Volume 12, Number 1, June 2022
| The Impact of Margin Trading Balance on the Volatility of Shanghai Composite Index |
Tseng Chan Tseng 1, Chih Huang 2*
Abstract
This paper uses the return rate of the Shanghai Composite Index as the subject of study and incorporates three variables: financing balance, securities lending balance and margin trading balance, into a GARCH model to explore the impact of the introduction of margin trading on the volatility of the Shanghai Stock Exchange. The empirical results show that the financing transaction and securities lending transaction have a moderating effect on the volatility of the Shanghai stock market, with the buffering effect of financing being greater and the buffering effect of securities lending being relatively less due to restrictions. In short, the margin trading business has a certain suppression effect on the volatility of the Shanghai A-share market of China.
Keywords: Financing Balance, Securities Lending Balance, Stock Market Volatility, GARCH Model
1 Zhaoqing University, Zhaoqing, China.
2* Shaoguan University, Shaoguan, China. ( E-mail: 2753426367@qq.com)