An Empirical Study On The Impact Of Margin Trading On China's A Share Market Volatility

On March 31,2010,China formally launched the margin trading system.Securities margin trading refers to the act of investors providing security to securities companies,borrowing funds to buy or sell listed securities.The introduction of margin trading system is an important reform measure for China's securities market to be in line with international standards,and the scale of margin trading has been developing at a very rapid speed since its introduction.The margin trading system has become an indispensable and important part of China's securities market.After more than nine years' development,margin trading has become an important investment tool for securities investors in China.It is also a research hotspot for scholars.With the stock market disaster in 2015 and the meltdown in 2016,more and more scholars begin to pay attention to the relationship between margin trading and volatility of A-share market.There are three main conclusions of scholars' research: margin trading can suppress stocks.Ticket market volatility,margin trading has no impact on stock market volatility,margin trading promotes stock market volatility.On this basis,through theoretical and empirical analysis,this paper examines the relationship between margin trading and volatility of A-share market in the context of three events: the completion of margin trading expansion in 2014,the stock market disaster in 2015 and the meltdown in 2016.In theory,firstly,it summarizes the relevant research literature of domestic and foreign scholars,then reviews the development process of margin trading business in China,and combs the literature of the relationship between margin trading and stock market volatility.Finally,according to the existing literature and investor psychological analysis,it summarizes the positive and negative path of margin trading to boost and boost.Empirically,this paper uses event study method and VAR model to study the impact of margin trading on stock market volatility in Shanghai,Shenzhen,SME and GEM markets.Empirical results show that the impact of margin trading on stock market volatility in China is short-term,and in the context of expansion,SME margin trading aggravates stock market volatility in 2015.Under the background of stock market disaster,securities trading in Shanghai and Shenzhen Stock Exchanges,small and medium-sized board markets and GEM markets will all aggravate stock market volatility.Under the background of fusing in 2016,securities trading in small and medium-sized boards and GEM markets will obviously promote market volatility.Finally,based on the above conclusions,this paper puts forward relevant policy recommendations from three aspects: investor education,risk supervision of Shanghai and Shenzhen stock markets and investment access conditions of the securities market.