Study On The Influence Of Investor Heterogeneity On Stock Price Fluctuation In The Background Of Margin

In recent years,the stock market has abnormal fluctuation in our country,especially with the rapid development of margin trading,the stock index has undergone several roller coaster changes.People think that margin trading affect heterogeneous investor psychology,and then implicated in the stock price volatility,for its long and short trading mechanism,margin trading has been deeply questioned.Therefore,in order to standardize the development of margin trading business,to provide guidance for investors 'rational investment and market supervision,this paper discusses how the existence of margin trading system will deal with investors' heterogeneous psychology through the combination of theory and practice,and to verify the impact of investor heterogeneity on stock price volatility.On the basis of theoretical analysis,this paper empirically tests on the impact of margin lending on investor psychology,and then affects the stock price volatility.First of all,the A stock market average exchange rate,A shares the average price earnings ratio,turnover,new investors,financing balance,margin balance and investor confidence index as the source index,from March 2010 to January 2017 monthly data,through the principal component analysis method to measure the heterogeneous composite index.We can see that the financing and buying trade has a positive effect on the heterogeneity of investors,while the effect of margin trading on investor heterogeneity is negative,and the influence degree of the financing deal for investors' heterogeneity is greater than securities trading.Secondly,through the establishment of the VAR model to analyze the dynamic influence of investor heterogeneity on stock price volatility and the contribution rate of stock price fluctuation,the results show that the influence of investor heterogeneity on stock price fluctuation can last about 9 period,reached the peak in the third period,and compared with other macroeconomic factors,investors heterogeneity impact on stock price volatility makes the maximum degree of contribution.By constructing a linear regression model,the author analyzes the specific degree of the influence of investors' heterogeneity on stock price fluctuation.The empirical results show that the impact of investor heterogeneity on stock price volatility is positive,and other macro factors have no obvious effect on stock price volatility.Finally,on the basis of the research results,this paper puts forward three countermeasures to promote the smooth development of the margin trading business,strengthen investor education,strengthen information disclosure and market supervision.