Study On Effects Of Margin Trading And Short Selling On The Volatility Of Shanghai A-Stock Market

Since 1970 s,the academia respectively from price adjustment for new information and adjust the speed of two angles,developed different oretical model demonstrates the effect of financial leverage(such as,margin trading,short selling transactions)on the stock pricing efficiency.Foreign literature research of margin of short sale is mainly influence on the stock market,and the contents of margin trading are very little research on the impact of the stock market,and the object of study is given priority to with the us stock market,for the rest of the stock market and the global stock market research is less.In China,financial leverage products are formally introduced margin trading and short selling.since 2010,it has developed rapidly.To September 2014,Margin trading and short selling of underlying stocks to nearly 47% of the total number of Shanghai a-share listed stocks.According to the announcement of the weighted evaluation index calculation,a-share stocks higher liquidity in China has been basically become A margin trading and short selling the underlying stocks.In this paper,data for the entire period is divided into: Jan.2014 to Oct.2014,Nov2014 to May 2015,Jun.2015 to Sep.2015 three groups.Which is doing market returns with Margin trading and short selling changes in the amount of margin of regression analysis.The analysis results show that :1,there is help up not down;2,Blind investment happens whether in T day to T+2day;3,early-warning buy signals in the second group of T-4day;4,in the third group there is a unusual large movement,mainly due to external funding.