Heterogeneous Beliefs,Credit Transactions And Stock Volatility

Credit transaction is the product of a certain stage of development of capital market.Since March 31,2010,China's margin trading business has played a positive role in the development of the capital market,but in stabilizing the market volatility is still open to question.Market transactions found that investors' heterogeneous beliefs and herding behavior significantly affected market volatility under the synergies of margin trading.Whether or not the risk of the stock market has brought about new changes in the volatility of the stock market has become the focus of the theoretical research.After using the ICSS algorithm to divide the market,the principal component analysis method is used to construct the index to measure the heterogeneous beliefs of the investors at the market level.The relationship between heterogeneous beliefs and credit transactions,heterogeneous beliefs and herd behavior on stock volatility.The impact of heterogeneous beliefs and credit transactions on stock volatility is analyzed emphatically.The empirical study found that: First,investors' heterogeneous beliefs are dynamic changes;second,the analysis of the market level:(1)In the stationary period,stock volatility is not associated with heterogeneous beliefs;(2)In the early days of the rise,the financing transaction made the investors' heterogeneous beliefs weakened and the stock volatility decreased.(3)In the bubble period,heterogeneous belief expansion and financing transaction synergies and increase the stock volatility.During the crash,heterogeneous beliefs were weakened,and the investor's sheep's selling behavior significantly increased stock volatility and rate of decline under leverage.Third,the analysis of individual stocks:(1)the stock of the financing transactions and heterogeneous beliefs will increase the stock volatility,and will lead to stock risk of crash,while the securities trading through the short sale of stock prices overvalued pressure and reduction The dual effect of heterogeneous beliefs to reduce stock volatility.(2)Under different market conditions,the synergies between financing transactions and heterogeneous beliefs are different.In the abnormal fluctuations,the synergies between the two will be more volatile stock volatility.Finally,based on the results of empirical research,this paper puts forward the corresponding policy recommendations.