Abstract
Since China’s margin lending and short selling system was formally implemented in 2010, scholars have conducted many researches and discussions on whether it has played an expected role in the securities market. This paper studies the impact of margin trading on the liquidity of China’s A-share market under the background of the leaping development of margin trading in China’s stock market. A conceptual model is established through theoretical analysis. The mechanism of the effect of margin trading on stock market liquidity through the volatility channel is proposed, and the research hypothesis is established accordingly. On the basis of data collection and variable setting, the VAR model and Granger causality test are used to conduct an empirical test on the actual effect of margin trading on stock market liquidity. The test results show that margin trading can enhance the liquidity of the stock market through the volatility channel.
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Shen, Y. (2021). Impact of Margin Trading on the Liquidity of China’s Stock Market: Based on VAR Model. In: Abawajy, J., Xu, Z., Atiquzzaman, M., Zhang, X. (eds) 2021 International Conference on Applications and Techniques in Cyber Intelligence. ATCI 2021. Advances in Intelligent Systems and Computing, vol 1398. Springer, Cham. https://doi.org/10.1007/978-3-030-79200-8_27
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DOI: https://doi.org/10.1007/978-3-030-79200-8_27
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