Margin trading refers to the business activities of securities companies that lend funds to customers to buy and sell listed securities and collect collateral. The underlying securities of margin financing and securities lending mainly include stocks, funds and bonds (information and quotation). It should be noted that as the underlying stock, the circulating share capital must not be less than 1 100 million shares or the circulating market value should not be less than 500 million yuan, the circulating share capital of the underlying stock sold by short selling should not be less than 200 million shares or the circulating market value should not be less than 800 million yuan, and the number of shareholders should not be less than 4,000. Therefore, most of the stocks that meet the target requirements are large-cap stocks in Shanghai and Shenzhen markets, and small and medium-cap stocks are subject to certain restrictions. As a securities investment fund, due to the requirements of the fund contract, most of the investment types of the fund meet the requirements of the underlying securities.

On the other hand, the conversion ratio of the underlying securities is also quite different. When calculating the amount of margin, the securities used to offset the margin shall be converted according to a certain proportion of the market value or net value of the securities. Generally speaking, the highest conversion rate of the constituent stocks of SSE 180 Index or SZSE 100 Index does not exceed 70%, and the highest conversion rate of the non-constituent stocks does not exceed 65%. However, the maximum conversion rate of ETF funds is 90%, the maximum conversion rate of national debt is less than 95%, and the maximum conversion rate of other funds (including closed-end funds and LOF) and bonds is less than 80%. As can be seen from the conversion rate, because the change of fund net value is relatively smooth, the conversion rate is higher, and the effect is more obvious in actual operation.

The introduction of margin financing and securities lending business will change the short-selling mechanism that the domestic market lacks for a long time, give investors a hedging tool in the unilateral market exploration in 2008, and increase the market activity. However, it should be noted that because margin trading is limited by margin, when investors can't maintain margin in trading, securities companies will forcibly close their positions, which is similar to the phenomenon of "short position" in the futures market, thus forming a short-term role of helping up and down, and aggravating the degree of stock market volatility.

As far as fund investment is concerned, analysts believe that margin financing and securities lending will have a greater impact on on-site funds (mainly including ETF, LOF and closed-end funds) considering liquidity. If investors expect the short-term market to rise or fall, they can buy ETF funds through financing, or sell ETF funds through securities lending to obtain leveraged returns. In addition, due to the high discount rate of closed-end funds, investors can buy closed-end funds through financing to reduce their income. At the same time, according to the regulations of the China Securities Regulatory Commission, the target period of financing purchase or short selling cannot exceed 6 months, so it is more beneficial to do more closed-end funds with shorter remaining period. The introduction of margin financing and securities lending will alleviate the discount rate of closed-end funds to some extent.

The introduction of margin financing and securities lending has also created conditions for the introduction of stock index futures, through which inter-period and spot arbitrage can be carried out, which has also brought new development space for fund investment. The domestic funds tracking the CSI 300 Index mainly include Harvest CSI 300 and Cathay Pacific CSI 300 (market, net worth, fund bar). If there is a big deviation between the futures market and the spot market, investors can arbitrage between the Shanghai and Shenzhen 300 index funds and stock index futures contracts. Considering the liquidity problem, general index funds implement "T+5", while fully replicated ETF funds implement "T+ 1" or even "T+0". In terms of fitting error, the proper proportion of SSE 50ETF and SZSE 100ETF can also achieve the tracking effect with CSI 300 index funds, and investors can also use ETF funds and stock indexes.

Attachment: ETF fund parameters

No. Fund Code Fund Short for Unit Net Value Cumulative Net Value Fund Share (end of the second quarter of 2008)

1 5 10 180 Huaan180 ETF 5.005.05 65438+75 million copies.

2 1590 1 E Fund Shenzhen Stock Exchange100 ETF 2.156 2.27610.327 billion copies.

3 5 10050 Huaxia SSE 50 ETF1.799 2202 84.29 billion shares.

4 5 10880 SSE dividend ETF1.8381.8381.697 million shares.

5 159902 Huaxia SME ETF1.361.361.574 million copies.