| March 31,2010 China's formal implementation of margin trading mechanism,which means that China's securities market development has entered a new stage.In the introduction of short mechanism,China's securities market trading rules are to be remodeling,Before that investors in China can only make money from the rising in stock,and after this reforming,investors can also benefit from the declining in stock.After September 2014,the Chinese stock market experienced a rapid rise in the process from bear to cattle and the rapid decline in the early bear market process.During the bull market,the stock market volume continued to enlarge,speculative atmosphere is active.Driven by the money-making effect,the financing of leveraged funds continues to rush into the stock market,margin trading balance blowout,most of the industry said the wave of bull market as "leveraged bull market." After June 2015,the margin trading mechanism had played an important role in the sharp decline in the stock market.In fact,the reasons for the formation of the stock market disaster is very complex,but the margin trading mechanism is one of the factors can not be ignored.To clarify how margin trading affects the liquidity of the stock market is very important for China to build a better stock market in the future.The topic of this paper is presented in this context.This paper first reviewed the relevant literature at home and abroad and found that because of China's margin trading business is still short,the scholar 's empirical research on the margin trading mechanism in the stock market liquidity is often limited by data availability.To the present,the academic community's research on the margin trading mechanism on the impact of the stock market liquidity mechanism is not yet sufficient,they failed to reach a more unified point of view.Secondly,this paper combs the theory of margintrading and liquidity.It mainly introduces the meaning,function,characteristics and problems in the development of margin trading and the four dimensions of liquidity,influencing factors of liquidity,as well as the general measurement method of liquidity index.Then,this paper summarizes the leverage mechanism of the effect of margin on liquidity,and the liquidity tightening mechanism of margin trading in the crisis period from the general process of financing transactions and margin trading to liquidity impact.Finally,through careful screening research,this paper chooses the stock expansion event as the object of study on September 22,2014 as the research object,selects the stock turnover rate,the market value of the market and the book value as the control variable,and uses the double difference model(DiD)To analyze the differences in the liquidity changes before and after the events of the stocks selected for the margin book and the stocks that have not been selected into the margin.This paper finds that:(1)China's margin trading can significantly improve the liquidity level of the stock,but it increases the volatility of the stock liquidity level.(2)Stocks listed on the Shenzhen Stock Exchange have a lower impact on their stock liquidity levels relative to stocks listed on the Shanghai Stock Exchange.(3)In the case of stock market crash,the liquidity tightening mechanism of the margin system will lead to a decrease in liquidity,and the liquidity of the underlying securities is worse than that of other stocks.(4)After eliminating the impact of the stock market,the effect of margin trading on the liquidity of the stock was significantly enhanced,and the financial margin in the stock market had a negative impact on the stock liquidity.In view of the above conclusions,this paper puts forward the following policy recommendations:(1)to continue to improve the margin system.It is suggested that regulators should take further measures to reduce the threshold and transaction costs of margin trading and gradually increase the number of stocks subject to margin financing.(2)to improve the flexibility of regulatory policies.For the margin to increase the level of stock liquidity fluctuations.In different market conditions,the regulatory authorities should take different regulatory measures.(3)to optimize the structure of China's stock market,to promote rational and objective,long-term holders of institutional investors to become the main market players.(4)to limit the margin trading in the venue.Regulators may consider to bring off-site financing into the venue under the condition that it fully disclose t full disclosure of information,while the illegal operation of off-site financing should be to resolutely crack down and banned. |
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