| In recent years,China's financial market has been developing continuously.One of the key links is the margin trading system officially launched on March 31,2010,which marks the end of "unilateral" trading mechanism in China's financial market.The development of the financial market has entered a new stage.The rapid development of margin trading has made its impact on the stock price fluctuation more and more prominent.Researching the relationship between them has become a hot spot,but the results of many scholars have not reached a consensus.Some scholars believe the positive feedback between them,some scholars argue the negative feedback between them,and some scholars believe that there is no relationship between them.At the same time,behavioral finance believes that the investment behavior of investors will be affected by various psychological factors,which leads to irrational investment behavior.Moreover,the investors in China's financial market are mainly individual investors,who are more prone to produce irrational investment behavior.Therefore,researching the relationship between them based on investor sentiment has theoretical and practical significance for the stable development of China's financial market.From the perspective of behavioral finance,combined with investor sentiment,this paper studies the process and mechanism of the influence of margin trading on stock price fluctuation.Firstly,through theoretical analysis,this paper makes a hypothesis on the relationship between margin trading and stock price fluctuation,and thinks that there is a positive correlation between them.Secondly,based on the research of other scholars and the current situation of China's financial market development,the measurement index of each variable is selected,and the comprehensive index of investor sentiment is constructed by principal component analysis.Finally,a mediation effect model is established,and the sample interval is selected from January 2012 to October 2019 to study the relationship between them.The main innovation of this paper is that the research on the relationship between them is carried out by establishing a model,and the mediation effect model is used to study the process and mechanism of the impact of margin trading and stock price fluctuation,instead of just studying the directional relationship between them.The research results in this paper show that the effect of margin trading change on stock price fluctuation is a positive feedback effect,which is that the margin trading change will magnify the stock price fluctuation,and the effect of investor sentiment on stock price fluctuation is also in the same direction.At the same time,it is found that the effect of margin trading change on stock price fluctuation mainly have two aspects.One aspect is that the margin trading change will directly lead to stock price fluctuation,which is a direct effect.The other aspect is that margin trading change firstly has an impact on investor sentiment,and then investor sentiment indirectly affects stock price fluctuation,which is margin trading change--investor sentiment--stock price fluctuation.It is the intermediary effect corresponding to investor sentiment,which accounts for 35.79% of the total effect.Therefore,the mechanism of the effect of margin trading change on stock price fluctuation is margin trading change--investor sentiment--stock price fluctuation.Based on the results of empirical research and the current situation of China's financial market development,this paper puts forward policy suggestions on improving the scale of short selling,optimizing the structure of investors,guiding rational investment behavior,and establishing and perfecting market supervision system. |
PDF Full Text Request