关键词: 融资交易, 杠杆牛市, 股灾危机, 溢出效应

Abstract: Since November 2014，the stock price began to rise quickly as the scale of margin trading and other leverage trading soared. Until June 2015，when stock prices fell sharply，leveraged funds faced active or passive clearance and then stock market crash crisis happened. To give a scientific answer of the relationship between margin trading，leveraged bull markets and stock market crash crisis，this paper constructs the VECM-MGARCH-in-Mean-BEKK model to study the interactive relationship between margin trading and stock price comprehensively. It finds that co-integration exists between margin trading and stock price index. Stock price index is a weakly exogenous variable which means that stock price index leads margin trading in the long run，and there only exists unidirectional volatility spillover effect from stock price index to margin trading，but in mean level，margin trading and stock price index have a short-run bidirectional causality relationship and exhibit positive feedback effect. This means margin trading enhances investor overreaction and intensifies stock market volatility. It also finds that the cross-impact of volatility on the growth of margin trading and stock price index is asymmetric：stock price index volatility constraints margin trading growth and has obvious risk binding effect，while margin trading volatility results in an increase in stock price index. The empirical results have an important meaning for the assessment of rationality of the current margin trading system and for the decision of future reform direction and development path of China’s capital market.

Key words: Margin Trading, Leveraged Bull Market, Stock Market Crash Crisis, Spillover Effect