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Xu, H. and Chen, X. (2012) Does China’s Launch of Margin Financing and Securities Lending Transactions Promote the Pricing Efficiency of the Underlying Stocks? Management World, 5, 52-61.

has been cited by the following article:

• TITLE: Margin Trading and Securities Lending, Investor Sentiments and the Volatility of Chinese Securities Market

  AUTHORS: Huiting Huang

  KEYWORDS: Margin Trading, Securities Lending, Financial Stability, Stock Market Cycle, Asymmetric Volatility, ARMA-EGARCH-M Model

  JOURNAL NAME: American Journal of Industrial and Business Management, Vol.9 No.3, March 20, 2019

  ABSTRACT: Whether margin trading and securities lending transaction help to stabilize the stock market or amplify stock market volatility is a topic that has long been a concern. Based on the perspective of volatility asymmetry, we use event analysis and ARMA-EGARCH-M model to empirically test whether China’s margin trading and securities lending transactions can boost the bull market and aggravate the price decline in bear market. The empirical results show that the volatility of China’s stock market was asymmetric. Margin trading transactions reduced the stock market volatility while securities lending transactions increased the stock market volatility. Since the trading volume of margin trading was much larger than the trading volume of securities lending, the stock market volatility decreased since the launch of margin trading and securities lending mechanism.