The Influences Of Margin On The SSE 180 Index

Margin has been introduced to the country's capital market for years,though how it affects the market is still a main focus when debate.To learn the Margin,is not only for a study,but also for better suggestion to improve the system behind it.This article choose SSE 180 index as one of the focus,analyzing how the Margin and fluctuations influence each other.For the framework,firstly,the introduction of study backgrounds,figuring out what's new and what fails the expectation,along with thoughts,ways from domestic and oversea.Secondly,the characters of Margin,comparing Margin and short selling.Thirdly,three models of Margin and the Margin of the country;Fourthly,the essence of Margin and the theoretical analysis of how it influences stock market;Fifthly,the empirical test between margin purchase,short sale and the volatility of the Index of SSE 180 by constructing the VAR model since 2nd January 2014,to 3rd November 2015 and with the variance decomposition.The sixth part is for conclusions and recommendations.In order to improve the margin trading mechanism,the more securities for trading the better,the more flexibility of deposit the better,the better of risks management inside securities companies the better.Conclusions of empirical research: firstly,margin trading is the cause of the volatility of the stock market.And through the Granger testing,margin trading is the Granger cause of volatility but volatility of stock market is not the Granger cause of margin trading.Secondly,the margin trading can suppress the fluctuations of stock market.Last but not least,the duration of the short sales and margin trading are longer than expected.