The Impact Of Margin Trading On Stock Price Volatility

China's stock market formally implemented the margin trading system on March31,2010 in order to meet the needs of the development,since it ended the machine unilateral-makes-long market mechanism.It aroused widespread concern in the whole society,especially the regulators,investors and scholars attached great importance to the innovation system.China's margin trading business scale was small before June 2014,and the stock market over the same period had been in a depressed state,then the margin balance began to show explosive growth.China's stock market had a good,with thousands of stocks beginning to rise,but the stock market volatility in good times didn't last long.Three crash brought thousands of the stock limit situation in 2015,during the same period financing margin balance also appeared big changes according to the relevant data.The specific performance of the stock market volatility is the volatility of stock prices.This paper takes it as the breakthrough point to carry on the empirical test.Firstly,this paper introduces the related theory of margin stock price volatility,then points out that the development of China's current status of margin trading,including the operation of China's margin trading mode?the development process and the current market.Then from the theoretical point of view,this paper expounds the mechanism of financing and margin trading on stock price volatility.Finally,the empirical analysis,based on the real estate industry was first included in the margin of the underlying stock and never eliminated stock for the treatment group,and then served as the control group in the beginning is not included in the select the structure size and time to market margin trading the underlying stock are similar to the selected stock company,with the sample stock the rate of return standard deviation as the volatility index(VOL),to establish the DID model of monthly data before and after the implementation of 7 years using the margin,and then to estimate the model.At the same time,the household appliance industry,which is not related to the real estate industry,is selected as the control group.The empirical results of the real estateindustry and the household appliance industry are consistent: the impact of margin trading on the stock price volatility is not obvious,because the function of margin financing to stabilize the stock price volatility has not yet played.Finally,according to the theoretical analysis and empirical research conclusions,the paper find out the specific reasons,and put forward the relevant suggestions to play a stable margin.