The Research On The Dynamic Margin System Of China

Margin trading is a credit transaction,refers to the securities company will own funds or securities to investors,and earn interest or fees from a transaction.Compared to developed countries,China launched the margin trading business of the late,the rules and regulations are still to be improved.As the margin trading is a leveraged transaction,is bound to involve the concept of margin.Margin system plays an important role in the margin trading,the margin can be funds,it can be securities,the existence of margin system to a great extent reduce margin trading and credit risk and market risk.If the margin ratio is set too high,will inevitably lead to decreased efficiency in the use of funds,resulting in waste of resources;if set too low,they can not be well protected because of market fluctuations brought about by a variety of risks,Bring a great loss.It is very important to set a reasonable margin ratio in the two financial business,how to measure the risk of the margin trading business,how to measure the margin of the margin business,It is the key of this research that how to set up the margin system to better resist the risks in the two financial business.Firstly,this paper introduces the background of the topic,including the concept of margin trading,the emergence and development at home and abroad,and so on.Secondly,it describes in detail that the two financial services may bring or face And then lead to securities companies in order to control the risk of two financial services to prepare the tool ? margin financing.Then,this paper introduces the present margin system in our country,analyzes the current situation of the deposit system in our country,finds out the shortcomings of the fixed deposit system,proposes that it should be improved on the original basis,and creatively introduces the VaR method to the financing In order to solve the problem of setting up the proportion of margin deposit,this paper puts forward the idea of constructing the dynamic margin system for the existing fixed deposit guarantee system.In this paper,the empirical part of the first part of the subject of margin trading securities NARI as an example,the use of VaR method based on GARCH empirical analysis test,according to the national power NARI daily rate of return sequence,using statistical software to calculate the stock may face the largest daily Loss value,and to the value of its real?time margin ratio.Through the empirical analysis of the 40 stocks in the paper,we try to estimate the overall margin level of the stock market and get the daily average VaR value of all the stocks,and through the conclusions of the data,we can estimate the initial stock market Margin ratio and maintenance guarantee ratio.Through comparative analysis,we found that the current fixed margin system for the margin ratio is set high,the reason why the Shanghai and Shenzhen Stock Exchange is to use a higher margin ratio is considered from the security point of view,but is not conducive to profit maximization Principles and market efficiency,resulting in a large number of low utilization of funds.Based on the above empirical analysis,this paper puts forward the idea of establishing the dynamic margin early?warning system,which can give full play to the function of the margin financing and effectively control the various risks in the two financial services and enhance the whole market.Capital efficiency.Finally,based on the empirical analysis,this paper puts forward some suggestions on how to improve the current margin system of margin trading.