Research On The Impact Of Margin Trading On The Volatility Of China's A-share Main Board Market

The implementation of margin financing policy is a major innovation in Chinese securities market,marking the formal establishment of short selling mechanism.Investors can use it to mitigate the risk of market decline,but its leverage effect may also aggravate the market volatility.Taking into that the main board market occupies a greater weight in the entire market,its volatility will often lead to fluctuations of the whole market.This paper has a new view to study the stock volatility caused by margin trading mechanism from the perspective of the main board.This paper summarizes the existing research literature and discovers that the double difference(DID)model is usually used to evaluate the effectiveness of the implementation of the policy.However,the existing research literature did not consider the hypothetical premise of "common trend"("parallel trend").Therefore,this paper innovatively adopts the research method of PSM + DID to study the implementation effect of the securities lending policy.Using the monthly data before and after the introduction of the margin trading as the research sample,adding the dummy variables of the securities and time,referred to the financial financing introduced by Shanghai Stock Exchange and Shenzhen Stock Exchange Voucher-related guidance documents,this article also introduce some relevant control variables.Then using PSM to get control group matching with experimental group.Finally,using the double difference(DID)model to analyze the influence of the implementation of margin financing policy on the stock price volatility in the main board market.Considered that the margin financing and securities lending policy has been implemented for more than eight years since its implementation in 2010,the stock market also experienced bull markets and bear market during this period.In order to make this article more research value,able to provide more reference for other scholar's research and the policy promulgation of relevant departments.This article will further study the impact of the policy of securities lending and borrowing on the fluctuation of stock market in our country from its launch to the present.The empirical results show that the net effect of the implementation of margin financing policy on Chinese main board market volatility is significantly positive,meaning that the implementation of margin financing policy aggravates the volatility of the stock price in Chinese main board market.