| China has started to allow margin trading since March 31,2010.It has been more than seven years since then.Most of the time it has been spent in steady development,but there has also been a bull market from July 2014 to June 2015.During and after the short-term turmoil,many people in the market attributed the sharp fluctuations in the stock market to the fueling of margin trading and securities trading,and the Securities Regulatory Commission also reduced the margin ratio for margin financing and securities lending transactions from 50% in November 2015.Raising to 100%seems to have sidelined these speculations.What is the relationship between margin trading and stock market volatility? Is the impact on stock market volatility during the bull market period and steady development period the same? What reforms should be made to the development of the financing and short-selling trading mechanism in China and what precautions should be taken to deal with possible problems? Many of these doubts have been studied by previous scholars,but the author can not completely get the answer.Therefore,with these doubts,this paper divides the sevenyear period since China's emergence of the margin trading mechanism into three phases,adopting the Shanghai Securities Exchange's daily margin financing and stock-market volatility and other related data,and constructing them in phases.VAR and other empirical models have been theoretically and empirically analyzed in the hope of getting answers.The author believes that such analysis not only has important academic significance,but also can provide reasonable suggestions to China's investors for margin trading and even related institutions to formulate policies,so as to promote the smooth and healthy development of China's margin financing and securities market.The structure of this paper is mainly divided into five parts: The first part is the preface part,mainly expounding the relevant background and significance of the research.The second part is the literature review,which categorizes many researches at home and abroad into three types.That is,margin trading can stabilize stock prices,promote stock market stability,and margin and securities lending transactions not only fail to stabilize the market,but also to a certain degree.Exacerbating the degree of turmoil in the stock market and the relationship between margin trading and stock market volatility are not obvious in these three categories,and then they are separately reviewed in related literature.The third part introduces the basic concepts,functions,and related pattern classification of margin financing and short selling.The fourth part is a simple analysis of the theoretical mechanism of the impact of margin trading on stock market volatility.The fifth part is an empirical study.Selecting the relevant data from the Shanghai Stock Exchange divides the margin financing and securities lending into more than seven years since its implementation in China.The VAR model is used to empirically analyze the effects of margin financing and securities lending on the volatility of the stock market.Then summarize and interpret the results of empirical analysis.The sixth part is the narrative of the policy recommendations.In connection with the actual situation in China,after analyzing the problems that may arise,the relevant countermeasures and suggestions are proposed in order to provide assistance to the relevant agencies in formulating policies. |
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