The Empirical Study On The Impact Of Margin Trading On The Volatility Of China's Stock Market

In March 31,2010,the margin trading business pilot work after more than four years of patient planning and preparation,approved by the State Council,coupled with the SFC's strong assistance,margin trading business pilot officially launched,the establishment of the pilot means China's stock market will end the unilateral market trading mechanism began to enter the bilateral trading model,is a landmark milestone in the development of China's securities market,since the development of China's securities market has entered a new stage.Margin trading system is an important measure to push forward the basic and innovative reform of China's capital market.It is a great innovation of the securities market in our country.It has injected fresh blood to China's capital market,active the overall investment environment ofcapital market,provides a new profit model for investors in China,is an important turning point in China'ssecurities market transition from trial period to maturity.Our margin trading mechanism has been implemented since the end of March 2010,there havebeen more than seven years.During the seven years,the scope of the margin trading target share has undergone five expansion,and the margin trading business has developed rapidly and achieved considerable results.The amount of the underlying stock has been extended from the beginning of the 90 to the present 950.The number of shares is about A shares of the total number of listed companies 32%,the market value of the circulation is about A shares circulation of 62.9%of the total market value.Margin margin is also increasing,as of the end of July 2017,margin balance has reached 9010.6054 billion yuan.Since the introduction of the margin trading mechanism,it has been widely concerned by domestic and foreign economists,especially its impact on the stock market has been the focus of debate between domestic and foreign theorists and practitioners,so scholars have conducted a lot of research work.Most of the scholars have come to the conclusion that margin trading can make use of its unique leverage to adjust the supply and demand of the stock market,balance the stock market and mitigate the fluctuation of the stock market.However,some academics do not think that margin trading has a positive effect on the stock market,China is not a particularly mature stock market the introduction of the margin trading business will because of its shorter implementation time,their own greater risk and so increase the up and down of the shock.Although scholars both at home and abroad have never stopped discussing this issue,there is still no unified opinion and research results.Then,what's the impact of the practice of margin trading on China's stock market?Is there a significant impact on the volatility of China's stock market?Whether it has aggravated the volatility of the market?These questions have been a hot topic in the analysis of theory and practice.It is worthy of study and needs to be explored.It is also the starting point of this paper.Considering China's specific national conditions,the margin will also have their own unique characteristics,so the research results of the foreign mature stock market may not be applicable in China,starting from the reality of the problem,analysis according to the specific circumstances of the specific.Based on this,the first part of this paper,introduction part based on the collection of summary information,sketched out the research background and significance of this margin,the domestic and foreign academic literature related to a systematic,comprehensive induction analysis and sorting,pointed out the direction and way for the study and research of this paper,introduced the research methods and research ideas of this paper and the innovation and shortcomings of this paper.Secondly,the second chapter defines the related concepts of margin trading,introduces the function of price discovery,stabilizing the market,providing liquidity and risk management,and distinguishing it from ordinary securities transactions.In the third chapter,the paper uses a combination of theoretical and empirical analysis of the mechanism of margin trading on the stock market volatility,elaborates the mechanism of margin purchase and short sales transactions on the stock market volatility.Then,the fourth chapter describes the development process of margin trading in China,adopts the method of quantitative analysis and qualitative analysis,through the collection and acquisition of margin trading development data related to a comprehensive analysis of China's margin trading business development status quo,and points out the related problems in the development of the current margin.Then,the fifth chapter of this article takes the CSI 300 index in China as the research object,the pilot of margin trading business started from March 31,2010 to July 31 2017,1783 trading data as samples,through the stationary test,VAR model estimation,Granger causality test,impulse effect analysis and variance decomposition test method to make an Empirical Study on the margin trading and stock market volatility.Finally,the sixth chapter of this paper first elaborates the analysis conclusion of the empirical test part.Through a series of empirical tests,this paper discovers that the margin trading has inhibited the volatility of the stock market to a certain extent,and the current development stage and level,Margin trading business development time is short,lack of experience and the overall size of the transaction is too small,the inhibition of the volatility of the stock market in general is relatively weak,but showed a growing trend.Through Granger causality test shows that the financing transaction is the Granger reason of stock market volatility,the stock market volatility is not Granger reason of financing transaction,the effect of financing transaction on volatility of stock market is one way;and margin trading is not the Granger reason of stock market volatility,the volatility of the stock market is not the Granger reason for the margin trading.Through the VAR model estimation,the pulse effect analysis and the variance decomposition test show that the financing transaction and the margin trading have certain inhibitory effect on the stock market,but the effect is weak.Then,according to the conclusion of the development of China's margin trading business and the conclusions drawn from the empirical study,the author puts forward some policy suggestions to improve and improve the development of China's financial affairs in the face of practical problems.