The Effect Of Margin On The Volatility Of Shanghai Share Index

Since march 30,2010,the introduction of margin trading,which help our country had a leap development in our capital market.Our capital market was no longer one-side market,not only has buying but also can selling.Margin trading play a important role in improving our capital market.Due to the introduction of margin trading is not long in our country.So the development of the securities lending and borrowing is remains to be developed.The related research should also continue to strengthen.In 2015,"crash" of stock market,which caused the attention of people from all walks of life in China.Such a special event is also rare around the world.One of the main reason is the margin trading.During this critical period,margin actually plays what kind of role,has been a hot topic in the study of theory and practice.This study from two aspects: theory and empirical analysis to investigate the influence of margin trading in volatility of Shanghai A-share market.To make comparative analysis from the two periods.On the basis of fully literature study at home and abroad.First of all introduced the margin role in the mechanism of stock market volatility and use T-GARCH model fitting for volatility.Using Granger causality test,impulse response analysis and variance decomposition to study and come to the following conclusions:(1)At first period,The equity trading is the granger cause of the stock market volatility,and the volatility of the stock market is not the granger cause of equity trading,the volatility of stock market and securities loan strength are both granger cause.Impulse response and variance decomposition shows that the strength of the margin has influence on the stock market volatility,but the impact is very small.(2)At second period,equity trading and volatility of stock market are both granger reason.Securities and the volatility of stock market are independent of each other.Impulse response and variance decomposition shows that the strength of the equity trading had a very significant effect on stock market and,the strength of securities also had influence on the volatility of the stock market but still very limited.Based on the empirical analysis,the author based on the study of the scholars at home and abroad,give five policy suggestions.Firstly,improve the structure of investors,fostering institutional investors and mature individual investors,to avoid short-term investment,encourage value investment.Secondly,establish an effective system of margin in the stock market if stock market is not healthy,adjust margin ratio,limit or strengthening of margin trading,decrease the stock market huge fluctuations,pushing its on the right track.Thirdly,expanding the scope of the margin target,enhance the vitality of the market,meet the demand of investors,enhance their ability to resist risk and control ability on the risk,boost the sustainable,effective and healthy development of capital market.Fourth,strengthen the margin account supervision,Formation of flexible management and supervision in margin trading behavior.Fifth,enhance the ability of regulatory supervision and management,Promote the sustain margin in healthy development.