The Impact Of Margin Financing And Securities Lending On China's A-share Risk Fluctuations In The Context Of The Deleveraging System

On March 31,2010,China's margin trading business officially launched,and the bilateral mechanism of individual stock trading started.With the characteristics of margin trading business,it has developed rapidly in recent years.On the first day of listing,the balance of margin trading and margin trading was 0.06 billion yuan,and on December 31,2018,the balance of margin trading and margin trading was 75.5704 billion yuan,which means that China's securities market has developed to a new level.Areas.Whether margin trading as a credit business has an impact on the volatility of the stock market,some people think it will not have an impact,others think it will aggravate the volatility of the stock market.After the implementation of the leverage reduction policy,there are few studies on the impact of margin trading on stock market risk volatility.It is of theoretical and practical significance for China's securities market to explore whether margin trading has an impact on the volatility of A shares.This paper is divided into two parts: theoretical and empirical.First of all,the theoretical part analyzes the background significance of margin trading,its development at home and abroad,and how margin trading affects the transmission mechanism of stock market volatility.Then,on the basis of theoretical analysis,this paper makes further empirical analysis,and makes comparative analysis from the pre and post deleveraging stages of the securities market.Through the establishment of GARCH model to fit the corresponding market index,it is used to fit the market risk volatility,and uses Va R to measure the market risk,RZ and RQ to make impulse response and variance score Analysis and Granger causality test.At last,the paper gets the research findings with theoretical and practical policy significance.The main conclusions are as follows: 1.Through the threshold regression analysis,the paper concludes that A-share leverage ratio has threshold effect on margin trading.2.Before and after the implementation of the leverage reduction policy,the insured value of Shanghai stock index is different.3.The impulse response analysis shows that theimpact of financing balance on the stock market is greater than that of securities lending balance,which is weakening with the passage of time.4.Before using variance decomposition to get out leverage,the development of securities lending business has a greater impact on stock market risk volatility.After deleveraging,the impact of financing business on stock market risk volatility is greater than securities lending business.5.Using Granger causality test,it is found that the impact of stock lending on stock market risk volatility after deleveraging is reduced.Finally,it shows that after deleveraging the two financing businesses,the overall risk level of the market decreases,the impact of securities lending business on the risk volatility of the stock market decreases,while the impact of financing business on the risk volatility of the stock market increases.The influence of the two financing businesses on market volatility decreases over time.The innovation of this paper is to compare and analyze the data of the past six years against the background of the implementation of the de-leverage policy,to judge whether the two-finance business has an impact on the fluctuation of the stock market when the regulatory policy is tightened,and the data period contains a bull-bear market.The research conclusion is more in line with the national conditions of our country.In the research method,threshold regression is used to judge the threshold value of leverage reduction.From the point of view of market risk,Va R index is used to quantify the risk level of each trading day,indicating the probability of potential losses in a certain period of time,so as to obtain the volatility of the stock market.This paper further analyses Va R,RZ and RQ of margin balance,uses impulse response to analyze the impact of financing,margin trading and Va R on the other two changes,then uses variance decomposition to analyze the degree of variance caused by the other two,and finally uses Granger causality test to judge the third.The reasons for the change of each other are the variables.Through the above three methods,the impact of financing business and securities trading business on the Shanghai Stock Exchange Index is analyzed,which makes the conclusion more robust.