The impact of margin trading on the liquidity and volatility of the securities market based on the empirical research of the Shanghai security market

Author

Deyong, Yang ; Qiong, Wu

Author_Institution

Sch. of Econ., Beijing Technol. & Bus. Univ., Beijing, China

Volume

1

fYear

2011

fDate

13-15 May 2011

Firstpage

415

Lastpage

419

Abstract

Margin trading in the securities market is an important modern trading system. This paper utilizes the data from Shanghai stock market to study the liquidity and volatility changes of market before and after the introduction of margin trading and the relationship among them. Then I arrived at the conclusion after correlations test, unit root test, cointegration test, and the Granger Causality test that for the Shanghai stock market, the starting of margin trading had a positive impact on market liquidity and volatility, and could improve the market liquidity and stabilize the stock price volatility to a certain extent.

Keywords

commerce; marketing data processing; securities trading; Granger causality test; Shanghai stock market; cointegration test; correlation test; margin trading impact; security market liquidity; security market volatility; stock price volatility; trading system; unit root test; Business; Indexes; Marketing and sales; Security; Stability criteria; Stock markets; Margin Trading; Stock market; liquidity; volatility;

fLanguage

English

Publisher

ieee

Conference_Titel

Business Management and Electronic Information (BMEI), 2011 International Conference on

Conference_Location

Guangzhou

Print_ISBN

978-1-61284-108-3

Type

conf

DOI

10.1109/ICBMEI.2011.5916961

Filename

5916961