| Recent years have witnessed an increasing development of the securities margin trading business and great improvement of corresponding system since it was officially introduced into China stock market six years ago.The securities margin trading business' s effect on stock market has been always arousing increasing attention of scholars and China Securities Regulatory Commisson(CSRS). Through the whole period, China stock market experienced a long depression and a crazy boom since the second half year in 2014, then the slump came in June 2015. During the boom of stock market, the amount of securities margin trading was soaring which aroused public controversy.Based on daily trading data from 2011 to the first season of 2016, the paper firstly estimates the volatility of stock market by using EGARCH model, and then analyses the system's effect through VAR model.The paper's innovation is that not only it investigates the average treatment effect using full sample but also it divides the whole period into bull market period and bear market period and estimates its impact respectively. This category is much more practical to the investors and policy-makers.The conclusion shows that financing have impact on volatility of stock market while securities loan does not when considering all sample. However in bull market, securities margin trading can lead to heightened volatility. In contrast it can smooth out the volatility.According to our conclusion, the paper suggests the investors should be educated to speculate less. More relevantly, CSRC should improve continually the securities margin trading system and allow the policy to play the due role. At the same time, the underlying assets are supposed to be more various so that investors can effectively diversify their risks. |
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