Research On The Influence Of Short Selling On Stock Market Volatility

The emergence of margin trading marks the further deepening of the reform of China’s A-share market.The introduction of this system has not only broken the situation that the A-share market can’t be sold short,but also helps China’s A-share market to develop more stably.More companies are now choosing dual mainland-Hong Kong listings,which has led to further opening of the Chinese mainland market and closer links with the Hong Kong stock market.The difference between A shares and H shares of A+Hshare cross listed companies has also attracted widespread attention.At present,the scale of margin trading in China has been quite huge,but its development is not balanced,and the balance of margin trading is far lower than its financing balance.Since the development of securities financing in the domestic market cannot match the developed capital market,this paper empirically analyzes how this trading mechanism affects the volatility of the stock market from the perspective of short selling of securities.This helps us to analyze the differences between the A-share and Hong Kong stock markets,so that we can better promote the development of the A-share market.This paper first explores the impact of securities lending and short selling trading mechanism on stock market volatility from the theoretical level,and finds that investors’ differences and market differences are the main factors affecting stock market volatility.Secondly,combined with the current development status of margin trading and A+H shares in China,this paper studies the fluctuation of the securities market by using the method of empirical analysis.Referring to the practice of existing literature,this paper establishes a multi-stage did,and gradually introduces relevant control variables to empirically explore the impact and degree of securities lending and short selling mechanism on stock market volatility.This paper uses stock price volatility and stock price difference to measure stock market volatility.Through empirical research,the results of single-stage did regression and multi-stage did regression and dynamic test show that short selling of securities lending can significantly reduce the volatility of A+H shares and the price difference of A+H shares.In response to the findings of the study,this paper makes several policy recommendations:(1)Improve the trading mechanism and strengthen market supervision;(2)Reasonably expand the subject stocks that can be short sold in the A-share market,and standardize the development of short selling transactions;(3)Pay attention to the publicity of the professional knowledge of individual investors in the market and educate investors to invest rationally.