The Empirical Analysis Of Stock Market Volatility Affect About Margin In China

Margin trading business run by the "Refinancing" mechanism willchange the unilateral lack of the stock market trading, mark theformation of the short mechanism in China, a major reform of thesecurities trading system, but also a milestone in the development ofcapital markets. Margin trading is a typical credit transaction, with theobvious leverage, regardless of the financing to buy a lot or short sales,are able to deduct, and affect the stock market’s supply and demand, andthus affect the market fluctuation.This paper uses empirical research, comparative analysis andqualitative analysis, and does field research in the relevant departments ofsecurities companies, also has a comprehensive understanding of theoperating status of margin trading business.The empirical researchselects the margin trading business data in Shanghai and Shenzhen, thetime span from March2010to October2011, uses the CSI300indexwhich including the margin trading pilot stocks, as a representative of theA-share market volatility index, uses the VAR model to analysis thevolatility of the CSI300Index rate, financing business balance, tradingbusiness balance of the three time-series data, makes an empiricalanalysis, in order to explain the actual impact of financing transactions tothe margin trading on China’s stock market volatility after short sellingrelease. Then, on the basis of the model study, the use of cointegration analysis, Granger causality and error impact test, analyze the relationshipbetween the CSI300Index、financing and securities lending in order toexplore the factors that margin impact of stock market volatility,andfurther to analyze these factors in order to predict the possible impact ofthe margin on the investment in the development of the overall stockmarket and individual stocks. Finally, according to the results ofempirical research, comparative analysis of the margin on the maturemarkets of the foreign business practices, and give some correspondingcountermeasures and suggestions about the margin’s future developmentin our country and improving refinancing mechanism.