An empirical study on the margin trading's impacts on the volatility of China A-share stock market

摘要

The margin trading has entered the pilot run phase since the March 31st, 2010 in China. Selecting the weighted stock as our sample, empirical select the SSE 50 Index as the research object, set suitable time dummy variables, test the impacts of the margin trading to the volatility of the A share stock market in the ups and downs of the stock market via EGARCH and VAR model. The empirical results shows that margin trading in the short term have played a role in helping up to down, the margin trading will increase the volatility of the stock market, especially in the period of ups, short selling can tame the stock market volatility. Overall, the margin trading helps to stabilize the market. Based on the conclusions I put forward several corresponding suggestions.