| The margin trading was introduced into China's securities markets in the March 31,2010.And it has been expanded for five times since then,the number of the margin target stocks have increased to 950,meanwhile the stocks of which in the Shanghai Stock Market has increased from 485 to 525.With the rapid development of short selling in China,the volume of transactions increased significantly,its impact on the market has become a hot spot among investors.But the global financial crisis happened in 2008 has a bad impact on the market,and there are fewer margin target stocks during that time.So it results that the researches on the margin trading were all basing on the data which from the stabilized market,but lacking of the fluctuating data.The existing researches are mostly focusing on the study of margin selling but do not give enough attentions to the margin buying which plays a major role in China's markets.Based on a full consideration of the market status,the paper uses the data of Shanghai Stock Market from the initial stage of the bull market to the bear market,makes an empirical study on the impact of margin trading,margin buying and margin selling on the liquidity and volatility of the market.The empirical results show that:(1)When the volume of transactions increased dramatically,the margin buying and margin selling can indeed increase the liquidity,and the margin buying contributes more to the promotion of liquidity.(2)When the stock price accelerated down,the margin buying and margin selling can indeed suppress the volatility,and the margin selling contributes more to the suppression of volatility.At last,the paper combined the empirical results with the development of China's market,proposed several development recommendations to improve the efficiency of China's margin trading,such as strengthening the concept of short investors,reducing the costs of margin trading,paying more attention to the system construction and establishing an effective margin system. |
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