Empirical Study On The Impact Of The Margin Trading On The Excess Return Of The Underlying Securities

This paper studies the impact of the margin trading on the excess return of the underlying securities in china’s capital market via empirical study. China’s current margin trading business is mainly buying on margin, and short selling is relatively minimal compared with financing transactions. Thus, the paper selects the amount of buying on margin as a starting point,the amount of buying on margin represents China’s current status of margin trading business. In order to shield the effect of the market value of stocks and take into account the smoothness of data,this paper uses the increment amount of buying on margin as the study variables to identify the relationship between the increment amount of buying on margin and the excess returns of the underlying securities.Generally speaking, the objective of this empirical study is to find whether margin trading has an impact on the excess returns of the underlying securities.The paper selects the data for148trading days after the significant growth of the margin trading business. Starting from February1st2013to September16th,2013.The paper selects284underlying stocks from the Shanghai Stock Exchange and193underlying stocks from the Shenzhen Stock Exchange as the research objects.The results of the empirical study show that(1)for the Shanghai Stock Exchange,there is mutual influence between the excess return and the increment amount of buying on margin, and the relationship is both positive and stable;for the Shenzhen Stock Exchange,the incremental amount of buying on margin has random effects on the excess return of the stocks.However, the excess return of stocks has a stable and positive impact on the incremental amount of buying on margin.(2) There is some positive influence for the excess returns of stocks to the relative incremental amount of buying on margin,and the coefficient is great. Although the relative incremental amount of buying on margin also has some positive influence on the excess returns of the stocks,the coefficient is small.(3)Two variables(the relative increment amount of leveraged buyout and the excess returns of stocks) are both existing autoregression, they are not only affected by the current data, but also affected by the data of multi-phase lags.Compared with the existing research,innovations of this paper are mainly manifested in two ways-empirical research ideas and methods.This paper consists of six parts. Among these parts, the fifth chapter is the core part,which elaborates the financial explanation of the empirical studies and results.