Author(s)

Peng Wang ¹

Affiliation(s)

¹ School of Economics and Management, Dalian University, No.10, Xuefu Avenue, Economic & Technical Development Zone, Dalian, Liaoning, The People's Republic of China (PRC)

Corresponding Author

Peng Wang

ABSTRACT

Margin financing and securities lending are a kind of leveraged trading, which has great trading risks. The representative stocks in the financial industry of China's stock exchange market are selected for research, and the effect of margin financing and stock lending on the volatility of the stock price of the selected stocks is analyzed, and an in-depth analysis is performed. Use the GARCH model to measure the volatility of selected stocks in the financial industry to form individual stock volatility variables, and then use the formed individual stock volatility variables and the two stock financing balance and margin lending balance variables to establish a VAR model and perform Granger causality analysis, impulse response analysis, and variance decomposition analysis have found that financing balances and margin balances can all increase the volatility of stock prices.

KEYWORDS

Margin Financing; Stock Price Fluctuation; GARCH Model; VAR Model

CITE THIS PAPER

Peng Wang. Research on the Impact of Margin Financing and Margin Trading on the Stock Price Fluctuation of Listed Companies. Social Medicine and Health Management (2020) Vol. 1: 1-3. DOI: http://dx.doi.org/10.23977/socmhm.2020.010101.

REFERENCES

[1] Philipp, W. (2019) Supply chain finance, financial constraints and corporate performance: An explorative network analysis and future research agenda, International Journal of Production Economics, 5, 364-378
[2] Edina, B. (2018) State su218.
[3] Baker, H.K. (2018) Behavioral Corporate Finance: Concepts and Cases for Teaching Behavioral Finance, Quantitative finance, 10, 106-112.
[4] Hidetoshi, N. (2016) Continuous-Time Models in Corporate Finance, Banking, and Insurance, Quantitative finance, 8, 205-218.

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