Abstract: To explore the impact of stock pledge behavior on the periodic fluctuation of stock price, this paper builds an EGARCH-M model by taking market-specific characteristics into consideration and using stock pledge behavior as the influencing factor from the fluctuation feedback perspective. The research shows that excessive increase of stock pledge plays as fluctuation amplifier in the market, and has certain negative impact on the decline of stock index. The empirical results show that stock pledge behavior can accelerate the periodic fluctuation of stock price. Moreover, at the significant level of 5%, the acceleration effect of stock pledge behavior on the periodic fluctuation of stock price is asymmetric. In a bear market, the increase of stock pledge indicates higher possibility of closing positions in the market, which can be regarded as a warning signal of bad market. Under the influence of stock pledge, the negative volatility of stock index is far stronger than the positive volatility, which indicates that the behavior can deepen the cyclical decline of stock price and hinder the rebound of stock price.

Key words: share pledge, stock price cyclic volatility, fluctuation feedback