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

Margin trading started relatively late in our country.Since March 2010,the margin business has been officially launched,and it has been 7 years ago.The financing margin has undergone five expansion in the past 7 years,and the development is very rapid.But in 2015 during the “crash” makes the society from all walks of life have started to question the margin leverage,think this is the cause of abnormal fluctuations in the stock market.On the basis of summarizing the related researches of domestic and foreign scholars.This paper takes the yield of the CSI 300 Index,the yield of the Shanghai Stock Index,and the yield of Shenzhen Stock Index's as the research targets,By using the EGARCH(1,1)model which includes three exogenous variables of financing balance,margin financing balance and margin financing margin:EGARCH(1,1)-DLNRZ ? EGARCH(1,1)-DLNRQ ?EGARCH(1,1)-DLNR,and the paper analyzes the impact of financing transactions,margin trading and margin trading on the volatility of China's stock markets in four periods: “before the stock market rose sharply”,“the stock market rose sharply”,“the stock market fell sharply” and “the stock market crash occurred”.This paper concludes that financing transactions can stabilize the volatility of the stock market during the periods of “stock market rose sharply”,“stock market fell sharply”and “the periods after the stock market crash”.However,during the periods of“before stock market rose sharply”,financing transactions exacerbated the stock market volatility but with little effect.The securities trading can stabilize the stock market volatility in the“stock market rose sharply”and the“stock market fell sharply”period,and the effect is stronger in the “stock market rose sharply”stage.In addition,The effect of the securities lending transaction on the volatility of the stock market is not significant in the two stages of “before stock market rose sharply”and“after the stock disaster occurs”.The margin trading can stabilize the stock market volatility in the periods of “stock market rose sharply”,“stock market fell sharply”and “the periods after the stock market crash”,and played a stronger role in the stage of “stock market rose sharply”.However,during the periods of“before stock market rose sharply”,margin trading exacerbated the stock market volatility.