Margin trading system as stock market stabiliser: evidence based on CSI 300 index

被引：1

作者：

Li, Zhuwei ^{[1
]}

He, Rong ^{[1
]}

Wang, Baolu ^{[1
]}

Li, Yushan ^{[1
]}

Gu, Yu ^{[1
]}

机构：

[1] Dalian Univ Technol, Sch Econ & Management, Ling Gong Rd No 2, Dalian 116024, Peoples R China

来源：

SPANISH JOURNAL OF FINANCE AND ACCOUNTING-REVISTA ESPANOLA DE FINANCIACION Y CONTABILIDAD | 2022年 / 51卷 / 03期

基金：

中国国家自然科学基金;

关键词：

Margin trading system; market stabiliser; volatility of stock market; garch model; var model; SHORT-SALES CONSTRAINTS; VOLATILITY; REQUIREMENTS; OPINION; BEAR;

D O I：

10.1080/02102412.2021.1975210

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The daily transaction data of Shanghai and Shenzhen 300 Index are taken as sample data. The GARCH model is used to examine the effect of the margin trading system on the stock market volatility of China. The VAR model is used to further test the separate effects of margin purchase system and short sale system upon the role of stock market stabiliser. Results show that margin trading system can restrain stock market volatility and stabilise the market, but the effect of restraining the stock market volatility is limited and has stage characteristics. In particular, the margin purchase system has a greater short-term restraining effect on stock market volatility than the short sale system, whereas the short sale system can stabilise the market more permanently than the margin purchase system. Through international comparisons, we suggest that the margin trading system should be improved to enhance its role as a stock market stabiliser in China.

引用

页码：371 / 388

页数：18

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