The Empirical Study Of Margin Trading Business Price Discovery Function In China

Margin financing business is also known as the securities credit transactions,which is one of the important trade system in securities market. Along with the g radually mature of the market and increasing diversification of the short selling, margin financing business has become an indispensable part of the transaction sy stem. Margin trading can through changing the stock supply and demand elasticit y to realize the change of supply demand relations, thus to stock pricing. Therefo re,the exist of margin financing transactions can produce a " price discovery" me chanism objectively,and the market price of the stock is close to the actual value, which to some extent to improve the market pricing efficiency.In March31,2010, China formally launch margin financing business,that im proves the situation of "unilateralism" pattern,because the prohibiting of short tra nsaction in China’s securities market. Based on the stock which is involved in ma rgin financing business of China’s Shanghai and Shenzhen stock exchange as the research object,uses the research methods which combine of the standard analysi s and empirical analysis,to discuss the price discovery function of margin trading in our country. The introduction part introduces the research background, signific ance and research framework. The second chapter reviews the mechanism of sto ck market which is affected by margin financing business, summarizes the shortc omings of the margin financing business research situations of the domestic and f oreign scholars,which lay a solid theoretical foundation for the later research. In the third chapter, the mode of financing securities is divided into three parts:t he United States,Japan and Taiwan,then analyze their features,and summarize the difference of financing securities mode in different stock market environment.Th e fourth chapter is the empirical part,which selectes83stocks involved in the fina ncing securities loan service as the research object,make out a watershed accordi ng to the rolling out time of financing securities loan service,intercept of the sam e sample space,applicate of the Grainger metric model,analysis of financial time series characteristics, and impulse response function test.This article according to the structure formula and method of Shanghai and Shenzhen300index,build the price index of83stock,and with turnover as the model variables,which is the inn ovation of the article.Finally discovery that the turnover changes earlier than the changes in the price index, and it is the cause of price index change,furthermore, after the introduction of margin financing, the price index response speed caused by turnover changes is faster,and less time in recovery to the normal price,thus co nfirms the margin financing business in China also plays the function of price dis covery. Finally, according to the present situation of our country securities and m argin financing business development,the experience of the financing securities1oan service in developed country and the conclusion of empirical analysis,propos e policy recommendations which may consummates financing securities loan ser vice.