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http://dx.doi.org/10.1111/j.1468-2443.2005.00047.x

has been cited by the following article:

• TITLE: The Impact of Margin Trading on Volatility of Stock Market: Evidence from SSE 50 Index

  AUTHORS: Muwei Chen

  KEYWORDS: Margin Purchase, Short Sale, Volatility, VAR Model

  JOURNAL NAME: Journal of Financial Risk Management, Vol.5 No.3, September 29, 2016

  ABSTRACT: No consensus has been reached on the impact of margin trading, including margin purchase and short sale, on market volatility. Margin purchase and short sale provide investors opportunities to be involved in financial market, so that this mechanism can increase market liquidity and efficiency. However, opponents argue that short sale may disrupt market. The data selected are SSE 50 index (Shanghai Security Exchange 50 Index) whose constituent shares are the most liquid and representative stocks in Shanghai Security. This paper analyzes SSE 50 Index covering a time period from Jan 4th, 2007 to October 16th, 2015. Moreover, time period is divided into three samples where market booms, corrects and drops. What’s more, this paper carries out Granger Causality Test, Impulse Response Analysis and Variance Decomposition Analysis, based on VAR model. To conclude, margin purchase and short sale ease volatility, but it depends when market is in different stage.