| From March 31,2010,the margin trading has brought new energy in China,and it brings some positive influences in the following areas: Firstly,the investment enthusiasm of domestic and foreign investors has been fully promoted;secondly,investors can have more investment choices;thirdly,it will greatly enhance the liquidity of financial markets.Once referring to the impact of margin trading on stock market,there are many different opinions.On the one hand,many people hold the negative opinion,they believe margin trading is a kind of "leverage",the hidden risk of which is very large,it will cause substantial volatility in the stock market.On the other hand,some people stand on the positive side,they believe that it not only can enhance market liquidity,but also will strengthen the price discovery mechanism.This paper mainly discusses the margin trading mechanism's influence on the stock market volatility on the theoretical level and the empirical level,firstly,introducing some classical theories about the security market and explaining the concepts of margin trading and stock market volatility;secondly,exploring the influence of margin trading mechanism on the volatility in the stock market in theoretical level;thirdly,analyzing of the effects of margin trading mechanism from an empirical level;Finally,some policy recommendations were proposed,they are based on the results of empirical analysis and the actual situation of China's stock market,hoping to contribute to the improvement of margin trading mechanism.(1)In the theoretical analysis,this paper first analyze the effects of the margin trading when it is prohibited or allowed,it turned out that the presence of margin trading mechanism can prevent sharp market volatility.Then,three typical elements of margin trading mechanism were analyzed separately,studies show that: without considering other factors,the level of margin ratio and volatility of the stock market was negatively related,the underlying shares and the stock market volatility was positively correlated,and for the analysis of the structure of investors is more complex,if the trending investors dominate the market,the margin trading willexacerbate the volatility of the stock market,while if value investors dominate the market,the more we will see is that it can stabilize stock market volatility.But generally speaking,advantages outweigh the disadvantages,the value of margin trading mechanism in gentle stock market volatility is undeniable.(2)In the empirical analysis,by selecting the relevant data and establishing the GARCH model to study the impact of margin trading mechanism,it contains short and long period research,the long period research shows that the effect is very weak,In the short period research,this article studies the total effect and the seperate effects of margin trading,results of the research include: financing trading can smooth fluctuations in the stock market,and the securities lending will increase stock market volatility and because of the big size gap between the financing trading and the securities lending forces for the stock market,it appears that the margin trading will reduce fluctuations in the stock market to some extent,but the effect is very weak.(3)In terms of policy implications,based on the results of empirical analysis and the actual situation of China's securities market,some suggestions that may help improve the trading mechanism of margin have been made,including: improving margin market supervision system;cultivating the concept of two-way trade;promoting the "T+0" trading system;controlling the costs involved in margin trading reasonably;unleashing the security deposit restrictions gradually. |
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