| As a means of short selling,margin trading has been carried out for many yearsin foreign stock markets,It is not only a principal symbol of the mature capital market,but also an important foundation of the stock market for the basic functions to be brought into full play.Chinese stock market has been a unilateral market since 1990,which is characterized by its big systemic risk and high market volatility along with many investors who have suffered heavy losses.Owing to China Securities Regulatory Commission's years of careful preparation,the securities margin trading business was officially launched on March 31,2010,which is a milestone in the bilateral market era of Chinese stock market.Investors can not only do more to profit,but also can make short by the margin trading to profit.The number of the underlying stock is from 90 in the beginning to the 700 by the June 30th,2014.Along with the continuous expansion of the underlying securities,margin as a credit trading system has made great progress in China.At the end of March 2016,the margin of the underlying securities has reached 909,the Shanghai and Shenzhen financing balance has reached more than 8,000 billion yuan,trading balance has reached more than 20 billion yuan.We can see that the margin trading transaction has expanded very quickly,which can exert a great effect on the volatility of the stock market.However,China's stock market has seen an unprecedented turmoil from July 2014 to the late December of 2015,the Shanghai Composite Index is from 2054 points on the July 21th,2014rising up to 5166 points on the June 12th,2015,which has grown by more than 50%.Then the market experienced a historic slump and started to adjust downward,the Shanghai Composite Index fell to the lowest point dropping from 5166 points to 2927 points,which has fallen by 43%.In the meantime,there is a phenomenon that thousands of stocks hit bottom and plates suspended.This round of stock market's bubble and crash have a distinctive feature:with leverage funds entering,two financial leverage funding is one of the important parts.Along with this round of market,Shanghai and Shenzhen margin balances have risen from 427.3 billion yuan to 2.2207 trillion yuan,followed by a rapid decline to 1.1742 trillion yuan.We can see from the current round of stock market bubble and crash,there is a significant positive correlation between the stock market and the margin trading,the margin trading played a contributing role.Then the margin trading's effects on the volatility of the stock market is increased or decreased?Under different market conditions,we examine the impacts of margin trading on the stock market volatility,whether the results will be diverse from each other will have an important academic value and practical significance.Firstly,this paper is on the basis of collating and summarizing domestic and foreign literature from the meaning,features and functions,combined with the present situation and development process of China's margin trading,then analyze the existing problems and summarize the basic situation of China's margin trading.Secondly,analyze the influencing factors of China's stock market volatility and select the appropriate measurable indicator.Then,we study the theoretical mechanism of margin trading on the stock market,which provide theoretical basis for empirical hypothesis.Secondly,from the perspective of the volatility,we use VAR model,Granger causality test,impulse response function and variance decomposition to analyze the specific impact of the margin trading on the stock market.In view of the special market in 2015,the paper went on to further study the specific effects of margin trading on stock market volatility when the stock market is in a different trend channel.After empirical analysis,the conclusions are as follows:(1)In the stable period of stock market,there is a negative correlation between the short selling and the stock market volatility,but there is no significant correlation between the short selling and the stock market volatility.The results show that the influence of margin short selling on stock market volatility is not obvious during the period of stock market stabilization,and the effect of financing buy-in can restrain the fluctuation of stock market to a certain extent.(2)In the bull market cycle,financing short selling transactions and short selling transactions show a significant positive correlation with stock market volatility,and the contribution rate of financing transactions to stock market volatility is greater than that of margin trading to stock market volatility.These indicate that the financing short selling transaction and the short selling transaction will exacerbate the volatility of the stock market,and the effect of the financing buying transaction on the stock market volatility is bigger than the short selling transaction.This stage,due to the "herding effect",investors have increased financing transactions,financing buy-air transaction balance will increase the market to send a bullish signal,which will attract other investors to own funds or financing to follow suit,so that The market demand for such stocks to further increase,the stock continued to rise.This situation continues,the final may make the stock price is much higher than the intrinsic value,and ultimately exacerbate the volatility of China's stock market.(3)In the bear market cycle,financing short selling transactions and short selling transactions have a significant positive correlation with the stock market volatility,and the contribution rate of margin trading to stock market volatility is greater than that of financing transactions to stock market volatility.This indicates that the financing short selling transaction and the short selling transaction will exacerbate the volatility of the stock market,and the effect of the short selling transaction on the stock market volatility is greater than the financing buying transaction.At this stage,due to the help of the market to sell into effect,investors have increased the margin trading,short selling short selling transactions will increase the market sent a bearish signal in the "demonstration effect" under the influence of other investors to sell their hands Of the positions or to follow the trend to sell short selling,the market for the supply of such stocks to further increase,stock prices continued to fall.This situation continues,the final price may be much lower than the intrinsic value,and ultimately exacerbate the volatility of China's stock market. |
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