| Liquidity is the primary condition of the survival and development of security market.The function of security market will be badly influenced if it is lack of liquidity or not able to provide sufficient liquidity.The Margin Trading mechanism entered into Chinese capital market in March,2010.The newly launched innovative trading mechanism provides a brand new profitable way and risk-averse channel for investors.The development of Margin Trading makes the breakthrough of limitation of investors' own funds or securities possible to make leveraged business transactions instill energy and vitality into the security market additionally.Therefore,the influence of Margin Trading mechanism on market becomes one of the most concerned topic for academia and industry.With the development of the Margin Trading,the range of underlying stock was extended for several times by Shanghai and Shenzhen Stock Exchange successively,more and more stocks of Small and Medium-sized Enterprise Board enter into the underlying stock pool.Under this background,this paper researches the influence of Margin Trading on small and Small and Medium Enterprise Board from the perspective of liquidity.First of all,literatures on definition and measure of market liquidity and research results about the impact of the Margin Trading on stock market liquidity are combined in this paper.Then,the paper gives the definition of the market liquidity and selects the measure of market liquidity on the basis of the work above.Secondly,definition of Margin Trading and the practices in Chinese stock market are discussed systematically after the introduction of general situation of Small and Medium-sized Enterprise Board.The impact mechanism of the influences of Margin Trading on stock market liquidity is analyzed,too.Then,the paper takes Small and Medium Enterprise Board as research object to study how Margin Trading mechanism effects stock market liquidity by using econometric methods of Vector Auto-Regression(VAR)Mode,Granger Causality,Impulse Response Function and Variance Decomposition.Finally,the paper analyzes the empirical results and puts forward related policy suggestions.Conclusions of this paper are as follows:1.Margin Trading will affect the liquidity of Small and Medium-sized Enterprise boards.2.The expansion of the Margin Trading will improve the liquidity of Small and Medium-sized Board.3.The effect of Margin Trading on liquidity of Small and Medium-sized Board may not be obvious due to the small market scale and transaction scale of Margin Trading. |
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