Abstract
In this paper, the Shanghai Stock Index is the research object, and an empirical analysis of the relationship between margin trading and stock market volatility is conducted. According to the trading status of the stock market, it is divided into a rising period, a falling period and a normal volatility period. In different stages, a VAR model is established, and then Granger causality test and impulse response analysis are conducted to study the volatility of the two financial services on the Shanghai Stock Index Impact.
From empirical analysis, it can be concluded that the margin trading business at different stages has different impacts on the volatility of the Shanghai Stock Index. During the rising period, the financing business transaction will aggravate the volatility of the stock market, while the margin trading business will slightly reduce the volatility of the stock market. During the down period, both the financing business and the margin trading business will increase the volatility of the stock market, which is caused by the irrational trading status of investors when the stock market falls. As for the normal volatility period, rational investors can capture the signals released by the margin trading business in the stock market, and adjust the structure of the stock market through the rational use of margin trading business to restore their actual value fluctuation So as to suppress the market volatility.
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Kang, W. (2021). An Empirical Study of the Impact of Margin Financing on the Volatility of the Shanghai Stock Index. In: Xu, Z., Parizi, R.M., Loyola-González, O., Zhang, X. (eds) Cyber Security Intelligence and Analytics. CSIA 2021. Advances in Intelligent Systems and Computing, vol 1343. Springer, Cham. https://doi.org/10.1007/978-3-030-69999-4_48
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DOI: https://doi.org/10.1007/978-3-030-69999-4_48
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