The Influence Of Margin Trading To The Security Market

The Margin Trading,which is another landmark breakthrough of innovative trading mechanism after the launch of the index futures,is the foundation of multilayer security market.If the introduce of index futures makes system risk hedging possible,the launch of margin trading will makes non-system risk possible.For a long time,because the lack of short mechanism,large price movements always take place,which makes investors suffer great losses.As the development of the security market and the effort made by industry from all walks of life,as well as the improvement for short mechanism,there is a chance for China's security market to get rid of the large price movement,and goes mature.The introduce of margin trading,at same the time of providing brand new trading mechanism to all participants,will starts a brand new hedging finance age.In particular,this paper in the first place introduces the theories about the margin trading and securities market,and gives the theoretical basis.After that,this paper introduces the impact channels of margin trading transaction,and based on this with data from the test run of the margin trading this paper processes empirical analysis,and provides empirical analysis on liquidity and volatility of the securities market.In the end,this paper briefly proposes analysis conclusions.The analysis conclusions of this paper are as the following: 1.The analysis of trading margin transactions impact on securities market liquidity indicates it is not consistent with the theoretical assumptions;the trading margin transactions reduce the liquidity of the market.This paper takes April 2010-December 2011 in China securities market as an example,processes an empirical analysis on the impact on securities market liquidity.Firstly,goes through the root of unity,and then goes through the VAR equation estimation and Granger causal relation test based on vector regression theory to finds out the impact on securities market liquidity.The empirical result indicates,the trading margin transactions reduce the liquidity of the securities market,but the effect is extremely weak.At the same time the Granger causal relation test also shows,there is a unidirectional causality between the trading margin buying amount and the securities market liquidity,which is the trading margin buying amount is the Granger cause of and the securities market liquidity,nevertheless the securities market liquidity is not the Granger Cause of the trading margin buying amount.2.The analysis of trading margin transactions impact on stock market volatility indicates it is consistent with the theoretical assumptions;the trading margin transactions reduce the volatility of the market.This paper takes April 2010-December 2011 in China securities market as an example,processes an empirical analysis on the impact on securities market volatility.First of all,goes through the root of unity,and then goes through the VAR equation estimation and Granger causal relation test based on vector regression theory to finds out the impact on securities market volatility.The empirical result shows,the trading margin transactions reduce the volatility of the securities market,but the effect is extremely weak.Meanwhile the Granger causal relation test also shows,there is a unidirectional causality between the trading margin buying amount and the securities market volatility,which is the trading margin buying amount is the Granger cause of and the securities market volatility,nevertheless the securities market volatility is not the Granger Cause of the trading margin buying amount.It is also reflects the trading margin transactions impact on stock market volatility is a relatively complex procedure,and the final influencing factors are depend on such as the amount of the trading margin transaction,the regulatory measures,overall market sentiment and so on.