| In order to implement the innovation-driven and technology-powered country strategy,promote high-quality development,and support major reform measures for the construction of Shanghai's international financial center and technology innovation center,my country has opened a science and technology innovation board on the Shanghai Stock Exchange.At the same time,in order to achieve a series of reform measures such as improving the basic system of the capital market,enhancing market inclusiveness,and strengthening market functions,it has been specifically decided to conduct a pilot registration system in the Science and Technology Innovation Board.In the selection of margin financing and securities lending credit models,afrter analyzing and studying various current foreign models and combining my country's national conditions,we decided to choose a single-track centralized credit model.This model sets a certain entry threshold for investors and hopes to achieve a moderate reduction in noise The purpose of the impact is more conducive to the development of the entire sector,and it also lays the foundation for the study of this article.At present,retail investors still account for a large proportion of investment entities in my country's stock market.Therefore,there will be a“herd effect”and noise influence in the market,resulting in weak stock price stability and high investment risks.Since the SSE STAR Market can use financing on the first day of listing The securities lending business indirectly realizes T+0 transactions,which in a disguised form increases the degree of openness of the securities lending trading market.Therefore,the stock price fluctuations and influencing factors of this sector deserve in-depth observation and research.Based on this,this article chooses to observe the promotion and application of the "margin trading and securities lending"tool to study its impact on the stock price fluctuation of the Science and Technology Innovation Board.By comparing the relationship between margin financing and securities lending balances and stock market volatility,this paper uses the EGARCH model to compare the volatility differences of the Sci-tech Innovation Board,ChiNext Market,Shanghai Stock Exchange Index,and Shenzhen Component Index,and initially verifies the effectiveness of the margin trading and securities lending system.The impact of stock price fluctuations in different markets.After that,we will further study the influencing factors of stock price volatility on the Science and Technology Innovation Board,and verify the relationship between margin financing and securities lending and stock price volatility.This article selects the top 50 underlying stocks that have been listed since the launch of the Sci-tech Innovation Board,and refits and analyzes their daily trading data.It is observed that the data on the Sci-Tech Innovation Board has a sharp peak and thick tail pattern,which is a positive and negative impact.At the same time,margin financing and securities lending business has a certain leverage effect,so it was finally decided to use the EGARCH model to observe the volatility situation,and establish the volatility indicator V,financing balance LRZ,and securities lending balance LRQ through the VAR model.The relationship between the three indicators is to observe how the margin trading and securities lending business on the Science and Technology Innovation Board affects stock price fluctuations.The empirical results show that when favorable(or negative)news is affected,compared with other sectors on the Sci-tech Innovation Board,margin financing and securities lending has a restraining effect on the volatility of stock prices;when there is no positive(or negative)news influence,The sci-tech innovation board's own stock prices fluctuate higher than other sectors.This result shows that the margin trading system is conducive to the realization of the price discovery function of the market,and to a certain extent guarantees the liquidity of stocks. |
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