The Impact Of Margin Trading On Volatility And Liquidity Of The Bank Stocks

Introduction of the margin trading has solved the situation of the stock market boom and bust caused by speculation prevails in the single lateral market,to reduce the volatility of the market and maintain the market stability.In 8 years,the scale of Chinese margin trading has been rapid development,which has a more influential impact on the volatility and liquidity of the stock market.In June 2015,under the policy of deleveraging to regulate the margin trading.A correction of Chinese stock market caused the financing liquidation.Due to the leverage effect of margin trading enlarge the finance risk,Chinese stock market continued to fall,as well as the sharp volatility.So,it is worthy to analyze and discuss the impact of the margin trading to underlying stocks volatility and liquidity.This paper studies from both theoretical and empirical respectively.In the theoretical part,introduced detail of the influence mechanism of the margin trading to underlying stocks volatility and liquidity.In the empirical part,considering that the bank stocks are the heavyweight stocks of the market,the momentum of its share price impact on the stock market,so select the 16 bank stocks from the stock markets of Shanghai and Shenzhen as the study subject,including the 1142 trading data from 5 December,2011 to 15 August.Using the data of stable series,building VAR model in order to analyze the impact of margin trading on volatility and liquidity of the Bank Stock.The results show that the financing deals and securities lending transactions can indeed increase the bank stock's liquidity,financing deals inhibits the volatility in the short term,whereas securities lending transactions exert no significant effect on the volatility.Finally,analyzed the conclusion,combined with the actual conditions of security market of our country,and then put forward the corresponding policy recommendations to improve the system of Chinese securities margin trading.