| The introduction of margin trading system ended the unilateral trading in Chinese stock market.China's margin trading system has developed rapidly with the pushing of margin trading business,the implementation of refinancing mechanism,Multiple adjustments of margin trading's transaction rules and the continuous expansion of the underlying stock scope.However,During the development of stock market,whether the margin trading business pushed the stabilization of stock market in the process of stock market running? Gradually,the underlying stock scope of margin trading business expended from the motherboard market to the small medium enterprise board(SME)and the growth enterprise market(GEM),from large-caps to involve small and medium-sized caps.Whether the effects of margin trading on stock price's volatility is consistent of the underlying stocks in different market segments and different market value? From March 2014 to February 2016,China's stock market has experienced a bull and bear market baptism,whether the margin trading system play a role of aggravating a complicated situation?In this paper,the China stock market after March 31,2010 is divided into three stages,including the shock market(from March 31,2010 to March 21,2014),bull market(from March 24,2014 to June 9,2015)and bear market(from June 10,2015 to February 29,2016)respectively.We select the data of control group and the experimental group respectively and use the data before the policy implementation to fit regression equation and then estimate the stock price's trend of experimental group under the assumption that there is no margin trading policy,namely,counterfactual stock price path.And then work out the actual volatility and estimated volatility of the underlying stock.By comparing the actual volatility and the estimated volatility,The impacts of margin trading system on stock price volatility in different market cycles,different segments,different industries and different market value are analyzed respectively.Through empirical analysis,we know that in shock market,margin trading mechanism inhibits the underlying stock's price fluctuation to some extent,but the effect is not obvious.However,in bull and bear markets,margin trading mechanism increases the underlying stock's price fluctuation;In shock market,the inhibitory effects of margin trading mechanism for underlying stock price's fluctuation is better in the motherboard than in the small and medium enterprise board.In bull and bear markets,margin trading mechanism has different effects on different market segments,but the difference is not significant;The effect of margin trading mechanism on the volatility of the stock price in different industries is not balanced and has no obvious regularity;The smaller the total market value of the underlying stock,the more obvious the effect of the margin trading mechanism on the suppression or improvement of the volatility of the volatility of the underlying stock price in different market cycles.According to the current development situation and empirical results of margin trading system in China,some reasonable suggestions are put forward in this paper.Firstly,a dynamic risk supervision system is built up and margin trading supervision policy is used flexibly.Secondly,to strengthen investor education and improve the structure of investors is essential.Thirdly,speeding up the development speed of margin mechanism and making full use of bond short selling mechanisum..Fourthly,reducing transaction cost of margin trading in order to improve the enthusiasm of market players. |
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