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The Analysis of Stock Market Volatility and Liquidity Affect about Margin Trading in China

Author: LiZuo
Tutor: XiaoDuan
School: Jinan University
Course: Finance
Keywords: Margin Trading Volatility Liquidity Empirical Analysis
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Type: Master's thesis
Year: 2013
Downloads: 5
Quote: 0
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Abstract


The margin purchase and short selling act on China’s security market is beingwidely discussed by the academia. The paper, which bases on the data of Shanghaiand Shenzhen security markets, starts to research how margin trading influences onstock market.The two important indicators of stock market are liquidity and volatility. In thispaper I study how the margin purchase and short selling act on the volatility andliquidity of the market respectively. When I began my research, first I reviewed thetheoretical research home and abroad. Then I introduced the short sale mechanism andreviewed the history of its development. In the section empirical test, I use theestablishment of the vector auto regression (VAR) model to explicate the influencemechanism between margin trading and the liquidity of the stock market and thevolatility of the stock market. And the paper analyzes the conclusion by the Grangercausality test method and the impulse response effect. The conclusions are as follow:(1) Margin trading is the granger cause of Shanghai stock market volatility, andit could lower the market volatility in certain extent. But the Shanghai stock marketvolatility is not the granger cause of margin trading. The influence of margin tradingon the volatility of the Shanghai stock market is consistent with the paper’sassumptions.(2)Margin trading is not the granger cause of Shanghai stock market liquidity,and Shanghai stock market liquidity is also not the granger cause of margin trading.

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