Research On The Influences Of Margin Trading On A-Share Market’s Volatility

Since the establishment of the A-share market in China,due to various defects in all aspects of the market,the market speculation atmosphere is very strong,and the A-share market often rises and falls sharply.In order to solve these problems and make the A-share market gradually develop into a "slow bull" market,China launched the credit trading system of securities in March,2010.Regulators hope that the "counter-cyclical price" effect of margin lending and short selling business can calm down market volatility.Up to now,margin lending and short selling business has achieved great development.As of January 24,2019,the financing balance of A-share market is more than 707.4 billion yuan,while the scale of short selling business is much smaller than that of financing business due to higher participation threshold.As of January 24,2019,the scale of margin lending business is more than 6.993 billion yuan.The A-share market has been included in the MSCI emerging markets index in June 2018.A large number of international funds that passively follow the index allocate Ashares.A large number of foreign capital will enter the a-share market,and A-shares are faced with huge development opportunities.The entry of foreign capital into the A-share market will lead to more development of margin trading and short selling business,and inevitably affect the volatility of the a-share market.In this case,it is of great practical and policy significance to clarify the relationship between margin trading and A-share volatility.This paper takes the two financing target stock pools of a-share market and the MSCI China A-share onshore index as the research object,and adopts the methods of theoretical comparative study and time series data regression to deeply study the influence of margin financing and short selling business on the stock market volatility and some existing problems in China’s A-share market.Based on the theory of supply and demand and the theory of investor behavior,this paper analyzes the different action mechanisms of the two financial transactions on market volatility under two different market conditions.In the empirical part,the research data can be divided into the periods of inflation and plunge and the periods of non-inflation and plunge according to different market states,and the generalized conditional heteroscedasticity model(GARCH model)is used for regression analysis.The empirical results show that :(1)The current two financial business on the A-share market volatility of the impact is relatively weak.Among them,the impact factor of financing business on market volatility is smaller than that of short selling business,but the scale of financing business is much larger than that of short selling business.In general,the impact of financing business on market volatility is larger than that of short selling business on the market.(2)In different market conditions,the two businesses have different impacts on market volatility.In the period of boom and slump,due to the large number of retail investors into the market,financing business and short selling business will increase market volatility;In the period of non-boom and slump,due to the large number of retail investors withdraw from the market,financing business restrains the market volatility,while short selling plays a role in exacerbating the market volatility.In the last part of the article,this paper points out the existence of A-share market...