Empirical Research On The Impact Of Margin Volatility On The Stock Market

Effect of margin trading on market volatility has been difficult to draw a conclusion, we can say that he is a "double-edged sword", although in a mature market credit trading system has many experts Chester done research in all aspects, but to So far we did not reach the same conclusion. China securities market, the two financial official launch of short individual stocks is a complete change of trading from scratch. Margin trading business operation carried out so far in our country there are more than six years, the impact on the market has been the focus of theoretical debate, both considered aggravated also think there is a role in stabilizing role. China’s securities market is in a period of rapid development, especially in the mid-2015 experienced a stock market crash, there have been some issues worthy of our review and reflection, so the study’s margin of great necessity and significance.Firstly, the existing literature were consolidated, and start with the concept of the start of margin trading meaning made the introduction, and then related literature of the sort:After combing several main trading patterns, and were in contrast, while its development process and summarizes the current situation; then explain the margin trading mechanism. Empirical part, we selected 2012 to 2015 transactions, the use of GARCH model, quantitative analysis method of VAR model, impulse response, variance decomposition to analyze the impact of credit transactions for our stock market volatility caused.Positive findings:analysis of financing transactions, by the fifth-order lag VAR model analysis, financing the balance of the rate of change of index-wave rate move is not cause and effect of each other, but the balance of the financing volatility has a positive impact on the volatility index and a pulse result, the short term will increase the volatility of the index, but the impact of financing transactions volatility index is not significant. In the fourth-order lag test VAR model, the negative effects are short from the impulse response function analysis done trading can indeed play a steady role in the market, but its ability to influence is very weak.Finally, this paper puts forward some policy recommendations, particularly in the aftermath of the stock market crash painful, we have to think about how to make the margin trading truly play its role, the value of the stock market return and stable positive impact, including specific recommendations for optimization Investors structure, foster rational investors; focus on improving short-selling mechanism; strengthen risk control system established; enhance investor education..