| Since the trial of margin trading and short selling business in 2010,China ’ s margin trading and short selling system has developed considerably,and domestic scholars have made more and more studies on the impact of margin trading and short selling on the stock market,however,most of the scholars are from the macro perspective of the study,in the micro-level related research is relatively small.So this paper choose from a micro perspective,select the industry to study the impact of margin trading on the stock market.At present,the country is vigorously developing the new energy industry,the new energy industry momentum of development is amazing.The new energy industry stock has been favored and concerned by the majority of investors,the analysis of the strong development of the industry stock for the majority of investors of great value and significance,which also makes this paper more practical significance.For a stock market,the more important indicators are liquidity,volatility and pricing efficiency.At present,scholars agree that the implementation of margin trading system has improved the pricing efficiency of China’s stock market,but there is no unified conclusion about the impact of margin trading on the liquidity and volatility of the stock market.Therefore,this paper does not consider the impact of research on pricing efficiency,focusing on margin financing on the impact of stock market liquidity and volatility.This paper first reviews the literature on the impact of margin lending on the liquidity and volatility of the stock market,and then introduces the margin lending system and the current situation of new energy industry,then it analyzes the factors that affect the volatility and liquidity of the new energy stock market,and specifically proposes how to measure the index of liquidity and volatility,at the theoretical level,the paper analyzes the impact of margin trading on the new energy industry stock market.In the empirical analysis,this paper uses Var regression,statistical analysis and other methods to measure margin financing and new energy industry stock index volatility and liquidity.From the theoretical and empirical results,we draw the following conclusions:(1)margin lending is the Granger cause of the volatility of the stock index of the new energy industry,and the volatility of the stock index of the new energy industry is also the Granger cause of margin lending,there is a mutual influence effect between the two sides.However,margin trading will not immediately highlight the impact on the volatility of the new energy sector stock index,but over time slowly absorbed by the market,thus reducing the volatility of the new energy sector stock index.Margin trading and short selling play a role in stabilizing the market and reducing market volatility.(2)margin lending has a one-way cality to the liquidity of the stock index of the new energy industry,margin lending is the Granger cause of the liquidity of the stock index of the new energy industry in China,the liquidity of New Energy Industry Stock Index is not the Granger cause of margin financing and short selling.Because the new energy industry stocks are hot,in recent years the company’s performance has been rising,when the stock price adjustment,naturally someone will be optimistic about the follow-up,add warehouse financing to buy.When the short-term rise in the stock price is too large,it is natural that someone will sell short,adjust to a reasonable valuation to buy back the securities.Whether it is sold after financing,securities after buying will increase demand and supply in the market,which will to some extent improve the liquidity of the new energy industry index. |
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