融资融券交易对市场波动性和流动性影响的实证分析-empirical analysis of the influence of margin trading on market volatility and liquidity.docxVIP

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融资融券交易对市场波动性和流动性影响的实证分析-empirical analysis of the influence of margin trading on market volatility and liquidity.docx

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融资融券交易对市场波动性和流动性影响的实证分析-empirical analysis of the influence of margin trading on market volatility and liquidity

AbstractTheAsharemarketwasatdownconcussionsituationandcontinuedtodeclineafterashorttermincreasesin2011,whilethedealsizeofmargintradingcontinuedtogrow.FromMar2010,thebeginningofthetrialworkofmargintradingtransactionforsecuritiescompaniesinChinastockmarket,toAug2011,themargintradingvolumehasamountedto33billion,however,whichisstillsmallerinscaleincontrasttothecirculationmarketvalueof90underlyingsecurities,thatis9.5trillion.Margintradingisanimportantmeasureofstockmarket,anditisnecessarytostudytheimpactofmargintradingonstockmarket,whichhasbeenahotissueanddebateinthetheoreticandpracticalfield.Thispaperdiscussestheimpactofmargintradingonthestockmarket,mainlyfromtheviewofbothmarketandspecificstocks’liquidityandfluctuation.Theresearchhasimportantacademicvalueandpracticalsignificance,especiallyatthecrucialmomentthatmargintradingwillturntoroutineandrefinancingmechanismswillcometrue.Fromtheimplementationofmargintradinguntilnow,thevolumeofshortsellinginthetotalmargintradingwasintheproportionofrelativelylow,whiletheshortbuyingstabilizedatahighershareofbetween94%and100%.Sothispaperstillfocusedontheimpacteffectofshortbuying,whichcanbebetterexplaintheeffectfromtheanglesofmarketliquidityandfluctuation,anduseeventstudyontheparametricornonparametrictestsofindividualstockinclusionandexclusionofnewmargintradingrage.Thispaperfirstlyoutlinedarticlesrelatedtoeffectsofmargintradingonsecuritiesmarkets,andanalyzedtheinfluencemechanismsofmargintradingonthemarkets.However,therewerenottoomanyresearchesintheviewofChina’stockmarket.AndthenitselectedtheChinasstockmarketfromMar2010–Aug2011,347tradingsessionsasanexample.Thispapermadeempiricalanalysisfromtheanglesofbothstockmarketandspecificstocks,inordertoanalyzetheeffectofmargintradingandtoprovewhethermargintradingcouldstabilizethestockmarketandboosttheliquidity.Whatthisarticlehasachievedandmaincontributionsareasfollowing:Margintradingmechanismhasalong-termcointegrationrelationshipwiththemarketvolatility,butnotwiththemarketliquidity.Margintradingands