Analysis Of The Impact Of Margin Trading On Stock Market Volatility

The securities market is known as the barometer of the market economy and occupies an important position in the national economy.The liberalization of the margin financing and securities lending business has made securities trading bid farewell to the "unilateral market"situation,and it has exerted an important influence on market conditions,investor buying and selling,and financial data.At the same time,stock prices in the securities market fluctuated violently.Is there a correlation between the sharp fluctuations of stock prices in the securities market and margin trading?If there is a correlation,does the liberalization of margin trading and securities lending increase the volatility of the securities market or suppress the volatility of the stock market?This thesis quantitatively analyzes the relationship between margin trading and stock price volatility.The data collected in the argumentation of this thesis comes from the market open data of the margin financing and securities lending business from March 31,2010 to December 31,2019.The study uses the vector autoregressive model to demonstrate the impact of margin financing and securities lending on the volatility of the Shanghai Composite Index,the Shenzhen Component Index and the CSI 300 Index.From the industry level,the panel data model is used to study the impact of margin financing and securities lending business on the volatility of different industry indices.At the market level,the balance of margin financing and securities lending and stock market volatility have a two-way causal relationship with each other.Due to the unbalanced development of the margin financing and securities lending business,the impact of the securities lending business on the volatility of the securities market is far lower than that of the financing business.Stock volatility is mainly affected by its own factors,especially the historical volatility of stocks.Therefore,whether financing or securities lending business has a very limited impact on changes in the volatility of the securities market.At the industry level,research has found that margin financing and securities lending business in different industries has different degrees of impact on the fluctuations of various industry indices.Because in different industries,the underlying securities of margin financing and securities lending account for different proportions of securities in the entire industry,so the impact on the industry index is also different.But overall,regardless of positive or negative impact,the impact of margin financing and securities lending business is very limited.In order to make the margin financing and securities lending business develop healthily and steadily,I propose the following suggestions:First,the scale of financing business and securities lending business is extremely unbalanced,and it is recommended to develop refinancing business,expand the source of securities companies,and gradually improve the market transaction mechanism of margin financing and securities lending business;Second,strengthen the information disclosure of regulatory authorities,improve the effect of market information dissemination,reduce the asymmetry of market information,and provide investors with a healthy and healthy market investment environment;Third,strengthen investor risk education and advocate rational investment by investors.Attention should be paid to preventing wrong trading behaviors such as blindly following the trend,chasing up or selling down,responding to market changes with a calm mind and a good attitude,and making investment decisions rationally;Fourth,expand the scope of the underlying securities of margin financing and securities lending.At present,the trading mechanism of the margin financing and securities lending business is not comprehensive in terms of the variety and quantity of the underlying securities.Most of the underlying securities are large-cap blue-chip stocks.Due consideration may be given to subdividing leading companies with outstanding performance.Include target securities,expand the scope of target securities,increase the number of target securities,and increase the activity of margin financing and securities lending.