| 2010 on the Chinese stock market is having a sense of the times of the year.Mainland China implements margin trading system from March 31.The new policy is of great significance to the operation and development of China securities market.The two financial trading systems have increased people’s investment approaches,enriched the brokerage business means and made stock market transactions active.Because of its unique leverage and short effect,the two financial transactions will cause changes in the volatility of the stock market.But how is the effect,there is no unified answer.In view of the impact of policy and market environment of the securities market is large,research in other countries,Hong Kong and Taiwan region’s conclusion cannot generalize in mainland China.Therefore,this paper selects the Shanghai and Shenzhen stock market as the research object.This paper selects the Shanghai and Shenzhen daily amount of financing transactions,amount of selling transactions and 300 index price fluctuations as the main variables.Through the VAR econometric model,establish the influence formula of margin financing and securities market volatility.Then,carry on Granger causality test to the relationship between the two,respectively,test of the impact of financing transactions and margin trading and market volatility relationship,judge the cause and effect relationship between them.Secondly,describe the impulse response analysis chart,respectively explore reaction degree of market volatility on financing transactions and securities lending transactions.Finally,calculate variance analysis of financing transactions and securities lending transactions,and comparing the value of influence.The empirical results show that financing transactions is main place of the two financial transactions.The influence of financing transactions on securities market volatility will be greater.And the financing transaction increases the volatility of China securities market.Amount of securities lending transactions are far below the financing,the scale of the development is small by comparison and effect is not obvious.Because of the stock market as a whole is likely to obscure stocks of special circumstances,such as small trading volume and low priced stocks.So,this paper will do research on 499 stocks of Shanghai Stock Exchange and 399 stocks of Shenzhen Stock Exchange,a total of 898 objects stocks 5 during January 1st,2006 to December 31st,2014.We will establish empirical model and do empirical testing according to their sum of financing,sum of lending securities and their price.The empirical results show that the majority of the stocks are the same to the total market,but some little stocks are impacted by securities lending transactions and volatility of price has reduced.Though present articles,data and analysis above,we know there are still many problems,such as:the two transactions are unbalanced,lack of fund,lack of securities,cost is too high and so on.These problems will restrict the development of the two transactions and they cannot play a role smoothly.According to the present situation and problem,related departments should encourage turn securities business,solve the problem of development of securities will need to expand the source of securities and reduce the transaction cost of securities investors.They also should clearly define the meaning to make trading behavior of standardization and legalization,supervise effectively,provide trading formation timely;perfect the related departments of supervision and management system give a hard blow to the illegal act.A securities company shall fully understand the ability of investors to bear risk,credit according to each person’s own actual situation,adjust margin ratio flexible according to the current situation,to make sure transactions develop orderly.Individual investors should maintain a cautious attitude,improve risk awareness and ask help for professional institutions when it is necessary. |
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