Analysis Of The Market Shock Effect Of Leverage Margin Trading And Short Selling

The introduction of the margin financing and securities lending system has ended the history of China's securities market unilaterally,and has opened up a new era of leveraged trading in China,reflecting the continuous improvement of China's stock market trading mechanism.In theory,margin financing and securities lending is conducive to increasing market liquidity and trading activity,providing market pricing efficiency,conducive to stabilizing the market and reducing market volatility.However,in 2014-2015 there was a rollover-type change in margin financing and securities trading and an unprecedented disaster in China's stock market."Therefore,the effect of margin trading in margin financing and securities lending in China's stock market has been blamed and questioned.Based on the realistic basis of China's stock market,this paper analyzes the impact of the margin trading of margin financing and securities lending on the market from the theoretical and empirical perspectives.The purpose is to provide a reference plan for the standard development and supervision of margin financing and securities lending.After 9 years of financing and securities lending business,we have enough sample data to empirically test the impact and impact of the margin trading of margin financing and securities on the liquidity and volatility of China's securities market.Firstly,by constructing a VAR model analysis of leverage ratio and market liquidity,it is found that the leverage ratio of financing has a significant role in promoting liquidity;the leverage ratio of margin financing,the leverage ratio of margin financing and financing,and the net leverage ratio of margin financing and securities lending to the market.The impact of liquidity is not significant.Secondly,based on the time-varying variance of the GARCH model under the assumption of t-distribution,the VAR model is still selected to analyze the effect of leverage ratio on the market volatility.The results show that the leverage ratio will lower the stock market in the short term.Volatility,which has a restraining effect on market volatility,the leverage ratio of securities lending has no significant impact on market volatility.The leverage ratio of margin financing has a positive impact on market volatility,but the degree of impact is small,and the net leverage ratio of margin financing and securities lending to the market Fluctuations have no significant effect.Possible innovations in this paper:(1)Taking the “leverage effect” of margin financing and securities lending as the core research point.“De-leverage” is the main measure of China's current supply-side structural reform.The stock market is the main place for resource allocation.Leverage transactions have received much attention.Margin financing and securities lending has opened up the era of bilateral trading in China's stock market.It is a new thing,and chooses research financing andfinancing.The four leverage ratios generated by bond transactions have great research value on the impact and impact of market liquidity and volatility.(2)Compared with the literature,this paper chooses a complete period of market price change.During this period,the market price experienced rapid growth,cliff-like decline,and squatting and turbulence.The research results can fully reflect the financing The impact of the vouchers mechanism on China's stock market and its impact.(3)In the fitting of the mean value equation of GARCH model,this paper no longer uses the logarithmic rate of return of the Shanghai Composite Index as the mean equation,but chooses the pair with the same good relationship with the good goodness.The regression equation of the number closing price against the logarithmic closing price of the first order is used as the mean equation.