An Empirical Study On The Time-Varing Relationship Between Magin Trading,Investor Sentiment And Stock Market Fluctuation

Although our stock market is developing rapidly,there are many retail investors and the herd effect is obvious.Under the herd effect,the irrational behavior of individuals is likely to lead to the irrational behavior of the group and cause market turmoil.In order to stabilize the market,we officially introduced the margin trading business,ending the history that investors could only trade unilaterally in March 2010.However,the comprehensive plunge of A-shares in 2015 has caused relevant scholars to think about the effect of margin trading to stabilize the stock market,and there is still a great controversy whether margin trading has stabilized the stock market or increased the stock market shock.As an on-market leveraged behavior,margin trading largely reflect investor sentiment and expectations,and the irrational behavior of investors is also affected by sentiment.In view of this,this paper carried out empirical and analysis based on the TVP-VAR model in order to provide thoughts or references for the interaction between margin trading,investor sentiment and stock market fluctuation.In order to explore the interactive relationship between margin trading,investor sentiment and stock market fluctuation,firstly,we takes February 9,2015 to December 30,2022 as the time interval,and takes the margin trading volume in Shanghai and Shenzhen stock markets as the securities agency indicators,then select four indicators of Shanghai Stock Exchange 50 Index turnover,turnover rate,price-earnings ratio,and Shanghai Stock Exchange 50 ETF option implied volatility to construct daily investor sentiment index based on PCA method,and use GARCH(1,1)model to fit the stock market fluctuation;secondly,examining the Granger causality between margin trading volume,investor sentiment index and stock market fluctuation,and conduct an empirical analysis of the dynamic time-varying relationship between variables based on the TVP-VAR model.The results show that:Firstly,there is a long-term cointegration relationship between margin trading,investor sentiment,and stock market fluctuation.Investor sentiment and stock market fluctuation are mutually Granger reasons for each other,margin trading and investor sentiment are also Granger reasons for each other mutually.Margin trading is the Granger reason for stock market fluctuation,while stock market fluctuation is not the Granger reason for margin trading.Secondly,the time-varying pulse response plot shows the pairwise interaction between variables.In the short term,margin trading has inconsistent directional and intensity effects on stock market fluctuation at different time periods,and stock market fluctuation does not have a significant impact on margin trading volume;investor sentiment positively affects stock market fluctuations,while stock market fluctuation has a weak negative impact on investor sentiment;the growth of margin trading volume does not have a significant impact on investor sentiment,as investor sentiment has a positive impact on margin trading volume.In the medium to long term,during periods of rising stock prices,margin trading exacerbates stock market fluctuation,while during periods of falling stock prices,margin trading suppresses stock market fluctuation;before November 2020,stock market fluctuation mainly had a positive impact on margin trading,but after November 2020,this impact turned negative;investor sentiment positively affects stock market fluctuations,and stock market fluctuation also positively affects investor sentiment;before September 2021,margin trading intensified investor sentiment,but after September 2021,this impact turned into a negative impact.Investor sentiment has a positive impact on margin trading volume,and the pulse response value has a significant time-varying characteristic.