Research On The Impact Of Margin Financing And Securities Lending On The Volatility Of Stock Characteristics

The officially opened securities margin trading system in March 2010 marked the official establishment of the short-selling mechanism of China's stock market.The policy has been increasingly affected by the five-time expansion of the underlying stocks.In theory,the securities margin trading policy has the functions of stabilizing prices and allowing investors to avoid risks,but its leverage effect may also increase market volatility.Based on the background of China's securities margin trading,this paper explores the impact of securities margin trading on the idiosyncratic risk of listed companies from the perspective of multiple listed companies.In this paper,the Fama-French three-factor model is used to extract the idiosyncratic volatility.Secondly,PSM is used to match the control group with common trend,which guarantees the hypothesis of the differences-in-Differences.Then,the paper empirically analyzes the impact of margin lending and short selling on idiosyncratic volatility through the differences-in-differences regression model.The empirical results show that the opening of the securities margin trading policy has a signif icant positive impact on the idiosyncratic volatility of the characteristics of listed companies in China,that is,the development of the securities margin trading has signif icantly increased the idiosyncratic risk of listed companies.Finally,the paper proposes: Cultivate short-selling ideas,develop securities lending transactions;Strengthen investor education and improve investment structure;Strictly control securities company risks;Expand the standard stock capacity and reduce operating costs and other measures to minimize idiosyncratic risk and maintain stock market stability.