Research On The Influence Of Margin On The Volatility Of Stock Price In The Period Of Abnormal Fluctuation

Since Roll proposed the idea that stock price idiosyncratic volatility can effectively reflect company level information in 1977,many scholars shift their research focus to the trait fluctuation of stock price and effectively proved that it is affected by noise trading,stock information delivery speed and information transparency of listed companies.Since China opened the Margin Trading Business in March 2010,the domestic study of the impact of Margin Trading on the stock market mainly concentrated on the volatility of the stock price.However,the research of the trait fluctuation of margin trading and share price on volatility is lacking.After nearly five years development,the relevant mechanisms of Chinese Margin Trading Business has been gradually improved,and the function of stabilizer has also played a role as everyone expected.However,when the stock market crash broke out in 2015,the securities market in China was on the brink of collapse,the Margin trading business did not seem to have played its due capacity.During the drastic changes in the investment environment,all the listed companies are making every effort to save the enterprise,which leads to the more obvious difference among enterprises.The impact of margin trading on the stock price idiosyncratic volatility is even more important.With the help of the policy characteristics of margin financing's phased expansion in our country and the investment environment of the stock market volatility from 2014 to 2015,this paper selects the stocks of the A-share mainboard market as the research topics and selects the Margin Trading standard experimental group and non-standard control group by the PSM propensity score matching method,and using the double difference model to test the influence of margin trading on stock price trait fluctuation under different market trends during this period.It is found that during the abnormal fluctuation period the Margin Trading is aggravating the trait fluctuation of the stock price.In each sub-period of the violent fluctuation,the margin trading business will promote the further rise of the stock price volatility in the sharp rise of the stock price.When the stock price falls sharply,the effect of margin trading on the rise of stock price volatility is even more intense,accompanied by the recovery of the stock market and implementation of policies,in the course of stock prices normally picked up,margin trading business should play a price stabilizer function returned to normal.After the initial understanding of the impact of the margin trading business on the stock price volatility in the period of abnormal stock market volatility,this article combines the existing research results,choose the three aspects of the noise trading,information transmission speed and company information transparency to examine the research mechanism of stock price volatility,we found that the margin trading business,which should have a negative impact on noise trading,played a diametrically opposite role in the volatile stock price period.The high leverage of margin trading business became a speculative arbitrage tools of noise trader,leading to a sharp rise in the stock price volatility;in terms of information transfer rate,margin trading is still an effective way for stock information to enter the stock price,margin trading can speed up the rate of information transfer to improve the pricing efficiency of stock prices,thereby reducing the stock price trait fluctuation.In the aspect of corporate information transparency,this paper chooses corporate earnings as the proxy variable of information transparency.The empirical results show that in the special period,Margin Trading will exacerbate the deterioration of corporate earnings and thus further promote the stock price trait fluctuation,it is harmful to stabilize the stock market.After understanding the impact of margin trading business on stock price trait fluctuation,this paper analyzes the mechanism of stock price trait fluctuation through the relevant theories and makes a reasonable analysis and summary based on the background of stock price idiosyncratic volatility,and puts forward the relevant policy recommendations,with a view to provide reference for the regulatory agencies on the management of margin trading business.