Research On The Relationship Between Margin Financing And Stock Market Volatility

The “stock market disaster” that occurred in 2015 has caused great concern in all sectors of society.The stock index has fluctuated thousands of points in a short period of time,and the stock index fluctuated thousands of points in a short period of time.Such huge fluctuations are rare in the world.When the scholars analyzed the reason of the stock market disaster,they believed that the margin financing and securities lending business played an important role in it.But what role does the margin financing and securities lending play in the stock market during the period of huge volatility,and what are the differences and similarities between the role of margin financing and securities lending compared with the stock market stabilization period? The study of this problem not only provides a new perspective for understanding the relationship between margin financing and stock market volatility,providing some reference for investment practice,and also providing some suggestions for the regulators to formulate relevant policies that are more in line with the rules of market operation.Based on this,this paper focuses on the two aspects,including theoretical explanation and empirical analysis to study the impact of margin financing and securities lending on stock market volatility in the huge volatility period(2014.09.22-2016.05.31)and stationary period(2016.06.01-2018.09.21).Based on the existing research,this paper uses the asymmetric E–GARCH model to fit the stock market volatility to the closing price of the Shanghai and Shenzhen 300 Index.Using the conditional variance V extracted from it to measure stock market volatility,and empirical research on establishing VAR model of financing strength,securities lending intensity and stock market volatility.Through the research,four conclusions are drawn: First,stock returns have a significant asymmetric effect,and this asymmetry can alleviate the volatility of the stock market;Second,financing transactions can play a role in restraining stock market volatility to a certain extent,while securities trading is more inclined to increase stock market volatility;Third,compared with the impact of securities lending on stock market volatility,financing transactions have a greater impact on stock market volatility;Fourth,a very important reason of the 2015 stock market disaster is the excessive use of leverage.And put forward four suggestions for the conclusion: cultivating investors the psychology of rational investment,optimizing investor structure,balancing the scale of the two businesses and developing a more reasonable and effective margin system.