The Effects of Buying Long and Short Selling on China Stock Market and Securities

The emerging of margin trading and refinancing business indicates that the mechanism of buying long and short selling has entered a new stage in China.This paper investigates the influence of margin trading on China stock market by Granger's causality test,impulse response function and variance decomposition.Using event study method,we study the volatility and cumulative excess returns of stock prices incorporated into the margin trading target.Main findings are as follows: buying long can reduce the volatility of market,but short selling has no effect on it.In addition,both margin trading and refinancing business can reduce the volatility of securities,but margin trading would bring negative income to securities and refinancing is the opposite.