The Study Of Margin Impact On A-share Market Volatility

The margin is the important long and short stock market trading mechanism, has hedging,stabilize the market, increase the liquidity and price discovery function, to play an irreplaceable rolein the stock market functions. March31,2010, China launched the margin trading mechanism, withthe official start of the margin, the A-share market has bid farewell to the years of unilateral domore mechanisms to become a milestone in the development of China’s securities market. However,in reality, the margin trading in China can play an effect of reducing market volatility? If it canstabilize the market volatility, how is this extent of the impact?Firstly, to define the concept of margin trading and stock market volatility, combing themechanism of action of the margin impact of stock market volatility, the margin constraints affectthe stock market volatility, on this basis, China’s A-share market of margin trading and CSI300index running the sample data, the use of OLS regression, Granger causality test, descriptivestatistical analysis, GARCH model, empirical analysis, and interpretation of empirical results.The results show that: In the short term, the financing transaction occurred stock index rose,but does not have a significant margin trading on the stock market volatility, margin trading andvolatility between there is a one-way causal relationship, that is financing transactions Grangercause volatility in the stock market, stock market volatility is Granger reason of the short sale, thisresult is the special case of the stock market in China. Before and after comparison can be found inthe long run, by the fluctuations of the A-share market after the introduction of margin trading isreduced, but from the empirical data, market volatility reduced marginally margin yet give full playits stabilizing role of market volatility.