Research Article
The Impact of Macroeconomics on Securities Margin TradingBased on Experimental Analysis
@INPROCEEDINGS{10.4108/eai.18-11-2022.2327122, author={Qianyu Lu}, title={The Impact of Macroeconomics on Securities Margin TradingBased on Experimental Analysis }, proceedings={Proceedings of the 4th International Conference on Economic Management and Model Engineering, ICEMME 2022, November 18-20, 2022, Nanjing, China}, publisher={EAI}, proceedings_a={ICEMME}, year={2023}, month={2}, keywords={securities margin trading; macroeconomics; correlation analysis; vector autoregressive model}, doi={10.4108/eai.18-11-2022.2327122} }- Qianyu Lu
Year: 2023
The Impact of Macroeconomics on Securities Margin TradingBased on Experimental Analysis
ICEMME
EAI
DOI: 10.4108/eai.18-11-2022.2327122
Abstract
Since China officially opened its securities margin trading in 2010, its trading share has been rising year by year. Securities margin trading is playing an increasing role in China's securities market.It is increasingly meaningful to forecast their trading shares. In this paper, economic data from January 2011 to June 2021 were downloaded from the wind database, and three macroeconomic variables, CSI300, RMB deposit balance and forex loan balance, were screened out through linear correlation analysis and partial correlation analysis. A vector autoregressive model was constructed using these three variables and margin balance,so as to give a mathematical model that can predict margin balance to a certain extent. The result of impulse response analysis and variance decomposition shows the respective contribution of different macroeconomic variables to margin balance.