A Study About The Impact Of Margin Trading On The Stock Market Of China Under The T+1 Trading Rule

The margin trading showed an exponential growth in a few years after the start of the pilot project of financing margin business in China.It becomes a heat topic in the academic and practical circles about whether the system plays the role or the deterioration of the market,although the financial margin system is original intention fine,which is also the focus of this article.Here we combined margin trading mechanism and T+l settlement system,made an empirical analysis of the imbalance of margin trading due to the imperfect system using option theory,arbitrage concept and counterfactual path,and analyzed the effect of the mismatch of financing margin system under the T+1 system.It is helpful to clarify the effect on the mechanism design of margin financing under the T+1 system in the stock market of China.Based on the option theory,this paper theoretically analyzes the short-and-long imbalance of cash holders and securities holders under the T + 1 settlement mechanism.Using the BAW model,we create an approximate measure of the unbalance of the margin securities.The SVAR model is established to characterize the dynamic relationship between long and short liquidity shortfalls and market changes.It is found it has a positive effect on the fluctuation of the underlying securities.The impulse response function further shows that it will increase the price movements in the short term,while converging in the long term.Based on the GARCH models we found that the volatility of the return on the H-share market under T+0 mechanism responds to changes more quickly in the market trend,and the volatility of the return on A-share market under T+1 mechanism lasts longer,which reflects the poor ability to absorb the sudden impact of digestionrelative.We constructed the disposition effect with the counterfactual path and found that the swing trading on the margin trading has a significant negative effect on the volatility.And RSI has a significant positive effect on the volatility.It shows that the potential market value and long-short differences caused by the unbalanced design of margin trading and trading mechanism increase the volatility of the market.