ISSN 0253-2778

CN 34-1054/N

open
Free to Publish. Free to Read.
Open AccessOpen Access JUSTC Original Paper

Pro-cyclicality of margin trading and short selling based on EMD method

  • School of Management,University of Science and Technology of China,Hefei 230026,China

Cite this:
https://doi.org/10.3969/j.issn.0253-2778.2020.08.015
  • Received Date: 29 June 2020
  • Accepted Date: 25 July 2020
  • Rev Recd Date: 25 July 2020
  • Publish Date: 31 August 2020
    Abstract

  • Abstract

    The empirical mode decomposition (EMD) method was applied to measure the cyclical fluctuations of the stock index, and then used to study the pro-cyclicality of China’s margin trading and short selling. The research results show that margin trading has a positive pro-cyclical effect on the overall market, and short selling has a counter-cyclical affect. The vector autoregressive (VAR) model was applied to test the dynamic between margin trading and short selling and stock index. It was found that the impulse response of stock index to margin trading is positive, and the pro-cyclicality of margin trading aggravates the rise and fall of the market; the impulse response of stock index to short selling is negative but not significant, because the scale of securities lending is too small and its counter-cyclical effect can not stabilize the market.

    Abstract

    The empirical mode decomposition (EMD) method was applied to measure the cyclical fluctuations of the stock index, and then used to study the pro-cyclicality of China’s margin trading and short selling. The research results show that margin trading has a positive pro-cyclical effect on the overall market, and short selling has a counter-cyclical affect. The vector autoregressive (VAR) model was applied to test the dynamic between margin trading and short selling and stock index. It was found that the impulse response of stock index to margin trading is positive, and the pro-cyclicality of margin trading aggravates the rise and fall of the market; the impulse response of stock index to short selling is negative but not significant, because the scale of securities lending is too small and its counter-cyclical effect can not stabilize the market.
    • FullText(HTML)
  • loading
    • References(33)
  • [1]
    周小川. 关于改变宏观和微观顺周期性的进一步探讨[J]. 中国金融, 2009 (8): 8-11.
    [2]
    Financial Stability Board. Report of the Financial Stability Forum on addressing procyclicality in the financial system[R]. Basel, Switzerland: Financial Stability Board, 2009.
    [3]
    KOOPMANS T C. Measurement without theory[J]. The Review of Economics and Statistics, 1947, 29(3): 161-172.
    [4]
    NELSON C R, PLOSSER C R. Trends and random walks in macroeconmic time series: Some evidence and implications[J]. Journal of Monetary Economics, 1982, 10(2): 139-162.
    [5]
    BEVERIDGE S, NELSON C R. A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the “business cycle”[J]. Journal of Monetary Economics, 1981, 7(2): 151-174.
    [6]
    KALMAN R E. A new approach to linear filtering and prediction problems[J]. Journal of Basic Engineering, 1960, 82(1): 35-45.
    [7]
