| Margin trading since launch on March 31,2010,just five year, has made considerable development. After four expansion, Margin trading underlying stocks has now increased to 900 from the original 90. Go accommodation underlying stocks has now increased to 893 from the original 87, almost to achieve full coverage of underlying stock of margin trading. Margin increase in size very rapidly, by the end of 2015, the margin balance has reached about 1.2 trillion yuan. Especially in the bull market in the first half of 2015, the margin balance has topped 2.2 trillion yuan.Margin trading since its introduction has been pay close attention by economic scholars. Theoretical and empirical research on the impact of margin trading on the domestic stock market are very much. In the study of margin trading on the stock market volatility in terms of the impact of domestic and foreign scholars there are three views:the margin trading will increase the volatility of the stock market or will reduce the volatility of the stock market or does not influence volatility of the stock market. This paper analyzes a positive mechanism and negative mechanism of margin trading effect on stock market volatility, our believe that the margin that the impact on China's A-share market is a result of joint action of these two opposing mechanisms. The positive influence mechanism of margin trading on the stock market volatility is mainly reflected in the leverage effect of enhancement the stock price up and down. Because there are a lot of irrational traders on the market, the stock market "following the herd" phenomenon is very serious. The characteristics of financing leverage to make the "following the herd " phenomenon further deterioration, led to soaring stock market crash. In the rally, the leverage of financing transactions often multiplied the expanding demand of stocks, resulting in the stock rose sharply, also declines, the leverage of securities trading will multiply the supply of shares, stock prices fell sharply. In addition, the margin leverage provides convenience for insider trading and market manipulation, short selling mechanism gives a channel for stock market manipulator to increase the market bear power. If the market supervision mechanism is not perfect, it will increased volatility of the stock market. Negative mechanism of margin trading impact on the stock market volatility is mainly reflected in the leveraging and short selling mechanism that increase the stock supply and demand elasticity, improve the mechanism of price discovery, so that prices can quickly return to near value, so as to reduce the volatility of the stock market.This paper selects all markets margin transactions as the research object, select CSI 300 index as a representative of China's A-share market, analyzes the impact of margin trading on the stock market volatility in China systematically. Specifically, the paper aims to answer the following three questions:First is the existence of margin trading on stock market volatility influence in China; the second is the margin trading how to influence the fluctuation of China's stock market or the problem of path dynamic effect of margin trading on stock market volatility; the third is to explore what will be different on margin trading influence the volatility of the stock market under different market trend.To the first question, this paper uses the event study method, selected the two events on the margin trading during the sample period, to verify whether the margin has a significant impact on the stock market volatility through the non parametric test of stock market volatility before and after the event window. The empirical analysis shows that on December 5,2011, margin trading underlying stock Stock expansion for the first time, caused no obvious influence to the stock market volatility in the short term, which may be due to the margin trading business has just entered the conventional stage, the margin scale is still too small. On September 16,2013, margin trading underlying stock expansion for the third time, financing scale has reached 280 billion yuan, the empirical results show that the third expansion of margin trading underlying stock significantly reduced volatility of China's stock market.Answers to the second question, this paper mainly uses the vector autoregressive (VAR) analysis respectively to study the dynamic impact path of financing trading on the stock market volatility and the dynamic impact path of securities trading on the stock market volatility. The empirical results show that the impact of financing trading on the stock market volatility is not immutable. The change of financing transactions start to reduce the stock market volatility, then it increases the stock market volatility, finally after a long enough time the impact on the stock market volatility reduces to 0. Securities trading can reduce the stock market volatility in the short term, the impact on the stock market volatility is not obvious in the long term. Then, this paper chooses SSE 180 index and SZSE 100 index as the reference objects, and makes the robustness test for this part. Compared with the consequence based on CSI 300 index, the result is slightly different in the terms of the model lag item and the significance of coefficient. While the overall effect is the same. This shows that the results of previous research is robust to some extent.Answers to third the question, this paper selects the "mad cow" market since July 2014 as the upward trend stage of the stock market, selects slump period since June 15,2015 as a downward trend stage of the stock market. Empirical analysis found that when the stock market is in the upward trend, financing trading will aggravate the stock market volatility, securities trading has no significant effect on the stock market volatility; when the stock market is in the downward trend, financing trading significantly reduces the stock market volatility in the short term, securities trading still has no significant effect on the stock market volatility. Obviously, securities trading did not play its proper role. Then, this paper makes the robustness test for this part as well, choosing SSE 180 index and SZSE 100 index as the reference objects. Compared with the consequence based on CSI 300 index, the result is slightly different in the model lag item and the degree of the influence, while it's the same in the overall effect. This shows that the results of the research is quite robust.Finally, this paper makes a summary on the above research conclusions, and explains the conclusions by using the positive and negative two mechanism of margin's impact on stock market volatility. Subsequently this paper makes a simple analysis of other factors affecting the stock market.The innovation points of this paper are as follows:First, using Event Study Method to verify whether the margin trading has made a significant impact on the volatility of China's stock market. According to the results of the first step, considering the margin scale too small may lead to margin trading on the stock market volatility effect is not significant, therefore, this paper selects a larger scale period of the margin trading to study, the result is more reasonable.Second, this paper examines the differences in financing trading and securities trading on the stock market volatility under the different external market situation, in the background of "mad cow" and "crash" since July 2014, this paper studies the impact of financing trading and securities trading on the stock market volatility under the different market conditions.Third, based on the previous research, this paper re-selects SSE 180 index and SZSE 100 index as the reference objects of CSI 300 index, and makes a robustness test for the study model in order to make the results more convincing.Fourth, Based on 2013 to 2015 data for research, our draw a new conclusion that the impact of the margin trading on the stock market volatility is not static, but changes over time to reduce stock market volatility after the increase in stock market volatility.The main research methods used in this paper are as follows:1?Qualitative research methods. By using the method of qualitative research, sums up and summarizes the relevant concepts of margin trading, development course and current situation, characteristics and functions of margin trading, in depth analysis and summarizes the positive and negative impact mechanism on stock market volatility.2?Quantitative research method. By using the Event Study Method, Non Parametric Test and Vector Autoregressive Model, Granger Causality Test, Impulse Response Function and Variance Decomposition Method, researches the dynamic impact process of margin trading on the stock market volatility. |
PDF Full Text Request