| The stock market in mainland has achieved a leaping forward since 2005, however, the market is still irrational and unstable. Bubble and crash are frequency. The reason is the lack of margin requirement system. In Taiwan, the Securities credit transaction system has developed for 40 years. Developed Securities credit transaction system has been built. The mainland and Taiwan are all emerging markets, so the mainland can learn from Taiwan.This paper shows how the Securities credit transaction system in Taiwan affects on pricing efficiency and micro-market structure. Based on that, the paper explores how the Securities credit transaction system will be built in mainland with a reference from America and Japan. The paper includes six chapters. The instruction pays attention on research progress, significance, methods, framework, main contributions and further study. In Chapter One, we first introduce briefly related literatures. In Chapter Two, Securities credit transaction system is introduced—taking Taiwan as an example. And a simple model was built to analyze how the margin requirement system affects pricing efficiency. The third chapter explores an empirical research about how the securities financing affects the stock price and market volatility in Taiwan and how margin requirement system affects market liquidity. Chapter four shows a comparative analysis on margin requirement system between America and Japan. As a basis of chapter four, the paper gives the advice that the mainland can learn from Taiwan in the chapter five. The advice can prompt the development of margin requirement system that takes advantage of market efficiency in mainland.The writer pays attention on stock market development in mainland and Taiwan and takes active part in margin requirement system in mainland and Taiwan. I learn about the different features and common features between cross-strait markets. The main contribution in this paper is that explores the feasible pattern of Securities credit transaction system in mainland and necessary risk control mechanism. And the paper also explores an empirical analysis about how the Securities credit transaction system affects market volatility and liquidity in Taiwan. The conclusion is benefit enlightenment to the development of Securities credit transaction system in mainland. |
