An Empirical Analysis Of The Impact Of Margin Trading On China's Stock Market Volatility

Since China's margin trading business was launched,its function of stabilizing the market and finding prices has been questioned.This paper takes China's stock market as the research object and launches the question whether the margin trading business is the "tranquilizer" or the "stimulant" of the stock market A series of discussions.First of all,in order to explore the relationship between margin trading and stock market volatility in the A-share market,this paper establishes a model of the market level: VAR modeling,the stock market volatility,the margin ratio and stock market volatility After a series of statistical analysis,it is concluded that the financing behavior increases the volatility of the stock index while the securities lending behavior has no significant effect on the volatility of the stock index.Secondly,in order to further explore which kind of underlying stocks appear the phenomenon of financing to increase the stock price volatility,this article establishes a stock level model: First,the statistical analysis of each financing standard and the market angle is the same,Financing direction of price fluctuations as an explanatory variable;and then the "Rules" issued by the Stock Exchange standardize the criteria for the selection of financing as an explanatory variable,the logical regression of discrete dependent variables.Thirdly,this paper constructs three explanatory variables added to the regression model,and optimizes the model,and draws the conclusion that the greatest variables explaining the impact of individual financing are the circulating market capitalization,the turnover rate and the per capita holding amount.Finally,some policy recommendations are put forward according to the statistical results on the standard of margin financing and securities lending in our stock exchange.