An Empirical Analysis Of The Impact Of Margin Financing On The Volatility And Pricing Efficiency Of China's Stock Market

Since the policy of Margin trading,the scholar and relative analysist are pretty sure the effect of Margin trading to stable the market when the stock market is stable.But when the stock market is floating,they will find the reason of Margin trading,and they think this policy will have a negative effect on the market.It is believed that the margin trading policy is the cause of a certain degree of fluctuation in the stock market,which is often lack of a certain theoretical basis.As a policy,the actual effect of margin trading is often not accurately estimated.Investors should carefully consider the role of margin trading in the selection of investment strategies.The effect of Margin trading towards stock market need to have a more compliacte analysis.This text begins at Dec 3rd 2016,and it pays attention to the new policy of Margin trading this time,the series of time has divided two parts:the first part is from Dec 1st 2015 to Dec 3rd 2016,we call it the series before the policy;the second part is from Dec 3rd 2016 to Dec 31th 2017,we call it the series after the policy.We choose the new stock of Margin trading as the target of research and adjust the data.It selects the adjustive stocks from others as the control group,when selects the match data,it uses the Counterfactual Analysis.The research of Margin trading towards the stock market is starting with volatility and pricing efficiency.The effect of volatility needs to be analysised by the model of panel regression,the result shows that the effect depends on the enough information,and when the govenmeng starts with the Margin trading,it will decrease the volatility of each stock.The effect of pricing efficiency needs to be analysised by the model of svm from the subject of machine learning.And the result shows that when the government starts with the Margin trading,it will increase the pricing efficiency,and each part has a different role.Among them,the impact of financing transactions on pricing efficiency is greater than that of securities trading.