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Influence of Chinese Securities Margin Trading Mechanism to Stock Market Volatility

Advances in Asian Social Science

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Title Influence of Chinese Securities Margin Trading Mechanism to Stock Market Volatility
 
Creator Xiao, Xinyuan
 
Subject —
 
Description On Mar 31, 2010, Chinese stock markets of Shanghai and Shenzhen officially accepted the securities margin trading declaration of securities traders, thus 4-year preparatory securities margin trading officially entered market operation stage. Since then China changed unilateral trading mechanism used for many years, while permitting bilateral trade. The establishment of such trading mechanism can effectively reduce the probability of sharp rise and fall existed in unilateral speculative market trend, which can maintain the stability of market. So far, securities margin trading had been launched for more than 2 years, can it remarkably ameliorate the situation of high speculation and sharp rise and fall in Chinese stock market as expected by us? Basing on the single day financing amount and turnover rate data of Chinese stock markets of Shanghai and Shenzhen from Mar 31 2010, to Dec 30, 2011, this paper carried out empirical analysis on the relations between the two by applying econometric methods including Granger causality analysis and VAR model. Analysis results show that the launch of securities margin trading has no significant influence to stock market volatility, while the change of volatility has big influence to financing amount.
 
Publisher World Science Publisher
 
Contributor —
 
Date 2012-09-18
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
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Format application/x-download
 
Identifier http://worldsciencepublisher.org/journals/index.php/AASS/article/view/713
 
Source Advances in Asian Social Science; Vol 3, No 1 (2012); 594-599
2167-6429
 
Language eng
 
Relation http://worldsciencepublisher.org/journals/index.php/AASS/article/view/713/596
 
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