Research On The Stock Price Fluctuation Effect Of Margin Trading

Since China's official implementation of the margin trade selling system in March 2010,the margin underlying share has undergone five expansions.Today,the number of the margin underlying share in the A-share market has increased to 1,098 stocks,the margin trading is becoming more and more important for the marking.Most of the studies on margin trading by Chinese scholars based on the market as a whole,and the impact of margin trading lending on the volatility of the stock market is analyzed by exploring the relationship between the balance of margin trading and the market index,but no consistent conclusion has been reached,what's more,there is almost no research on individual stocks.This article is based on this background,studying the impact of margin trading on individual share's price.On the one hand,it enriches the research results on the impact of margin trading lending on stock prices,and provides theoretical support for realizing the role of margin trading can stabilize markets,on the other hand,accurately revealing the real effect of margin trading lending on the stock market.It helps to guide the specific measures and decision-making of the risk control of the supervisory department,and has important practical significance for the development and improvement of China's margin trading system.This paper studies the effect of margin trading on stock price from the following two aspects.One the one hand,,the fourth batch of expansion stocks included in the margin trading systemon September 22,2014 was taken as the research object,the author used the DID to analyze the impact of the establishment of margin trading on the stock price.The study shows that there is a significant differences in underlying stocks return of margin trading business after the opening of the margin trading policy.This policy has a significant impact on the price of the underlying stocks that are included in the expansion,which promote the rise of share price.On the other hand,the author divided the market into two stages: rising and falling.Individual stocks are divided into value stocks and growth stocks.Then,the author analyze the influence of margin trading on stock prices of different trait stocks under different market conditions,and draw the following conclusions:(1)On the whole,in the rising market,margin trading will promote the rise of the underlying stock price;in the falling,the margin trading will aggravate the fall of the stock price.(2)As far as different stocks are concerned,in the rising stock market,the increase of margin trading will has greater effect on the value stock's price than that of the growth stock;In the falling stock market,the reduction of margin trading will aggravate the fall of the stock price,relatively speaking,the impact on the decline of value stock is smaller than that of growth stock.(3)When the difference of margin trading occupy a high proportion of floating stock,margin trading will inhibit the rise of share price,and the inhibition of value stock is smaller than that of growth stocks.Finally,this paper puts forward the policy suggestions to eliminate the imbalance of margin trading,raise the threshold for target stock expansion,establish withdrawal mechanism for margin underlying share,and improve market information disclosure,etc.