A Study Of Margin Impact On China's Stock Market Volatility

In March 31th,the securities margin trading business officially launched,which it Marks the short-selling mechanism introduce our country.Opening the securities margin trading is a important milestone in the development of China's securities market,indicating our country henceforth bid farewell to the 20 years of unilateral market era.By the January 31th,2015,the margin trading business has been running fornearly five years in our country,from the Shanghai and Shenzhen security market's running situation,whether the daily market credit transactions the balance of margin trading,the credit account number or participate in the securities lending and borrowing business of securities coompanies have maintained rapid growth.The development scale is more and more big.In the western mature capital market,securities margin trading is a regular businesses.As the foundation of the stock market play a basic function mechanism,Margin can improve liquidity in the market,discovery price,hedge against any risks.But the margin trading leverage itself has a certain degree of risk,stock market environment in China is still not perfect.In combination with the practical situation of our country,whether the launch of margin trading effective play to the basic function of the stability of the stock market volatility?In different stages of related policies in China is effective in promoting the development of the securities lending and borrowing business and margin trading and securities trading on the stock market whether have the same utility and other issues are not only many scholars to explore,but also the core issue of study in this paper.This article mainly from two aspects of theory and empirical research respectively margin impact on stock market volatility.In terms of theoretical research,first introduced the concept of margin,basic function and margin trading mode,then analysis and research the volatility of the stock,including the influence factors of volatility,and the measure of volatility,at the same time focus on combing the mechanism of action of margin affect stock market volatility.Finally combing the development of margin trading in our country and the current market situation.on the empirical hand,through VAR model,Grange causality test,impulse response function and variance decomposition method to estimate and empirical test for the date of Before and after the refinancing in China business.In the empirical analysis,through the comparison of two subinterval analysis margin of different impact on the stock market.The empirical results show that margin trading can restrain the volatility of the market to a certain extent.Refinancing before the business,financing business relative to the securities business can have the effect of smooth market volatility.After financing business,the margin trading can also inhibit the volatility of the stock market to a certain extent,but compared to refinance securities business business before the function of the volatility of stock market.Finally,the paper on the basis of theoretical analysis,combined with the modeling and empirical testing of empirical conclusions,analysis of probing into the cause of the research conclusions and problems existing in the development of securities lending and borrowing business,aimed at these problems puts forward policy suggestions to promote the stable margin market volatility.