Research On The Risk Of The Margin Underlying Shares

Since March 31,2010,the Margin Trading Business has been carried out pilot in 6 securities companies,up to now it has gone through more than 6 years.The development of the Margin Trading Business gradually improved,the number of shares of the underlying margin expanded several times,margin balance reach recode highs.the experts and scholars on the study of the Margin Trading Business,including the impact of the Margin Trading Business on the securities market,margin settings and other hot topics.However,there is not much research on the risk of the stock of the subject of margin trading and its harm to investors and how to avoid such risks.As one of the most important capital market participants and the weakest group,Investors often can't make a reasonable judgment in the face of risk,so we should pay more attention to them.This paper combines with the background and characteristics of Margin Trading Business which is based on the existing research results of domestic and foreign experts,and then discusses the development process of Margin Trading Business.this paper combines with the background and characteristics of Margin Trading Business which is based on the existing research results of domestic and foreign experts,and then discusses the development process of Margin Trading Business.With the sample data of the underlying stockbetween 2010-05-01 and 2016-05-01,this paper explores the impact of margin trading on the market risk by VAR model,and find that there is a cointegration relationship between the financing buying amount;The financing buying amount and Shanghai stock index volatility are Granger Cause mutually;The Shanghai stock index volatility is the Granger Cause of the margin selling amount;According to the impulse response chart,the Margin Trading Business exacerbate the volatility of the securities market.And then,with the sample data,this paper explores the impact of margin trading on the underlying stock risk,in order to illustrate the impact of margin trading on investors,and find that The financing buying amount,the margin selling and the stock volatility are Granger Cause mutually;According to the Panel data regression equation,the financing buying amount and the margin selling amount promote the stock volatility.Then,this paper evaluates the risk of the yield sequence with the VaR risk assessment: Fitting the VaR of the underlying stock with the VAR-GARCH(1,1)by the skewed T distribution,and find the risk of the underlying stock is higher than the market risk by empirical research;This paper validate the portfolio can reduce the risk of underlying stock,and the stock number of portfolio between 5 and 10 is the best choose;From the perspective of choose stock design the model of risk prevention,this paper find that the underlying stock,which with the higher ratio which is evaluated by financing balance divide the turnover volume and financing buying amount divide the turnover volume,can get the excess return and the higher Sharp Ratio,and the view of choosing stock by the margin index is not useful.This paper gives some suggestions to investors:Portfolio investment is still an effective way to avoid the risk,and when we choose the stock for portfolio,we can choose the stock with a higher ratio which is evaluated by financing balance divide the turnover volume and financing buying amount divide the turnover volume,but when we refer to the margin index,we should be more careful.