| Margin trading includes financing transaction and short selling, financing transaction is the behavior that investors borrow funds to purchase the securities from securities company, after the expiration they return principal and interest. short selling is the behavior that investors borrow securities to sell, after the expiration they buy securities from stock market to return. The margin is a credit transaction which has hundreds of years of development history, in the western developed capital market, the transaction has become a basic operation in the securities market, the related system has also been developed perfectly. At present, the margin trading is quite common in the market of United States and Japan, the amount of margin trading account for 16% to 20% of the securities market turnover, the margin trading system has become an important symbol of the maturity of the securities market. In 1990s, the capital market of our country began to develop, compared to mature markets with hundreds of years'history China's securities market had a certain gap in the legal system and the development of the scale, at that time, China's securities market had not enough conditions to carry out margin trading. However, after nearly thirty years of development, the domestic stock market gradually perfect in the legal system, supervision system, transaction types and methods, in order to ensure the margin trading business can be developed smoothly, regulators have long prepared. It can be said that the domestic regulatory opening margin trading conditions are ripe. In March 31,2010, the margin trading business with much attention at home and abroad began in China, since then the domestic investors can gain through financing transaction when prices are rising, they can also gain through short selling when the share price fell. The history of machine unilateral-makes-long is end. Margin trading began more than five years, the number of subject stocks has undergone four expansions from 90 to 900, the it accounted for about 1/3 of the total number of A shares in Shanghai and Shenzhen. In order to enhance the effect of margin trading, China launched a pilot refinancing business in August 2012. Whether the expansion of subject stocks or the refinancing business opening enhanced the liquidity of domestic securities market. The size of the margin trading business in China continues to expand, at the end of May 2015 margin trading balance has exceeded 2 trillion yuan. The margin trading has a more than 400 years developing history, it brought many positive effects for the capital markets in Europe and the United States, it had enhanced the liquidity of the market, prompted the stock price regression, improved market efficiency and so on. However, margin trading has leverage effect, which bring double effect, on one hand it can promote the development of the capital market, on the other hand, if improper using it will bring great risk to the whole market. During the great depression from 1929 to 1933 the Dow Jones index plunged nearly 90%, excessive credit transactions caused people questioned, the U.S. government began to strengthen the supervision of credit transactions, and in the 2008 financial crisis, in order to avoid selling further exacerbate the volatility of the stock market, the United States government has adopted active legal measures to ban short selling. The effect of margin trading is uncertainty, this phenomenon has aroused widespread concern of scholars, some scholars influenced by the two financial crisis think that margin trading will cause the stock market volatility increased, and cause turmoil in the stock market; other scholars' analysis that margin trading can stabilize the market and reduce the volatility of stock market through theoretical analysis and empirical. The relationship between margin trading and stock market volatility is still controversial, may be because of the different research methods, angle and data.The purpose of carrying out margin trading business is enhancing exchange funds, improving China's stock market plummeted. Since the introduction of margin trading business has been more than five years, the speed of margin scale develops rapidly. After the introduction of margin trading business, whether the impact to the volatility of the stock market as Supervision department expected? This issue is not only closely watched by regulators and investors, but also triggered a broad discussion of domestic scholars. This paper sort out a large number of domestic scholars research data, On the basis of the domestic and foreign scholar's research summary that there are three kinds of views on the relationship between margin and volatility of the stock market:margin trading will reduce the volatility of the stock market, margin trading will increase the volatility of the stock market, margin trading has no obvious influence on the volatility of the stock market, the majority of domestic scholars believe that in the long period of analysis, margin trading can suppress the fluctuation of the stock market, but the short-term results are controversial. Early domestic scholars do more theoretical research, recent years, they began to establish a model of empirical analysis, although the empirical model and methods adopted in the study by scholars are different, but the research angle is relatively simple. The innovation research of this paper is multi angle, both long and short contrast, compared with the whole and the part, both have no influence of the contrast, contrast influential strength. Through multi angle analysis, it can be more comprehensive and detailed grasp of margin trading on the volatility of China's stock market.When this paper was prepared China's stock market was experiencing a wave of the bull market, the Shanghai index has experienced a rapid rise in more than 3000 points in just