    HODRICK R J, PRESCOTT E C. Postwar US business cycles: An empirical investigation[J]. Journal of Money, Credit, and Banking, 1997, 29(1): 1-16.
    [8]
    CHRISTIANO L J, FITZGERALD T J. The band pass filter[J]. International Economic Review, 2003, 44(2): 435-465.
    [9]
    邓创, 徐曼, 赵珂. 金融周期理论与实证研究的新进展[J]. 国际金融研究, 2019 (5): 36-44.
    [10]
    KING R G , REBELO S T. Transitional dynamics and economic growth in the neoclassical model[J]. American Economic Review， 1993, 83(4): 908-931.
    [11]
    HARVEY A C, JAEGER A. Detrending, stylized facts and the business cycle[J]. Journal of Applied Econometrics, 1993, 8(3): 231-247.
    [12]
    HUANG N E, SHEN Z, LONG S R, et al. The empirical mode decomposition and the Hilbert spectrum for nonlinear and non-stationary time series analysis[J]. Proceedings of the Royal Society of London. Series A: Mathematical, Physical and Engineering Sciences, 1998, 454(1971): 903-998.
    [13]
    ADRIAN T, SHIN H S. Liquidity, monetary policy, and financial cycles[J]. Current Issues in Economics and Finance, 2008, 14(1): 1-7.
    [14]
    袁闯. 中国证券行业宏观审慎监管研究[M]. 北京：中国社会科学出版社, 2012.
    [15]
    NUO G, THOMAS C. Bank leverage cycles[J]. American Economic Journal: Macroeconomics, 2017, 9(2): 32-72.
    [16]
    刘志洋, 宋玉颖. 融资融券的系统性风险管理研究[J]. 上海经济研究, 2015 (7): 3-8.
    [17]
    BOGEN J I, KROOSS H E. Security Credit: Its Economic Role and Regulation[M]. Upper Saddle River, NJ: Prentice-Hall, 1960.
    [18]
    HENRY  T, MCKENZIE M. The impact of short selling on the price-volume relationship: Evidence from Hong Kong[J]. The Journal of Business, 2006, 79(2): 671-691.
    [19]
    MILLER E M. Risk, uncertainty, and divergence of opinion[J]. The Journal of Finance, 1977, 32(4): 1151-1168.
    [20]
    WANG S, ZHOU Y. An empirical study on the margin trading’s impacts on the volatility of China A-share stock market: From weighted stock’s data[C]// 2017 International Conference on Service Systems and Service Management. IEEE, 2017: 1-5.
    [21]
    SAFFI P A C, SIGURDSSON K. Price efficiency and short selling[J]. The Review of Financial Studies, 2010, 24(3): 821-852.
    [22]
    巴曙松, 朱虹. 融资融券、投资者情绪与市场波动[J]. 国际金融研究, 2016, 352(8): 82-96.
    [23]
    黄虹, 张恩焕, 孙红梅, 等. 融资融券会加大投资者情绪对股指波动的影响吗?[J]. 中国软科学, 2016 (3): 151-161.
    [24]
    朱民武. 融资融券对股价的影响—基于沪市A股的经验研究[J]. 技术经济与管理研究, 2014 (11): 95-99.
    [25]
    龚玉霞,笪元元. 融资融券交易对我国股市波动性影响的研究—基于第四次扩容前后的比较分析[J]. 会计之友, 2017 (2): 65-69.
    [26]
    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(2): 147-162.
    [27]
    郑晓亚, 闫慧, 刘飞. 融资融券业务与我国股票市场长期波动性[J]. 经济与管理评论, 2015, 31(2): 87-93.
    [28]
    杨炘, 王小征, 滕召学. 中国股市个人与机构投资者的羊群效应[J]. 清华大学学报(自然科学版), 2004(12): 1610-1614.
    [29]
    SIMS C A. Macroeconomics and reality[J]. Econometrica: Journal of the Econometric Society, 1980, 48(1): 1-48.
    [30]
    唐振鹏,吴俊传,冉梦,等.考虑投资者情绪的中国股市自激发效应研究[J].中国管理科学,2020,28(7):1-12.
    [31]
    储小俊,曹杰.融资融券放大了投资者情绪效应吗?[J].证券市场导报,2018(9):22-30.
    [32]
    温忠麟,叶宝娟.中介效应分析:方法和模型发展[J].心理科学进展,2014,22(05):731-745.
    [33]
    虞一青, 刘嫦, 赖登凌. 融资融券失衡对股价波动性的影响[J]. 金融论坛, 2016, 21(12): 60-69.
    • Supplements(0)
    • Related Articles
    • Track Citations
  • 加载中

