| Under the triple impact of the COVID-19,the Russian Ukrainian war and the Federal Reserve’s interest rate hike,the global stock market has experienced severe shocks.In this context,how to reduce volatility and maintain long-term stability in China’s A-share market remains to be studied.The theorists generally believe that there is a direct relationship between the serious volatility of the securities market and the margin trading mechanism,so it is of great significance to explore the relationship between the margin trading mechanism and the volatility of China’s A-share market for the steady growth of China’s A-share market.This article studies the impact of financing and securities lending mechanisms on stock market volatility in China from the perspectives of financing relaxation and securities lending relaxation.Compared to the trading volume of margin trading,relaxing constraints can better identify the role of margin trading mechanisms,as it can have an impact on stock prices through trading channels,information channels,and corporate governance channels.This article adopts a double difference model and uses the formal implementation of margin trading as a quasinatural experiment to identify the impact of financing relaxation on stock market volatility,as well as the impact of margin trading relaxation on stock market volatility using the expansion of margin trading.The research results show that:(1)overall,the interaction coefficients of the two DIDs are both negative,indicating that both financing relaxation and securities lending relaxation reduce the volatility of stock prices.The financing and securities lending mechanism can play a stabilizing role in the stock market;(2)The absolute value of the DID coefficient for financing relaxation is greater than that for securities lending relaxation,indicating that the net effect brought by financing relaxation is greater than that brought by securities lending relaxation;(3)Based on the results of cross-sectional tests and empirical tests across different industries,the DID coefficients vary,indicating that the effects of margin trading and securities lending mechanisms vary across different industries.Based on the above conclusions,this thesis puts forward the following policy recommendations: investors should learn the relevant knowledge of margin trading,cultivate their own short selling concept and in-depth study of different industries to improve risk awareness;The regulatory level should carry out supervision by industry,strengthen investor education,increase the types of securities,accelerate the pace of refinancing and appropriately reduce the threshold of margin trading,and make reasonable use of margin trading constraints. |
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