An Empirical Study On The Impact Of Securities Margin Trading On The Volatility Of The Special Nature Of The Stock Price

Traditional financial theory holds that only systemic risk can be priced,and non-systemic risk,i.e.corporate idiosyncratic risk,can be eliminated by decentralized investment,so it should not be priced.However,in the real market,the existence of information asymmetry and "noise trading" leads to investors can not fully diversify their investment,so non-systematic risk should also be priced.Therefore,many scholars have paid attention to the volatility of the company’s characteristics.On March 31,2010,margin trading was formally implemented in China’s securities market.After several years of orderly expansion,the number of underlying stocks and the scale of margin trading continue to increase.The development of margin trading has transformed China’s stock market from a unilateral market to a bilateral market.However,since the implementation of margin trading,the scale of margin trading and margin trading in China’s securities market continues to be unbalanced.Some scholars believe that the trading system can transmit more information about company characteristics and play a role in stabilizing the market.However,with the sharp fall of the stock market in 2015,the role of margin trading system has been questioned,believing that to some extent,it contributes to the rise and fall.At present,there is no unified understanding of the impact of margin trading on trait volatility.Under the background of the expansion of margin trading system in batches in China,this paper studies the volatility characteristics of the following stocks after the margin trading business is carried out to analyze the relationship between margin trading and volatility characteristics.In this paper,five times of expansion of the target stock as the experimental group,using the propensity score matching method has never been eligible for margin trading stocks to screen out the appropriate control group samples.By combining Fama-French threefactor model with GARCH family model,we measure the company’s idiosyncratic volatility.This paper establishes a double difference model to analyze the impact of margin trading on stock price volatility.Since the second half of 2014,China’s securities market has experienced strong volatility.In order to analyze the relationship between the gradual development of margin trading and corporate volatility in different market conditions,we divide the sample stock into two sub-samples according to the time point of sharp fluctuations in the stock market.In order to verify the endogenous problems that may arise in this paper,we construct a virtual experiment on margin trading,which only changes the time window when the processing group and the control group remain unchanged.The whole sample interval of the experiment falls before the real start time of margin trading,and then the estimation results of the double difference model in this time interval are observed.Through empirical research,the following conclusions are drawn.Firstly,the implementation of margin trading has indeed reduced the volatility of traits to a certain extent.By analyzing the regression coefficients of controlling variables,we can find that there are different degrees of positive correlation between stock price amplitude,trading amount and company size and volatility of stock price characteristics,while there are negative correlation between stock return,circulation market value and trading volume and volatility of stock price characteristics.Secondly,the research shows that no matter what state the stock market is in,margin trading significantly reduces the volatility of stock price characteristics of the experimental group.Margin trading has a slightly smaller stabilizing effect on the volatility of stock characteristics than in the stable period when the stock market is in violent turbulence.Thirdly,by constructing a virtual experiment of margin trading,the effect of endogeneity on the processing effect in this study is verified.The research shows that the remarkable decline of stock price volatility in the stock market is indeed caused by the development of margin trading business.