The Impact of Margin Trading on the Liquidity and Volatility of the Securities Market Based on the empirical research of the Shanghai security market
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.
MarginTrading Stockmarket liquidity volatility
Yang Deyong Wu Qiong
Beijing Technology and Business University Beijing, China Beijing Technology and Business UniversityBeijing, China
国际会议
广州
英文
1-5
2011-05-13（万方平台首次上网日期，不代表论文的发表时间）