Research On The Impact Of Financing Securities Trading On The Science And Technology Innovation Board On Market Quality

As a carrier of major basic institutional innovation,the launch of the Science and Technology Innovation Board(STAR Market)carries the important mission of enhancing the technological innovation capabilities of domestic enterprises and improving the domestic multi-level capital market system.It is also an important milestone in the promotion of registration reform.In order to ensure the high-quality development of STAR Market,the regulatory authorities have cited a long-short balance mechanism in their transaction design-margin trading.Although theoretical research shows that the financing securities trading system is conducive to increasing liquidity in the stock market and suppressing stock price fluctuations and improving the efficiency of stock pricing,thereby improving the quality of the stock market.However,the long-term practice of my country's A-shares shows that there are serious imbalances in capital market financing securities business.The securities lending sources are inadequate and the cost is high,which restricts in the system advantages of financing securities.From the beginning,STAR Market has attached great importance to the construction of the financing securities system.Enterprises can start financing securities as soon as they are listed on STAR Market.It broke through the asymmetric constraint of margin financing and securities lending on the main board market.Can this institutional change give full play to the role of financing securities to improve the quality of STAR Market? To this end,this study has conducted an in-depth study of the impact of financing securities trading on STAR Market on market quality from three aspects: increasing stock market liquidity,stabilizing stock price fluctuations,and improving stock market pricing efficiency.Our purpose in doing so is to provide theoretical and empirical evidence for improving STAR Market financing securities trading system and promoting the high-quality development of China's capital market.Based on a systematic review of relevant domestic and foreign research,the thesis first deeply analyzes the mechanism and channels of the market quality of margin trading on the STAR Market.Then,based on theoretical analysis,a research hypothesis is put forward,namely: the market's liquidity can be improved by financing securities trading on the STAR Market,which is mainly exerted through the long-short balance mechanism,and its impact on liquidity on the first day of stock listing and the first five days Stronger than the entire sample period;margin trading and securities lending can play a role in stabilizing stock price fluctuations.The STAR Market is dominated by institutional investors to promote this function,and it has a higher degree of influence on the first day of listing and the first five days In the full sample period;financing securities trading can improve the pricing efficiency of the STAR Market.In order to test the proposed research hypothesis,the paper constructs the panel regression model,PVAR model,Copula model and TVP-VAR model.On this basis,using market transaction data of 72 listed companies on the STAR Market,the impact of financing securities trading on the STAR Market on market quality was tested.The theoretical analysis of the thesis believes that the STAR Market financing securities trading will influence market liquidity by guiding investors' expectations and investment behaviors;by directly and indirectly affecting the supply of stocks,it will stabilize stock price fluctuations;by releasing positive or negative information it will promote price discovery,push prices back to a reasonable level,and improve stock pricing efficiency.The empirical test found that:(1)Financing securities trading significantly reduced Amihud's illiquidity index,increased the turnover rate,and lowered the cost of liquidity,that is,significantly increased the liquidity of the STAR Market.Financing securities trading has played a positive role in promoting the liquidity of the STAR Market,and its promotion is mainly realized through the long-short balance mechanism;(2)The long-short balance mechanism benefited from the relatively complete margin and short trading,and institutional investment with a high degree of participation,the STAR Market's double-sided buffer for financing securities trading can be used to smooth the volatility of stocks,and this restraint has a superimposing effect.Financing securities trading increases the probability that individual stocks on the STAR Market will rise and fall sharply with the market,and the impact of financing securities trading on the tail correlation is symmetric;(3)Financing securities trading on the STAR Market increases the stock price.The amount of information that reduces the correlation between the rate of return of individual stocks on the STAR Market and the market rate of return,increases the heterogeneous volatility of individual stocks on the STAR Market,which promotes the pricing efficiency of the STAR Market stocks.Financing securities trading has been playing a role in guiding rational valuation and reducing investor disagreements since the opening of the STAR Market,and has played an increasingly important role in improving the efficiency of stock market pricing.In order to give full play to the function of the STAR Market margin trading and securities lending transactions to enhance market quality,the business rules system should be further improved to promote development and risk prevention in parallel;further improve the long-short balance mechanism;continue to optimize the trading mechanism and further depth in matched with the price increasing and decreasing and the temporary suspension mechanism;the investor suitability management shall be strengthened.The contributions of the research in this paper are as follows: First,from the research direction,it has enriched the research results of the impact of market quality on the quality of financing securities trading on the STAR Market.This China's market is still in the rising stage and the financing securities trading has the characteristics that investors are mainly institutional investors and the strengths of the short and long sides are not very different.It still needs to be further explored to what extent the financing securities can affect the quality of the stock market of STAR Market.Second,from the perspective of research content,the scale and the structure of financing securities are brought into a unified analytical framework,and the three dimensions of liquidity,volatility and pricing efficiency of STAR Market are established to comprehensively evaluate the impact of financing securities on the quality of STAR Market,making the research content more comprehensive and systematic.Third,from the perspective of research methods,using a combination of static and dynamic methods,the impact of financing securities trading on the STAR Market on market quality is described in detail,not only the multiple regression model is used to test the static impact of financing securities on the quality of STAR Market,but also the PVAR model,Copula model and TVP-VAR model are used to test the dynamics of the financing securities on the quality of STAR Market.It also uses a combination of short-term and long-term analysis to provide theoretical support for the high-quality sustainable development of STAR Market.