An Experimental Research On The Effect Of Margin Trading On The Securities Market Performance

Chinese securities market has been developing for more than 20 years.In this process,how to restrain asset bubbles,enhance liquidity and reduce price fluctuations,has always been the focus that the academics and practitioners pay close attention to.Margin trading is considered to be one of effective ways to restrain asset bubbles and maintain the stability of security market among all trading systems.In 2010,the establishment of margin trading in China changed the status of unilateralism,which has a very important position in the history of the Chinese securities market.However,the validity of the margin trading is still controversial in academic circles and supervision departments.On one hand,the margin trading helps to reduce the stock market premium,enhance market liquidity,and stabilize the market.On the other hand,speculative short selling could cause more intense volatility.China began to implement the "T+1" trading system to refrain excessive speculation and volatility from 1995.However,with the development and maturity of Chinese securities market,"T+1" trading system has met more and more challenge.The voice of restarting the "T+0" system is getting higher and higher.Therefore,whether the "T+1" system can help to restrain asset bubbles and maintain price stability is one of the main problems in the study.The study in this paper uses the methods of experimental economics and Econometrics."T+1" trading system and margin trading are introduced in the capital market transaction experiment,in order to explore how the two trading systems and margin trading affect asset price and asset bubbles.The liquidity and volatility indicators are measured in the meanwhile,so as to evaluate the effectiveness and practical significance of the "T+1" trading system and the margin trading system together.The results show that no matter what kind of trading system is adopted in the market,margin trading can significantly restrain the expansion of asset bubbles;compared to the "T+0" trading system,the "T+1" trading system slightly but not significantly restrain the bubble when other conditions remain unchanged.In addition,the market liquidity under two trading systems both improves to a certain extent after the introduction of margin trading,and the effect is more significant under the "T+5"trading system.Finally,there are obvious differences between the effects of different trading systems on the volatility after the introduction of margin trading:under the "T+0"trading system,there is little influence on market volatility,and under the "T+1" trading system,margin trading obviously make the volatility of the market price more violent.