How Does Margin Trading And Short Selling Affect Individual Stock Volatility

Margin trading and short selling,as a basic credit trading system in the world,was introduced into China in 2010.The original intention of introducing margin financing by CSRC is to make it play the role of "stock price stabilizer".But in recent years,scholars at home and abroad have not been able to get a consistent result in the research on margin and stock price fluctuation.This paper thinks that insider trading has an impact on the stability of stock price.Through the analysis of the relationship between insider trading,margin trading and stock price fluctuation,it is found that the degree of insider trading affects the effect of "stock price stabilizer" of margin financing Factors,after controlling the influence of insider trading,margin can play a role in stabilizing stock price fluctuation.This paper takes the event research method,takes quarterly report release as an event to investigate,analyzes the issuance of more than 11000 quarterly reports in 10 years before and after the introduction of margin system,to determine whether insider trading can affect the role of "stock price stabilizer" of margin trading.This paper adopts multi-index cross validation and case verification to ensure the effectiveness and robustness of excess turnover rate as agent variable of insider trading degree.Meanwhile,the volatility of stock price is divided into up volatility and downward volatility,so as to further explore whether margin system,financing balance and margin balance have stable effect on upward and downward fluctuation of stock price,and whether the effect is affected by insider trading.Finally,this paper distinguishes bull market and bear market,state-owned enterprises and private enterprises to explore the heterogeneity effect of margin trading on stock price volatility.The results show that:1.After controlling insider trading,margin trading can stabilize the overall fluctuation and downward fluctuation;2.Insider trading can enlarge the overall fluctuation,upward fluctuation and downward fluctuation;3.Insider trading will weaken the use of margin trading to stabilize the stock price fluctuation;4.For the sample of margin financing,the increase of financing and margin trading can play a role in stabilizing the stock price;5.In bear market,margin trading is more effective than bull market;6.Insider trading can weaken the effect of margin trading in state-owned enterprises to stabilize stock prices.