Catalog

    |
    Get Citation
    PDF
    XML
    [1]
    周小川. 关于改变宏观和微观顺周期性的进一步探讨[J]. 中国金融, 2009 (8): 8-11.
    [2]
    Financial Stability Board. Report of the Financial Stability Forum on addressing procyclicality in the financial system[R]. Basel, Switzerland: Financial Stability Board, 2009.
    [3]
    KOOPMANS T C. Measurement without theory[J]. The Review of Economics and Statistics, 1947, 29(3): 161-172.
    [4]
    NELSON C R, PLOSSER C R. Trends and random walks in macroeconmic time series: Some evidence and implications[J]. Journal of Monetary Economics, 1982, 10(2): 139-162.
    [5]
    BEVERIDGE S, NELSON C R. A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the “business cycle”[J]. Journal of Monetary Economics, 1981, 7(2): 151-174.
    [6]
    KALMAN R E. A new approach to linear filtering and prediction problems[J]. Journal of Basic Engineering, 1960, 82(1): 35-45.
    [7]
    HODRICK R J, PRESCOTT E C. Postwar US business cycles: An empirical investigation[J]. Journal of Money, Credit, and Banking, 1997, 29(1): 1-16.
    [8]
    CHRISTIANO L J, FITZGERALD T J. The band pass filter[J]. International Economic Review, 2003, 44(2): 435-465.
    [9]
    邓创, 徐曼, 赵珂. 金融周期理论与实证研究的新进展[J]. 国际金融研究, 2019 (5): 36-44.
    [10]
    KING R G , REBELO S T. Transitional dynamics and economic growth in the neoclassical model[J]. American Economic Review， 1993, 83(4): 908-931.
    [11]
    HARVEY A C, JAEGER A. Detrending, stylized facts and the business cycle[J]. Journal of Applied Econometrics, 1993, 8(3): 231-247.
    [12]
    HUANG N E, SHEN Z, LONG S R, et al. The empirical mode decomposition and the Hilbert spectrum for nonlinear and non-stationary time series analysis[J]. Proceedings of the Royal Society of London. Series A: Mathematical, Physical and Engineering Sciences, 1998, 454(1971): 903-998.
    [13]
    ADRIAN T, SHIN H S. Liquidity, monetary policy, and financial cycles[J]. Current Issues in Economics and Finance, 2008, 14(1): 1-7.
    [14]
    袁闯. 中国证券行业宏观审慎监管研究[M]. 北京：中国社会科学出版社, 2012.
    [15]
    NUO G, THOMAS C. Bank leverage cycles[J]. American Economic Journal: Macroeconomics, 2017, 9(2): 32-72.
    [16]
    刘志洋, 宋玉颖. 融资融券的系统性风险管理研究[J]. 上海经济研究, 2015 (7): 3-8.
    [17]
    BOGEN J I, KROOSS H E. Security Credit: Its Economic Role and Regulation[M]. Upper Saddle River, NJ: Prentice-Hall, 1960.
    [18]
    HENRY  T, MCKENZIE M. The impact of short selling on the price-volume relationship: Evidence from Hong Kong[J]. The Journal of Business, 2006, 79(2): 671-691.
    [19]
    MILLER E M. Risk, uncertainty, and divergence of opinion[J]. The Journal of Finance, 1977, 32(4): 1151-1168.
    [20]
    WANG S, ZHOU Y. An empirical study on the margin trading’s impacts on the volatility of China A-share stock market: From weighted stock’s data[C]// 2017 International Conference on Service Systems and Service Management. IEEE, 2017: 1-5.
    [21]
    SAFFI P A C, SIGURDSSON K. Price efficiency and short selling[J]. The Review of Financial Studies, 2010, 24(3): 821-852.
    [22]
    巴曙松, 朱虹. 融资融券、投资者情绪与市场波动[J]. 国际金融研究, 2016, 352(8): 82-96.
    [23]
    黄虹, 张恩焕, 孙红梅, 等. 融资融券会加大投资者情绪对股指波动的影响吗?[J]. 中国软科学, 2016 (3): 151-161.
    [24]
    朱民武. 融资融券对股价的影响—基于沪市A股的经验研究[J]. 技术经济与管理研究, 2014 (11): 95-99.
    [25]
    龚玉霞,笪元元. 融资融券交易对我国股市波动性影响的研究—基于第四次扩容前后的比较分析[J]. 会计之友, 2017 (2): 65-69.
    [26]
    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(2): 147-162.
    [27]
    郑晓亚, 闫慧, 刘飞. 融资融券业务与我国股票市场长期波动性[J]. 经济与管理评论, 2015, 31(2): 87-93.
    [28]
    杨炘, 王小征, 滕召学. 中国股市个人与机构投资者的羊群效应[J]. 清华大学学报(自然科学版), 2004(12): 1610-1614.
    [29]
    SIMS C A. Macroeconomics and reality[J]. Econometrica: Journal of the Econometric Society, 1980, 48(1): 1-48.
    [30]
    唐振鹏,吴俊传,冉梦,等.考虑投资者情绪的中国股市自激发效应研究[J].中国管理科学,2020,28(7):1-12.
    [31]
    储小俊,曹杰.融资融券放大了投资者情绪效应吗?[J].证券市场导报,2018(9):22-30.
    [32]
    温忠麟,叶宝娟.中介效应分析:方法和模型发展[J].心理科学进展,2014,22(05):731-745.
    [33]
    虞一青, 刘嫦, 赖登凌. 融资融券失衡对股价波动性的影响[J]. 金融论坛, 2016, 21(12): 60-69.
    Recommended articles
    TrendMD
    Volume 50 Issue 8 page: 1144-1155
    Cover

    Article Metrics

    Article views (25) PDF downloads(138)
    Proportional views

    Copyright © Editorial Office of JUSTC, All Rights Reserved. 皖ICP备05002528号

    Supported by: Beijing Renhe Information Technology Co. Ltd    

    /

    DownLoad:  Full-Size Img  PowerPoint
    Return
    Return