The Research Of Volatility And Pricing Efficiency Of Chinese Stock Market

The impacts of the margin transaction system on China's securities market have always been the focus of researchers in China,since the implementation of margin transaction system.As a kind of innovative trading mechanism different from traditional securities trading,margin trading has certain influence on the efficiency,volatility and liquidity of securities market.At present,the research conclusion that the margin financing system can enhance the liquidity of the stock market has been convergent,and the conclusion of the research on the effect of the margin on the stock market volatility and effectiveness is still controversial.Therefore,the influence of the volatility of pricing efficiency analysis of China's securities market has being a hot issue.Our margin transaction system was introduced in 2010,and the underlying stock margin has expanded from 90 to 900 in six years,which is benefited from the strong supports of Chinese government on margin transaction system.However,a roller coaster of the stock market during 2014 and 2015 increased the anxieties of people on the margin transaction system.In Dec 15,2014,China Securities Regulatory Commission(CSRC)conducted a two-week inspection on the margin business of 45 securities companies,it is found that there exist serious financial irregularities phenomenon in CITIC,Haitong,Guotai Junan company.To stabilize the market,the CSRC adopted a three-month suspension of its margin account processing.So in the end will the margin transaction system increase stock market volatility,lower stock market pricing efficiency,or will stabilize the market and improve the stock price efficient?For this reason,this paper studies the influence of margin system on the price volatility and pricing efficiency of China's securities market under the background of the large fluctuation of stock market from 2014 to 2015.This paper selects all the new stocks in the stock announcement list published by Shanghai Stock Exchange and Shenzhen Stock Exchange on September 22,2014 as the object of study.The panel data policy evaluation method is used to study the impact of margin on volatility of stock market,Support vector machine(SVM)model to study the impact of margin on stock market pricing efficiency.Firstly,the author consults the relevant literature to define the pricing efficiency and to conclude the research and analysis methods,so as to determine the point of contact.Secondly,the influencing mechanism of margin transaction system on the volatility and pricing efficiency is discussed in detail.Thirdly,research method is proposed and relevant variables are defined based on literature analysis and theoretical researches.Then,the stock market volatility in Sep 22,2014 is set as the time node,R 3.1.2 and SPSS 19.0 statistical analysis software are used to process the data obtained.The author adopts the panel data policy evaluation method and Support Vector Machine(SVM)to study the resistance and pricing efficiency,respectively.By combining SVM and the "counter-factual" theory to study the impacts of margin transaction system on the pricing efficiency is the innovations of this paper.Finally,summarize the conclusion of the article,analysis,and make policy recommendations.Through empirical research on the impact of margin transaction system on the volatility and the pricing efficiency of stock market,main conclusions are drawn as follows:(1)it is inconsistent of margin transaction system to reduce the volatility of individual stocks,indicating that there are other factors that can affect the volatility of the stock,such as the entire market prices;(2)the influences of margin transaction system on individual stocks vary with type of stocks,and the difference is irregular.Thus the effects of margin transaction system cannot be judged by single stock;(3)excluding the impact of stock index futures on the stock volatility,the margin transaction system can still reduce stock volatility.So it can benefit stabilizing the stock market to develop the margin transaction system;(4)model is suitable for fitting pricing efficiency equation.It shows that in addition to traditional linear methods,machine learning language can also be applies to fit the equation of pricing efficiency;(5)pricing efficiency increased after the stock was added in margin transaction system,indicating that the margin transaction system can improving the efficiency of its pricing;(6)financing transactions and securities lending transactions can improve the efficiency of pricing stocks to some extent.Therefore,Chinese government should expand the size of margin transaction system,balance the margin trading and financing transactions,so as to promote the healthy development of the stock market.The improvement of the existing research methods is the innovation of this paper,which is embodied in the following two aspects:(1)In the application of the panel data policy evaluation model,the stepwise regression method is adopted to replace the best goodness of fit method not only solves the trouble of calculation,but also avoids over-fitting which is easy to occur due to pursuit of high degree of goodness of fit.(2)Using SVM to construct a new pricing efficiency model,which avoids the difficulty of establishing explicit equation to determine coefficient.