| After the introduction of margin trading system,it has gradually become an important part of the securities trading market system,and the investment bodies are all over the world.But in the 2015 spike event attracted the attention from all walks of life Chinese,stock index in a few months,there are thousands of little fluctuation,huge fluctuations in the world is also very rare.The cost crash occurred,one of the finger point is the margin trading business,in this critical period,how the impact of margin trading on the stock market,which in the current academic research has not formed a consensus,but there are many disputes,and some of the impact of the study is different from the developed countries.Therefore,it is of great significance to deeply understand the relationship between stock market and margin trading.It is helpful to deepen the understanding of the stock market by further widening the research perspective and expanding the understanding of the influencing factors of China's stock market.Which allows investors to fully grasp the relationship between margin trading and stock market volatility,to guide investors in the stock market at all stages to develop a reasonable margin investment program.It is helpful for the supervisors to formulate the corresponding policies in a timely manner,improve the credit trading system and optimize the rules,improve the regulation and control efficiency of the regulators,guide the investors to avoid risks and promote the healthy and stable development of the market.Through specific data,we understand the general development situation of margin trading and stock market.We focus on the analysis of China's stock market crash and crash events,and the role of margin trading in the crash.The empirical analysis part covers the daily data of Shanghai Stock Index and margin trading from September 12,2014 to December 31,2016.Firstly,Markov regime switching model is used to study the state of stock market,and find the optimal number of States is 3.Then the data characteristics of each stage are analyzed and their respective suitable methods are selected.The stock market volatility indicators have the stage of ARCH effect,and the GARCH model is used to fit the stock market volatility indicators.VAR model is used to empirically test the impact of margin trading on stock market volatility.The results show that:in the different conditions of the stock market,financing transactions and short sale have different influences on the volatility of the stock market in different directions and degrees,and this kind of effect still has lag.At the same time,the volatility of the stock market will affect the trading volume of the late trading margin,and in the stock market under different conditions,the impact direction and degree of stock marketvolatility on financing transactions and short sale is different.The results of the problems existing in the development and demonstration are summarized,and put forward some policy suggestions according to the actual situation of our country in the margin trading business development is not balanced,the ratio of margin and collateral structure is not reasonable,two financial business transaction costs and high and the high threshold of access to the actual situation put forward some policy recommendations to make full use of the function,specific recommendations include: cultivate rational investors,improve the financial Supervision,balance the development of margin,to develop a reasonable system. |
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