Study On The Relationship Between Abnormal Fluctuation Of Stock Index And Leveraged Transaction In China

From June to July 2015,China's A-share market witnessed a cliff-like drop with rapidly dried-up liquidity and seriously shrunken confidence,which affected the stability of China's financial market.The government took favorable policies timely,such as the reduction of interest rates,supporting for listed company and its managers' repurchase and share increase,suspension of IPOs,as well as SCF's entering into the market,to curb the spread of panic atmosphere gradually and maintain stable operation of the market.In the wake of gradually smoothed stock market fluctuations,each party in the market,including the regulator,is rethinking the reasons and learning from the lessons behind the crisis.Generally speaking,reasons for this abnormal stock fluctuation are very complicated,but leveraged transaction does play a crucial role from its savage growth in the beginning to its strong removal later.This thesis studies the reasons of abnormal stock fluctuation in China from the perspective of leveraged transactions,to provide valuable reference for financial risk controlling through strengthened supervision of leveraged transactions.This thesis first introduces the operating models and risk characteristics for the main products of leveraged transactions in China's inside and outside stock markets,and then compares and analyzes the leveraged transaction and leverage ratio with foreign market.The author starts from each development path to analyze leveraged transactions on China's securities market and the potential risks and main issues in the process of deleveraging.Based on the above theoretical analysis,the author selects the margin balance from September 2014 to March 2016 and the daily return rate on Shanghai and Shenzhen 300 index as the research data,and applies cointegration analysis and GRACH model to conduct empirical analysis on the relationship of leveraged transaction and stock index volatility.The main research results have been summarized as the followings:(1)Leveraged transaction plays an enhanced role of rising and falling on the abnormal stock fluctuations and it has greater impacts on stock index fluctuations during the falling periods than the rising periods,which is consistent with stock market's actual performance in China.(2)This thesis selects margin trading as the typical form of leveraged transaction on China's A-share market and finds that there is a high-positive correlation between the amount of leveraged transactions and the stock market.(3)Through the analysis on reasons of leveraged transaction,the author finds that the major reasons for prevailing leveraged transaction are unreasonable investor structure,unilateral rising mechanism,and high leverage financing.Finally,in response to the empirical analysis results,the author puts forward some guidance on proper and healthy development of leveraged transaction business to meet investors' diversified transaction demands,increase market liquidity and improve securities market vitality.