Research On The Impact Of Margin Financing On The Volatility Of China's Stock Market

Since the introduction of the Margin trading trading in China,the number of Margin trading targets has increased from 90 stocks in the initial period to 950 stocks now in just eight years.By December 2018,the Margin trading scale has risen to 800 billion yuan.During the bull market in 2015,the scale of the Margin trading has exceeded 2 trillion yuan.As a financial innovation business,margin trading has attracted the attention of many domestic and foreign economists since its launch,but the results of the research on stock market volatility by scholars at home and abroad are quite different.Based on this development and research background,this paper firstly combs the domestic and foreign research,and combines the characteristics and functions of margin trading and margin trading to analyze the mechanism and effect of margin trading and margin trading on the transmission of stock market volatility.At the same time,combining with the development process and current situation of China's margin trading and margin trading business,the data of Shanghai-Shenzhen 300 index and margin trading date from March 2011 to December 2018 are selected as analysis samples,The event study method is used to test whether the two financial markets have an impact on stock market volatility,and the vector auto regressive method(VAR)is used to test the direction and intensity of the two financial markets' conduction on stock market volatility,as well as the conduction effect oftwo financial markets on stock market volatility under different market situations.The empirical results show that the volatility of the stock market is significantly affected when the two financing businesses reach a certain scale;in the long run,financing transactions will increase the volatility of the stock market,and securities trading will reduce the volatility of the stock market;in bull market,due to the interference of various other factors,financing transactions and securities trading have no significant impact on the volatility of the stock market,but in bear market.Financing transactions increase the volatility of the stock market in the short term,and short-term securities trading also increases the volatility of the stock market.Finally,according to the empirical results,the paper puts forward some suggestions on how to play the role of margin trading from the following aspects: expanding the number of shares with two financing targets,promoting the balanced development of financing and margin trading business,cultivating investors' rational investment ideas,and improving the supervision of regulatory authorities.