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

The margin trading is also called securities credit transactions or deposit trading,which refers to investors provide collateral to securities companies that qualified for margin trading and borrow money to buy securities(finance transactions)or borrow securities and sell(trading)act.Margin trading is widespread and active in the financial market of the western developed countries,but in China it was launched formally until March 31,2010,which give an end to our long-standing "single market" situation.The Shanghai stock market fell sharply at beginning of August 2015,domestic scholars believe that an important reason for the abnormal fluctuations in the stock market is the previous financing disc stacked too high,but due to its strict regulatory and trading restrictions,whether the margin trading is the cause of the crash is still need further study.Therefore,in the empirical analysis part,this paper uses vector auto regression model and impulse response function,and divided the change of stock market into three stages,in order to effectively reveal the relationship between margin trading and volatility in Shanghai stock market.Firstly,this paper studies the impact of margin trading on the volatility of Shanghai stock market.The result of empirical research is: during the rising stage,the effect of financing transactions on the stock market volatility is not significant,but the securities loan plays the role of price stabilizer.However,due to the limited amount of securities loan,its effect on inhibiting stock price volatility in the stock market is limited;during the stable stage,financing transactions increase the stock market volatility;during the decline stage,financing transactions have no significant effect on volatility of the stock market.Secondly,this paper studies the impact of 20 margin trading stocks on their own stock price.The empirical research shows that: during the rising stage,the effect of financing transactions on its own stock price volatility is not significant,but the securities loan has a negative impact on its own stock price volatility,that means margin trading inhibits stock market volatility;during the stable stage,increase the stock market volatility;during the decline stage,margin trading have no significant effect on volatility of the stock market.Finally,this paper puts forward some suggestions on margin trading.The writer hopes that china can improve the information disclosure mechanism of margin trading in the future,andgradually reduce the margin trading interest expenses and investment restrictions,as well as popularize the knowledge of margin trading and advocate the concept of rational invest.