Impact Of Margin Financing And Securities Lending On The Volatility Of Stock Market

On March 31,2010,the launch of the margin financing and securities lending business marked the beginning of a new stage of development in China's securities market that from the"unilateral city" pattern to the "bilateral city" trading era,which injected new vitality into the development of China's capital market.However,in 2015,the market experienced a great fluctuation,most researchers blame the margin trading for this stock market disaster.How the margin business affects the stock market has been the focus of academic debate.The main content of this paper is to study the impact of margin financing and securities lending business on the volatility of China's stock market.On the theoretical level,it analyses the development status and the main problems of China's margin trading.This article focuses on the impact factors and mechanisms of the margin trading business on stock market volatility.On the practical level,there are four main parts:First,according to the launch date of the margin financing and securities lending business,introduce dummy variables to perform GARCH regression on the data to exam the overall effect of this business on the volatility of the stock market;Secondly,using GARCH(1,1)to fit the volatility of the Shanghai and Shenzhen 300 Index,use the VAR model to study the influence of the margin trading market volatility.Then,take the date of the expansion of the underlying securities as the node,and the first part of the empirical method is used in stages to study the influence of the expansion of the underlying securities to the stock market volatility.In the end,for the "stock disaster" in China's stock market in 2015,select relevant transaction data.The volatility of the VAR model is a comparative analysis of the impact of the margin financing and securities lending business and the SCI 300 stock index futures trading on stock market volatility.After the above empirical analyses,the following conclusions can be drawn:In the generally fluctuating market,margin lending and short selling business is helpful to reduce the volatility level of China's stock market,while its influence is limited.With the expansion of the underlying securities of margin lending and short selling,its role in calming stock market volatility gradually increases steadily.The discovery of margin financing and securities lending transactions has suppressed the volatility of the stock market,and the suppression of financing transactions is more obvious.During the periods of high volatility in the stock market,margin trading and stock index futures trading both increased the volatility of the stock market,and margin trading had less impact than stock index futures.Finally,five suggestions are put forward combining the results of empirical analysis:Improving the structure of the market investors;Steadily promote the quantity and quality of underlying securities;Perfecting market short mechanism;Strengthening the construction of the margin deposit system;Improving the supervision of the securities lending and borrowing business.