Research On The Effect Of Margin On The Pricing Efficiency Of Stock Price

In the paper we study the margin of the underlying stock price Efficiency. Existing literature relevant domestic margin much research on the underlying stocks on margin pricing efficiency is very few. This paper by the cumulative abnormal return and cumulative abnormal return of non-target stocks for the different time points margin by comparing the underlying stock, to study the effect of margin trading the underlying stock price efficiency, which is the regulatory authorities to further improve market governance structure, the appropriate regulatory approach, to improve the efficiency of resource allocation, not only theoretical significance, but also for practical guidance also has some help.The paper includes six parts: The first part, from the historical evolution of the starting margin development, elaborate theoretical and practical significance, and the corresponding frame; the second part, highlights some of the research-related theoretical basis; the third part, in view of the margin of the specific situation and history were a derivation of the system, and the corresponding theoretical assumptions; the fourth part, according to the Shanghai and Shenzhen stock margin and non-paired financing trading stocks model design, regression design; the fifth part, the use of empirical research, coefficients of terms of the double differential cross multiply empirical experiences; sixth part analyzes the empirical results, summarized research findings, for the sustained and healthy margin of offer advice and develop into words.According to the empirical results, we come to the following conclusions:(1) the margin trading can indeed restrain the cumulative abnormal return in the role of early pilot, and improve the efficiency of the function of the stock price. The reason is that the initial margin trading business, less the number of shares underlying, relatively few alternative opportunities for speculators, because the margin trading business is relatively new, the operation more difficult. The underlying stock in order to prevent the use of private speculators fictitious information, the disclosure of private information and gradually increase the amount.(2) In the timeline of the main line, with the margin trading business, the number of the underlying stock increases, the cumulative abnormal return from the expansion point before and after the ten-day event, the margin suppression of cumulative abnormal return gradually weakened, the margin after the expansion at several points, but to promote the cumulative increase in the excess rate of return, and this promotion doubled.According to the above conclusion, we have the following recommendations for follow-up margin:(1) Reduce the scope of the underlying stock. After the underlying stocks continued expansion, particularly large institutional speculators speculators arbitrage private information when the stock becomes more options, the most direct and effective way is the number of underlying stocks were moderately reduced, so that the financing trading the underlying stock to maintain the proper proportion, so that both can reduce the use of private information arbitrage institutional investors choice, but also to reduce the pressure on regulatory authorities.(2) Increase the margin rates. Margin is the essence of business customers to deposit collateral to the financial institution in order to produce a strong leverage effect, raised several times in the margin cash or stock. Two financial operations have generated a strong leverage effect, not only can make earnings doubled, but also can reduce the risk increased exponentially. Thus increasing the risk control, reduce the volatility of the most direct and effective way is to adjust the margin.(3) Regulatory issues. While maintaining the underlying shares in the number of suitable proportions, strongly regulation is still important to ensure this is to ensure sustained and healthy development of the business. The traditional sub-sector regulatory model "Three Meetings" information sharing, communication level is very low, therefore should establish a robust hybrid regulatory mechanism, the central bank fully play its role in commanding, urging between "Three Committees" information sharing and communication in order to improve the efficiency of supervision, so that mixed operation with regulators separate regulation no unique functions.