The Impact Of Margin Trading On Stock Market Volatility

Since China launched the margin financing and securities lending business in March 2010,it has ended the previous unilateral trading model of China's stock market and opened a "bilateral" era.Academia has not reached a consensus on the impact of margin trading and securities lending business on stock market volatility.Based on the existing literature,this paper studies the impact of margin trading on the volatility of the stock market from the perspectives of margin financing and margin expansion,the overall market,and the division of bull and bear markets.Aiming at the effect of margin financing and securities lending business on the volatility of the Shanghai and Shenzhen 300 Indexes,this paper uses empirical modeling and analysis using time series methods,uses the GARCH model to fit stock market volatility,and uses VAR model,Granger causality test,and analysis of variance Let's further study the effect of margin trading and margin trading on the volatility of the Shanghai and Shenzhen 300 stock markets.After empirical research,the following conclusions were reached: First,after the four expansions of the target stocks of the margin financing and stock trading,the margin financing and stock trading have a calming effect on the stock market volatility;secondly,from the perspective of the overall market,financing Margin trading reduces the volatility of the stock market;third,during the bull market,financing transactions and securities trading all contribute to the stock market volatility,but the effect is very small;during the bear market,financing and margin trading on the stock market volatility It has a restraining effect,and financing has a greater impact on stock market volatility.Based on the above research results,this article puts forward four suggestions to expand the pool of two financing targets and enrich the target varieties,improve the short selling mechanism and improve the margin system,strengthen information disclosure and supervision,and strengthen investor trading and supervision.The better development of securities in China's stock market has a certain reference significance.