Research On The Impact Of Margin Trading System On The Volatility Of The Growth Enterprise Market

China’s stock market officially began to implement the margin trading and short selling in March 2013,thus bidding farewell to the history of “unilateral market” and beginning to enter a new stage of “bilateral trading”.Miller(1977)argued that the elimination of short selling restrictions can cause stock prices to return to their intrinsic value,thereby reducing the volatility of stock prices.The margin trading and short selling system has a long history of operating in the capital markets of developed countries,mainly relying on mature capital markets.Based on the short running time of China’s stock market and the high proportion of retail investors in the market,the introduction of a leveraged margin trading system may result in “blindly following the trend”,“chasing up and down”,and increasing financial risk.From the perspective of actual operation,the large fluctuations in China’s stock market still exist,such as the stock market volatility in 2015.The GEM market is an important part of the capital market and has its own characteristics.Starting to open short-selling restrictions in this market in 2015 can be said to be a milestone.However,most of the growth-oriented enterprises in this market are small in scale and may be more susceptible to “price manipulation”,which is not conducive to the realization of financial assistance entities.Therefore,in order to explore the relationship between margin trading and stock price volatility,the main content of this paper is divided into the following five parts: The first part mainly expounds the research background and significance,as well as research ideas and methods,and combs related literature at home and abroad.After summarizing,the paper proposes the framework and points out the innovation and deficiencies of this paper.The second part expounds the related concepts,characteristics,trading mechanism,etc.of the margin financing and securities lending.The status quo is discussed.Finally,starting from the three theories of “overvaluation of stock price”,“heterogeneous belief” and “effective market hypothesis”,the paper analyzes the theoretical path of stock price changes under the short selling mechanism.The third part is an empirical study of the impact of margin trading on the volatility of stocks under the GEM.Using the double difference method,based on the daily frequency data and financial data,compare the stock price fluctuation difference between the stocks that have not been allowed margin trading and the stocks that have been allowed margin trading.The fourth part is an empirical study of the impact of margin trading on the volatility of the GEM.Taking the fluctuation of the GEM market index as the research object,a series of control variables reflecting the macroeconomic operation status were added.The monthly data from February 2013 to November 2018 were selected and empirically studied using vector autoregressive model(VAR),Granger causality test,impulse response and variance decomposition.The fifth part is conclusions and policy recommendations.