The Effect Of Margin Trading On Stock Price And Stock Market Volatility

On March 31,2010,the margin trading system was formally introduced into China’s securities market,which enriched the channels and methods of China’s securities trading.It was a very important step in the development of China’s securities market.It was very profound.And through the development of 7 years,China’s financial margin of the securities of the orderly expansion,has reached 950,in China’s emerging securities market,such as the establishment and development of margin trading business,its impact is still the focus of the theoretical community.This article mainly studies two aspects:(1)Through the establishment of ARMA and GARCH model,this article studies the impact of the start-up and expansion of margin trading on the volatility of stock market.In this paper,the residual equation of CSI 300 index yield is established by ARMA model,which indicates the volatility of stock market.And the virtual variable D is introduced into the GARCH model,and the analysis of the stock market volatility changes with the continuous development of the margin trading business in China.The results of the empirical results show that the first four expansion of the margin of the model fitting effect is better,the coefficient of the dummy variable is negative,indicating that the first four expansion of margin trading can play a role in stabilizing the volatility of the stock market,but the virtual variable Coefficient is small,indicating the extent of the role of relatively weak.At the same time,according to the margin of margin,the CSI 300 index is divided into six stages,and the dummy variable D is introduced in each stage to study the effect of margin expansion in each stage.According to the results of empirical analysis,only the third expansion and the fourth stage of the expansion of the model fitting effect is better,and the virtual variable regression results are significant,it can be drawn in China’s securities market,margin trading expansion on The volatility of the stock market has a cumulative effect.(2)As the margin of the fifth expansion of the number of underlying stocks is far less than the number of the previous four expansion of the number of stocks,and to the fifth expansion point of time,China’s margin trading business has reached a certain scale Level,so the margin of the fifth expansion of the GARCH model of the lower degree of fit,but does not rule out the micro level of its stock has a significant impact.This paper continues to study the impact of the fifth expansion event on the stock returns of this expansion period in the period of [-10,10] through the event study method.At the same time on the subject of the number of stocks more margin of the fourth expansion through the event research method to analyze,to enhance the persuasiveness of empirical conclusions.In the event study,the daily return rate of the Shanghai and Shenzhen 300 Index is the market rate of return,the short-term bond yield is the risk-free rate of return,and the CAPM model is used to establish the equation of expected normal return rate.Through the analysis of the abnormal return rate of the underlying stock,it is concluded that the fifth expansion of margin trading and the fourth expansion of margin trading have significant influence on the underlying stock returns.