one year, Behind the stock market rising, what kind of roles did margin trading play, whether promoted the stock price rise or dampened price rises? This problem is the starting point of this research, the angle of analysis is expanded. Therefore, this research has a strong practical significance. This paper selects the Shanghai and Shenzhen 300 index daily return rate as a measure of stock market volatility index, HS300 Index constituent stocks are mostly blue chips, they cover the industry widely, and their market capitalization is relatively high, the index has very good representative.In order to achieve the purpose of this study, the research content is divided into the following five parts:The first part is the introduction, through theoretical introduction of margin trading in different development background of Western and China explain the theoretical significance and practical significance of this paper. then sort out the research literature of the domestic and foreign scholars on the margin trading, summarizes their main ideas and attitudes towards, at the same time, describes the main contents and structure of this paper and the methods used in the research process, and finally put forward the innovation of this paper.In the second part, the first step is defining the core concepts of this research, then introduce the development of margin trading in The United States, Japan and China, at the end of this part presents three typical mode of credit financing, analysis of the three modes of credit process and their respective advantages and disadvantages through comparison, describes the current business model selection and characteristics.The third part is the theory analysis of margin financing influences on the volatility of the stock market, First summarize how the structure of investors, the scope of the underlying securities and margin ratio affect the stock market volatility, and then summed up the mechanism of financing transactions and margin trading respectively, analyse that financing transaction and short selling reduce the volatility of the stock market through changing the elasticity of demand and supply, but they change demand elasticity and supply elasticity in different order.The fourth part is the empirical analysis, because of the financial time series with non-normality, kurtosis and volatility clustering characteristics, this paper uses GARCH model to solve the problem of heteroscedastic regression analysis. The content of empirical analysis:compare the stock market volatility before and after the margin trading business opening through introducing dummy variables, then analyse deeply the situation after margin trading opening. The empirical analysis results are summarized as two points:firstly, from the long-term analysis, margin trading has inhibitory effect on stock market volatility, but the influence is relatively weak, in the short-term analysis, both in the stock market rising period or significantly decreasing period, the margin trading exacerbate the volatility of stock market, this effect cannot be ignored, and the influence of margin trading in rising period is obvious than that in the down period. Secondly, financing transaction and short selling have different theoretically influence on the stock market, by using the regression analysis results indicate that the effect of two kinds of transactions are different. In the long-term analysis influence of financing transaction on the stock market volatility is negative, it can inhibit the effect of the stock market, short selling on the contrary, the long-term effects of two kinds of trading on the stock market are relatively small. In the analysis of short-term financing transactions and short selling have different influence on potency dimension, whether the stock market up and down, financing transactions and short selling affect in the same direction, they obviously increase the volatility of the stock market, but they have different potency dimension.In the period of rising, financing transactions increase stock market volatility obviously than short selling, In the period of fall, the influence of financing transactions on the stock market is not significant, while short selling will increase the volatility of the stock market, but the strength is smaller.The fifth part is the conclusion and suggestions. Firstly, summarizes the empirical analysis of two important reasons for the above results:one is the margin of the underlying securities even after four times of expansion, but compared to the stock market is still relatively small range, which limits the further expansion of the scale of the margin trading, this is the reason why margin trading can reduce the volatility of the stock market but the strength is very weak. Secondly, the stock market structure is not reasonable, individual investors accounted for too much, their irrational trading is the important reason of stock market volatility in the short term. Putting forward three suggestions according to the above analysis:Firstly, increasing the amount of target securities and improving the refinancing to further expand the scale of the margin trading, and to improve the strength of inhibition of margin stock market volatility. Secondly, optimizing the structure of investors, suggesting more rational investment in margin trading to guide the market, delivering effective market information, and establishing two-way investment philosophy to allow investors to understand financing transactions and short selling mechanism. Thirdly, relaxing restrictions of risk control measures, by adjusting the ratio of margin, investors trade barriers and other measures to control the market liquidity, the margin to better play the role of stabilizing the market, margin trading will play a better role in stabilizing the market. |
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