The Impact Of Margin Trading On Liquidity And Volatility Of Security Market In China

Securities margin trading is a kind of basic mechanism of securities trading,investor can financed or traded through expected price rice or fall reasonablely,in other word,they can provide a certain amount of margin borrowing amount to buy securities or borrowing securities and selling securities to security company.For our country's long-term use of unilateral market transactions,and cannot carry out short selling operation,it has fueled sell effect easily and breeds risk,this situation can not conducive to the healthy development of China's stock market.For this reason,our country in March 31,2010 officially started the margin trading business,and introducted the short selling mechanism,the bilateral market has been achieved.It's aimed at the margin trading mechanism which can control gaining and losing through the relationship between supply and demand of the stock market,and increase the liquidity of China's stock market.Thouse measure can also restrain the fluctuation of stock market.From here we can see that the research starting from the background and significance of the margin trading,combining with the domestic and foreign literature to discuss the content,thought and method.Based on the analysis of the impact mechanism of margin trading on stock market liquidity and Volatility,we analysis the impact of margin trading on liquidity and volatility of China's stock market.Since the fourth time of the margin trading target stock expansion,margin balances and stock indexes are shown to differ significantly from the previous sharp upward trend,for this reason,my paper selects the financing purchases,the amount of margin trading and the liquidity of the Shanghai and Shenzhen 300 index and 176 day data for the volatility of proxy variables from September 22,2014 to June 12,2015,using VAR model to select data for empirical analysis,we come to a dicision:when stock prices rose sharply,the financing transaction increased the liquidity of the stock market but the influence is limited.At the same time,it exacerbated the volatility of the stock market.Margin trading also increases the liquidity of the stock market,but almost no effect after sixth,it also increased to the stock market volatility.The contribution of the margin trading to the liquidity of the stock market is greater than the contribution of the financing transaction to the stock market liquidity,the contribution of the financing transaction to the volatility of stock market is greater than the contribution of the margin trading to the volatility of the stock market.Thus,China's stock market did not give full play to the role of margin trading mechanism,the impact of margin trading mechanism on liquidity and volatility of China's stock market is limited.Final,in this paper,we offer four points:the development of China's securities lended,securities lended to strengthen investor education,expanded the scope of the underlying stock,reduced the two financial cost and improved laws and regulations.