An Empirical Research On The Impact Of Margin Trading To The Volatility Of Shanghai Security Market

With the rapid development of China's margin transactions,the scale and the number of underlying securities are continuing to increase.The margin transactions in China's securities market are becoming increasingly important.However,compared with developed security markets in western countries,China's margin transactions start later,and the market share is much smaller.Margin buying and short sale are uneven developing.With the problems above,margin transactions are attracting more and more attention in the theory and practice.On the current status of research,the scholars have no unified conclusions,and the debates are prevalent.Therefore,this paper studies the impact of the two financial transactions on stock price volatility,and to explore the role of the two financial transactions.First of all,this paper introduces the development background of margin tradings' situation in our country,through to the related literature at home and abroad,summed up three conditions of margin affect stock price fluctuations.Secondly,this article from the margin buying,short sale and the two comprehensive analysis of the two trade influences theory mechanism of share price volatility.Thirdly,this article from two angles of margin buying and short sale,according to the different samples of the samples,as well as A divided city states,respectively constructed VAR model and ECM model and empirically margin ARDL model for Shanghai share market price fluctuations.Finally,based on the theoretical analysis and empirical research results,it is concluded that the margin in the future development of our country's enlightenment.There are two empirical results:1.In the empirical analysis of the full sample period,whether it is financing the transaction point of view or the angle of margin trading,are used to estimate error correction model,concluded that-margin could reduce the volatility.2.The distinction between bull and bear markets in four stages were empirical process,we find that margin trading in bull and bear markets two kinds of city state are able to reduce the volatility of stock prices;but the impacts of financing transactions are not consistent.