Research On The Impact Of Margin Trading On The Volatility Of Chinese Stock Market

Margin trading system is a basic system of credit transactions,because of its complex relationship with the volatility of the stock market,so its research has practical and theoretical significance.This paper from the characterization of the Shanghai and Shenzhen 300 index in the state before and after the policy transformation model;and stock from the margin target in the policy under the influence of the disposition effect,and further use the fixed effect model respectively from the view of financing and securities lendig their impact on Stock volatility;finally,focuses on the analysis of extreme China stock market and market tail correlation analysis of margin target.The results show that although the probability of low state is still the highest,but the stock market can have a greater probability of maintaining a high state.For the study of the underlying stocks,the volatility of the stock disposal effect are mostly significant,for the vast majority of margin trading stocks,the introduction of margin trading system,significantly reducing the volatility of stocks.In the Shenzhen stock market financing and margin plays a lower volatility effect,even for the impact of the reduction in volatility margin is more significant;while in the Shanghai stock market,financing transactions,the greater the impact.POT model found after margin trading start,the heterogeneity of the tail extreme CSI 300 index sequence was inhibited,many extreme data converge inward,the boundary of heavy tail distribution moves inward.Copula function shows that the smaller the possibility with the stock market crash,the possibility is smaller with the market boom,the margin of business to carry out the smooth the volatility of the underlying security.The innovation is through a variety of models of margin trading for the volatility of China's stock market:from the index and the underlying stocks from two aspects;the overall stock market volatility,from the tail(i.e.extreme conditions)of two angles of the start of margin trading business impact on stock market volatility.