Investor Emotion,Margin Trading And The Volatility Of Stock Market

In 2015,it's for Chinese investors because the Shanghai composite index raised from 2000 points to 5000 points,and then downward quickly.Investors not only enjoyed the high return from margin trading,but also loss too much in the downward of market.It is in this background,we started to consider the factors that influence the volatility of equity market.In recent years,although suffered from the influence of the excess capacity,little consumption and inventory pressure,but Chinese economy still maintain rapidly growth and relatively stable.Obviously,the macroeconomic was not the main cause of the dramatic volatility of market in the short term.As is known to all,the price of goods is decided by its supply and demand quantity,stocks are no exception.Therefore,the supply and demand of the same share of different determines the price of the stock,also impacts on the volatility of stock price.From the perspective of behavioral finance,the demand of stock is influenced by the economic environment,government policy and other factors,and these factors are ultimately reflected in investor sentiment.Thus,we focused on the affect of investor sentiment and margin trading to the stock market fluctuation.The solution of the problem will be helpful for the development of value investment,for the quickly development of Chinese margin trading system,and for the steady and healthy development of the securities market.First of all,based on the describe of existing literatures and combined with the characteristics of Chinese stock market,we need to clarify the basic logic of investor sentiment,margin trading and the volatility of stock market.Intuitively,investor sentiment and margin trading would affect directly the volatility of the stock market.The temperature of investors emotional determines the shares of the market supply and demand quantities,and then affect the price of the stock;the margin trading bring the mechanism of cross trade to market,this leverage will magnify the volatility of the stock market,but also promote the liquidity of the market and affect stock prices in a certain extent.Indirectly,the leverage mechanism of margin trading express the investor expectations of the market in some way,which is called the investor sentiment that affects stock price.Secondly,we selected the research variables and built the research model based on the purpose of this study.On the selection of variables,with the volatility of CSI 300,SSE constituent index and ShenZhen 100 index as the dependent variable;independent variables include margin trading,and using the principal component analysis extracted from multiple index which can comprehensively reflect investor sentiment of information;we eliminate unnecessary index of a series of economic variables,and finally chose excess liquidity as macroeconomic control variables.The empirical results showed that the margin trading has amplified investor sentiment,thus indirectly contributed to the overall market fluctuations,and finance trading has significantly positive impact on investor sentiment than securities trading,leading to the influence of investor sentiment to overall market volatility is more obvious under the impact of the finance trading.The empirical research of hypothesis 3 showed that the margin trading has the greatest effect on the volatility of market of Shenzhen,impact on the volatility of Shanghai is minimum,market as a whole lied somewhere in between.Finally,on the basis of empirical research,we given some immature policy: for investors,it's necessary to set up price discrimination system of the stock transaction fees,to strengthen institutional development and the protection of the rights and interests of investors;for margin trading,it's need to improve the system of margin trading,to cancel the system of forced liquidation and accelerate the refinancing business from the author own view;from the perspective of the securities market itself,we can emphasize on the stability of the IPO policies and the improvement of the delisting system for the importance of the steady development of securities market.Then,we looked into the distance of the full text based on the the building of investor sentiment index and the guarantee mechanism of margin trading.