The Study Of Margin Trading’s Influence On Volatility Of Shanghai And Shenzhen 300 Index

In the past 30 years,with the rapid development of China’s economy,China’s securities market has also developed swiftly.The securities system has been incessantly reformed and enhanced,and remarkable achievements have been achieved.However,under the requirements of the development of the new era,China’s capital market still has many limitations in the process of transition to the market economy,and it still needs constant reforms to find suitable measures and gradually improves the supporting facilities.Margin Trading Mechanism is actually a search for self-improvement.The implementation of the security margin trading mechanism marks the ending of the “unilateral market” in the Chinese securities market and the beginning of“bilateral market”.And it provides a self-recover mechanism for the stable and healthy development of the securities market.At the same time it creates a favorable environment for capital financing for the economic development in the new era.However,since the implementation of the margin trading mechanism,both theoretical and practical parties have not yet formed a unified understanding of the impact of margin trading on the stability of the securities market.The study of this topic has also drawn researchers’ attention.As for the empirical research of macroscopical index level,the paper studies from four aspects which are the volatility comparison analysis,the abnormal fluctuation trend analysis,the autoregressive moving average model and the vector autoregression model.Firstly,the thesis contrasts the trend of the volatility before and after margin transaction,before and after margin trading’s maturation and the whole volatility’s trend.Based on this research,conclusion can be made that the volatility continueously declines with the implementation of the margin trading.Secondly,through the three indicators of mean value,frequency and probability of abnormal fluctuation,we study the abnormal fluctuation of the Shanghai and Shenzhen 300 index.The conclusion is that the trend of abnormal fluctuation is decreasing.Thirdly,a ARMA model is built to study the volatility of Shanghai-Shenzhen 300 index.The retression lag order in this model is two and the lag order of disturbance team is three.This model explains the Shanghai-Shenzhen 300 index through the study of lag team and disturbance team and predicts volatility.Finally,a VAR about the relationship between volatility and balance of financing and securities lending is built,which shows that the balance of financing and securities lending has great effect on Shanghai-Shenzhen 300 index fluctuation.The positive and negative values of the correlation coefficient also show the different effect of the balance of financing and securities lending on the volatility of the Shanghai and Shenzhen 300 index.The impact of the financial balance on the volatility of the Shanghai and Shenzhen 300 index is negative,and the volatility of the Shanghai and Shenzhen 300 index is increased.The securities lending has a positive effect on the volatility of the Shanghai and Shenzhen 300 index,which reduces the volatility of the Shanghai and Shenzhen 300 index.On the empirical research on the level of the micro stock market,the paper chooses the empirical study of the underlying securities’ volatility of the Shanghai and Shenzhen300 index.The research chooses risk evaluation and propensity score match as its study approaches.The thesis makes the design plan in three parts.First of all,it classifies the underlying stock following a standard that the stock exchange adopts to classify the secondary industry of Shanghai-Shenzhen 300 index.Then,the industries with higher homogeneity are screened out.Thirdly,the treatment and control groups are finally determined according to the data volume and growth trend.According to the control group,we set up the counter-factual path.We get the volatility of each bid stock with or without margin trading in the experimental group,and find out the impact of margin trading on volatility by comparing the two kinds of volatility.It can be found that the margin trading mechanism reduces the volatility of the stock and strengthens the stability of the stock.