaluate the margin trading and the gem of liquidity and volatility of, finally draws the conclusion. After the influence of margin of the GEM market understanding, the underlying stock is further selected. Analysis the margin to carry out the influence of the underlying stock volatility. The final analysis, it is concluded that the relationship between gem and margin trading, clear business in the overall market margin underlying stock is relatively small, margin trading volume is not large, so margin on the gem of the overall market volatility although there are some influence but not significantly. In stocks, the stock volatility will increase the margin for most part, volatility decreased, that is to say the impact of financing margin underlying stock volatility is relatively significant. However, the lack of margin system in China, in the future development should also design solutions, a modest increase in the margin of the gem, increased institutional investors, enhance the margin gem trading volume, hope to promote the margin trading and securities lending function to play and promote innovation in a more orderly development help.