Study On The Influence Of Margin Trading On The Quality Of China Stock Market In Different Time And Aspects

In China, Margin trading has been in the process of the construction process since February28,2010. Every step of setting up the mechanism of margin trading changed relations of stock market microstructure. The launching of the margin trading is the first time that China’s stocks really able to short selling. IT is the important step to complete securities market. But so far, about the impact of China’s margin trading literature and the conclusion is not very consistent. Previous studies only focused on a stage in the development of margin or one aspect is not comprehensive.The research of this paper will revolve around the development of the margin trading, from the quality of the market the influence of the different sides to conduct a comprehensive study. The purpose is to hope to be able to find its economic laws, and correct evaluation of margin trading in the quality of the market. We analyze the economic law, the short selling and margin purchase on market economic significance. The study of financial market microstructure has important theoretical significance. For the margin trading impact analysis, and evaluate its right, to the further development of margin trading in China have certain enlightenment function, has positive practical significance.For the margin trading impact along the reality and theory this paper analyzes empirically-the thinking of countermeasures, from the analysis of current our country margin and were compared with abroad, the system combing and analysis of domestic and foreign scholars on the basis of the existing literature. The paper on the basis of market segmentation quality into the price discovery, price stability, the efficiency of information, the side of the market liquidity four different stages of margin on the empirical research. Finally summarizes and gives the policy Suggestions according to the results of the inspection. For the four sorts of specific analysis framework is as follows:1、About the price discovery function, on the one hand we are along the margin trading the timeline of the development of different stages of price discovery of inspection. Through the margin trading research timeline, in turn to its change at different points of the four, research it by the method of panel DID method. On the other hand, we are comparing the change of Hong Kong and the mainland market price discovery mechanism.2、When I studied price stability,I decomposed the price stability into the price volatility and price collapse. When I discussed about price volatility, I adopted the EGARCH model to describe all stocks daily return data. We to the market volatility using panel data model analysis. Mainly in terms of price collapse hypothesis on the yield of skewness, positive and negative density function extreme value and yield were discussed.3、In the analysis of the efficiency of the information, the information efficiency decompensate to the price of public information integration, integration of heterogeneous beliefs private investors price stocks extent and efficiency of information. Discuss the impact of margin on the three variables, and to study the relationship among them by panel data Granger test.About liquidity, through the analysis for liquidity variables, using two variables respectively represent the width and depth of the liquidity. We Used variables of margin purchase and short selling to test the width and depth of the liquidity.Through the above four sorts of empirical test, we found that the influence of the margin is not achieved overnight, but through the continuous improvement of the policy and market gradually. Margin trading for the accuracy of the valuation price, price stability, the validity of the information has a positive role in promoting. And effects on market liquidity need depending on the specific situation. The concrete content includes:1、The price discovery function of inspection, found that the margin of the price discovery process through the continuous improvement of the policy and market gradually established, and the effect is gradually accumulated, and finally for our country securities market price discovery function of optimization play a proper role. A shares and H shares less cross the valuation differences of listed stocks reduced our country securities market and the securities market outside the market segmentation. 2、About price stability, We found that individual stocks volatility was asymmetry before margin trading. Impact of "good news" is much larger than "bad news." This is a concrete manifestation of heterogeneous beliefs when short selling was constrained. After the opening of the margin trading, stock volatility asymmetry has been largely eliminated. Margin actually reduced stocks return fluctuation. We found that when stocks return rate positive, significant effect on short sales. Short can reduce stock return fluctuations by increasing the supply of shares and expression more heterogeneous beliefs. When the return rate is negative, short sales influence becomes obvious. After the price collapse hypothesis, the margin trading and refinancing has effectively eliminated the risk of price collapse. Frequency of positive extreme values is significantly lower. This makes the density function stock return closer to normal function under the assumption of efficient.Through the analysis we can say that margin trading and refinancing launch, conducive to the stability of China’s securities market.3、About efficiency of the information, studies show that speed of public information into the price along with the development of the margin trading in faster. The degree of investor’s private heterogeneous beliefs into price along with the development of the margin trading has become more balanced. And the information efficiency of individual stocks is in the process become more effective. Using panel data Granger test study found that the balance degree of private investors’heterogeneous beliefs into price caused information efficiency to become more effective.4、About liquidity, study found that margin trading has different effect on the width and depth of liquidity in different ways, because for margin purchase and short selling provide different items. Studies have shown that margin purchase has a lot of positive influence on liquidity width, the influence of the width of liquidity occupy a leading position. We also found that to improve the securities market liquidity, need from general economic balanced development. This is the foundation of the securities market.In this paper, through empirical study and theoretical analysis, determine some of the innovations in the following aspects:The first is we development of the securities lending and borrowing subdivided into several periods, by adjusting the time period for the different aspects of the quality as the market is discussed. We discovered the margin trading market of our country the quality of the positive role. Study found that margin stock market price discovery mechanism was optimized and reduced the segmentation of the market at home and abroad, reduce the volatility of yield and asymmetry, reduce the possibility of a market crash, and improve the efficiency of market information.The second is the margin for the influence of liquidity is found to be unable to generalize. Margin purchase and short selling for the influence of liquidity depth and width is different. Margin purchase affects the width of liquidity, while short selling affects liquidity depth.The third is found that margin trading is mainly through short effect on Chinese stock market. The path is after let go of short-selling restrictions, investors can fully express their own thoughts, short promoted the increase of liquidity depth, resulting in heterogeneous beliefs can be fully integrated into the price, and thus the size of the stock premium and volatility and asymmetric reduction.This paper has made some achievements, but due to restrictions in terms of the actual data, the paper on the selection of stocks at different points of especially because the reason such as the policy is difficult to maintain the same stock range and quantity, hope that with the improvement of the economic data, in the subsequent study can make up for these deficiencies.