Research On The Influences Of Margin Trading On The Stock Price Volatility In China

2010,China's Shanghai and Shenzhen Stock Exchange started the margin trading business officially,which ended the long-term China's stock market trading status.Securities margin trading can improve market liquidity,suppress stock price fluctuations and stabilize the market.However,it has a leverage effect,and its introduction may also strengthen the volatility of the stock market and amplify gains and losses.So far,securities margin trading has been developed for 8 years,and has also experienced a period of severe volatility in the stock market in 2015.In the past,scholars mainly studied the relationship between the stock price of margin financing and securities lending mainly based on data from stable periods or stock market fluctuations.In this paper,we set up a VAR model to analyze the data of China's securities margin trading experiment.Then it was divided into four different periods,contrasting and analyzing the influence of margin trading on stock price fluctuation in each period,in order to obtain a more comprehensive conclusion.In this paper,we study the current situation of the development,trading model,implementation details change,its effect mechanism on the fluctuation of stock price and problems of securities margin trading in our country.Then,we set up the VAR model to analyze the data of the HS300 index and margin trading from March 31,2010 to February 5,2018.The research concludes that margin lending can restrain the fluctuation of stock price,but its function is not big,and the fluctuation of stock price can restrain the financing and margin business to a small extent.Then,the data of this period is divided into four phases:steady stage One,rising stage,falling stage and stationary stage two.Through the establishment of vector autoregressive(VAR)model,Granger test,impulse response effect and variance decomposition analysis to empirically study the effect of margin trading on the volatility of China's stock market.And concluded,during the period of steady stage and the rising stage of stock prices,there is no obvious mutual influence between margin trading and stock price fluctuation.In the falling stage,the margin financing can restrain the stock price fluctuation,the fluctuation of stock price can also restrain the development of margin lending to a small extent.Based on the research conclusion and the problems in China's current market,the paper puts forward some policy suggestions on development of trading margin:easing the threshold for trading margin entry,clear out of the field illegal financing,speeding up the development of margin business,strengthening investor education.