Abstract:
When Chinese stock market experienced violent fluctuations in 2014 and 2015, whether or not margin trading aggravated market fluctuations was a hot topic in China. From the perspective of asymmetric volatility, this paper uses EGARCH model to study whether or not Chinese margin trading has aggregated the stock market’s long-term fluctuation. The empirical tests show that Chinese stock market has dually asymmetric volatility, but margin trading exerts no significant influence on either the asymmetric volatility in the bear market or the reverse asymmetric volatility in the bull market. In a word, margin trading does not aggravate Chinese stock market fluctuation.
李锋森. 我国融资融券助涨助跌了吗？——基于波动非对称性视角[J]. 金融研究, 2017, 440(2): 147-162.
LI Fengsen. Does Margin Trading Aggravate Stock Market Fluctuation? From the Perspective of Asymmetric Volatility. Journal of Financial Research, 2017, 440(2): 147-162.
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