Analysis Of The Impact Of Margin Financing And Securities Trading And Stock Market Liquidity

This paper introduces the basic situation of securities margin trading and liquidity of the market.According to the different period of margin trading,this paper analysis the impact of the financing balance change rate and the change rate of the margin balance on stock liquidity.This paper selected Shanghai and Shenzhen stock market as the research object,select the HS300 index as the research sample and use Amihud illiquidity index to represent the overall liquidity of the market.Firstly,establishing VAR model and impulse of financing balance rate reflects the relationship between the margin balance change rate and the stock market liquidity.Secondly,this paper used Grainger causality test to reflect the short time comparison.At the same time,the five expansion of the underlying securities were chosen as the sample.The panel data had about 200 stocks and the period was 6 years.Thirdly,the model was add the time dummy variable to represent the margin trading before and after,on behalf of the company with registered capital of scale.The Shanghai and Shenzhen 300 index represents the situation of the market as.This paper compared two methods including panel and LS GMM to estimate the coefficient of the empire system to study margin trading,financial balance rate and margin balance change rate of the underlying securities liquidity impact.The results show that: in the initial stage,the impact of the liquidity of the margin trading volatility is large,not stable,with the margin trading launch time is longer,the impact of the upgrade to become stable.With the passage of time,the exchange rate will change the liquidity of the market will disappear.In addition,there is no obvious long-term effect of liquidity and margin balance,financing balance.This is mainly due to the stock market liquidity is affected by a variety of factor.They can not have a major impact on liquidity changes.However,the underlying securities liquidity enhance the role of the most significant.So,the financing balance rate and margin balance change rate for liquidity of securities transactions will be the overall volatility of the stock market.Compared with the margin balance change rate,the financing balance rate can provide better liquidity and change the balance of margin rate securities liquidity.But the balance of margin rate securities liquidity and the underlying not has relationship.In addition,the size of the company and the stock market overall market liquidity of the underlying securities also have a positive impact,but to a lesser extent.Margin trading can provide liquidity to the stock market,but the degree is weak,the length is shorter.To sum up,the rate of change of the balance of margin financing on the liquidity of the market is not stable,but with the time passing,the financing balance rate is greater than the margin balance change rate.And the former promote the margin trading the underlying stock's liquidity and liquidity,the balance of financing have positive effect,but the liquidity margin balance rate has little influence on the underlying securities.