An Empirical Research On Margin Trading Factor Influencing Stock Market Volatility In China

In March 31,2010,the formal introduction of the margin trading system,marking the end of the unilateral market,means that the exploration of the securities market to improve the trading mechanism goes into a new stage.After the transition from the"pilot" stage to the "normal",the opening of refinancing and margin trading,the adjustments of trading system for many times,the underlying securities increased from 90 to 900.After five years of development,does the margin trading system promote and stabilize the development of China's stock market?And does it intensify the volatility of the stock market,or inhibit it?With the margin underlying gradually expanding from the blue chips of the main board market to the small board and the GEM stocks,is the impact of margin on the mall board and the GEM different from the main board market?In the bull market which starts from the second half of 2014,the stock index rose rapidly,and margin balance accelerated and once broke 2.2 trillion yuan.That Shanghai and Shenzhen has an over one trillion volumes became a norm.While from the June of 2015,the index began to drop down sharply and refreshed the record low continuously.It is widely believed that OTC with capital and margin trading can hardly absolve itself from the blame.And I am pondering whether margin does nothing in a bear market,but stirs up trouble in the bull market?The theme of this paper is to study whether if the margin has a different impact on the volatility of the main board,the small board and the GEM.This research is helpful to the investors to understand the difference of the risk of margin trading in the three markets,to the regulatory agencies to maintain the healthy development of margin trading system and control systemic financial risks,to test market rumors of margin trading is pushing hand knowledge of the current bull market.On the basis of the relevant literature,concepts and theories of the margin trading,this paper takes CSI 300 index,Szse SME index,GEM index representing the main board,the small board and the GEM,selects the full sample data using GARCH model,VAR model,Granger test to empirical research.The VAR model and OLS model are established and analysised directly by as to the sequence has no ARCH effect.Firstly establish the appropriate GARCH model to fit the volatility,and then set up VAR model and OLS model to analysis as to the sequence has ARCH effect.The conclusions of this paper are inconsistent with the previous studies.Overall,the introduction of margin trading has increased the volatility of China's stock market,which is different from the majority of domestic and foreign researchers believe that the stock market volatility has an inhibitory effect on the stock market volatility.Because of China's financing capital adequacy,sound mechanism,source and mechanism of margin trading securities limited,investors used to do more,leading to financing transactions unilaterally flourish and short mechanism did not play its due effect.In detail,this paper draws the following four points:firstly,there is difference in the impact of margin trading on the volatility of the three markets,the impact of the main board is the biggest,followed by small plates,and the smallest is the GEM.Secondly,the influence of financing transactions on the market volatility is far greater than the margin trading,which is also the short mechanism imperfect embodiment.Thirdly,the impact of margin trading on the bull market volatility is greater than the bear market.In the bull market,the market generally bullish,market is given priority to with leveraged buyouts and borrowing less in short,while in the bear market instead.Lastly,margin on the market volatility of the current impact is greater than the lag period.Margin on the current impact is direct,that is to say the amplification of the volume have an effect on the stock price and market index directly.Margin lag effect is indirect,through the margin trading volume of previous day or a few days ago,the volume plays a indicator role on the follow-up market.In view of the above empirical research conclusions,this paper gives the corresponding policy recommendations.At first,slowing the pace of the small board and GEM stocks subject,steadily promote the development of margin system.The second is to improve the securities source and short sell mechanism,giving full play to the role of short selling mechanism.The third is to strengthen inspection and supervision of securities companies,establishing a fair and orderly market.The fourth is to strengthen the business and investor education,enhanceing investment risk awareness and rational.In this paper,the research perspective and research methods get a breakthrough relative to the previous research.Previous studies tended to treat the market as a whole or to distinguish between the Shanghai and Shenzhen,and there is little to distinguish between a bear and bull,current and lag.The paper compares the effects of financing and margin on the main board,the small board and the GEM,as well as distinguishes the bear and the bull,current and lags.Previous studies often use return series or use GARCR(1,1)-n fitting volatility,while this paper select the appropriate GARCH model for the three kinds of GARCH(2,2)lag order and three different distribution assumptions.Although this does not fundamentally solve the problem of the choice of the optimal model,but it is a relatively more excellent processing method.