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| Financing Balance and Market Price——Based on Data-driven Quantitative Study |
| LI Lasheng1,lIU Xia1,2,JIANG Yaoxuan1 |
1. China Center for Economics Statistic Research, Tianjin University of Finance and Economics
2. Economic Trade Department, Hebei Finance University
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Abstract The securities margin trading system has ended the history of one-tier long mechanism in Chinese stock market, which provides an opportunity for investors to sell short. Considering the different conclusions on the effect of margin trading implying the market price's formation and operation, this paper analyzes the actual data characteristics of the securities margin trading and the related variables in China, and views the effect from two perspectives: market effect and margin trading stocks effect by data-driven paradigm and the relevant methods of econometrics. The results show that the price effects of margin trading are in accordance with different models, financing balance per one unit circulating stock capital and Shanghai Composite Index fit a multiplier-acceleration model, while financing balance per one unit circulating stock capital of margin trading stocks and HS300 index fit an inverted-U shape model. Relevant economic descriptions are provided.
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Received: 29 July 2017
Published: 15 February 2018
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Corresponding Authors:
LI Lasheng
E-mail: lilasheng@eyou.com
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2018, Vol. 38 
浙公网安备 33011802000512号