| Margin trading is also known as "credit trading", since March 31,2010 China formally introduced margin trading, now it has developed six years, the study of margin impact on the stock market has always been the hot spot of the academic problem, but so far no unified conclusion. Many scholars remain positive attitude, they believe that margin trading is able to adjust market supply and demand balance, reduce volatility and improve liquidity in the market; But some scholars remain negative attitude, they think the margin trading market is not mature, its features contributed to the risk of stock market volatility, and it is a catalyst to stock market volatility, easy to cause the stock market unreasonable rise and fall. The margin trading is a new trading system in our country, what is the effect? This article takes this as a starting point, the problem of how margin trading impacts on the stock market volatility is more in-depth and detailed research and analysis.Overall, margin trading impact the securities market on two aspects, the liquidity and volatility, but liquidity will further influence the volatility, so this paper chose the volatility as the measure of the stock market in our country to research the effects of margin trading on stock market in our country. In this paper, the research mainly has two aspects including theory and practice, in theory, first elaborate the basic concept of the securities lending and borrowing, trade characteristics, trading patterns, then analyze the development of the margin trading in China, and analyze mechanism of margin impact on stock market volatility. In empirical research, select csi300 index as the representative of China's a-share market index, using the GARCH(1,1)model to simulate the volatility, Shanghai and Shenzhen day margin balance variation on behalf of margin trading, from the different stock market, analyze margin balance impact on China's a-share market volatility.In total sample, the empirical results show that margin trading controls stock market volatility, and the effect of margin trading is greater than the securities trading. Maybe the reason is that the relatively small size of margin trading in our country, and financing transactions accounted for almost more than 99% of the entire margin trading. In spite of this, the effect of two financial trading on the stock market volatility is not obvious, because of the margin trading size of the securities market in our country, margin trading account for A-share transaction is less than 10%. In a bull market, securities trading is a Granger cause of the stock market volatility.securities trading decrease the stock market volatility, the effectiveness of securities trading is significant; In the bear market, the lending and borrowing business also reduce stock market volatility, the role of financing trading is more apparent. Compare empirical results in bull market and bear market, the influence of two melting trading on the stock market volatility in the bear market is more significant negative correlation. |
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