An Empirical Study On The Price Discovery Function Of Margin System

OnMarch31st,2010, after years of arguments, the formal introduction of margin trading mechanism in our stock market, this is a milestone in the history of the development of Chinese securities market. For more than three years, margin trading list already has been expanded from the original80stocks to700stocks.Discussion about the effect of trading margin and what kind of impact it has on the stock market is always continue on, also has always been a hot issue in the study of theory and practice.In this paper, using historical data of Shanghai stock exchange, study how margin trading impact the stock market.Considering the three core indicators of stock market performance is pricing efficiency, volatility and liquidity, the pricing efficiency also can be expressed as the price discovery function, namely the speed and the time required for prices return to its true value. So in this paper, the price of the stock market, volatility and liquidity attributes as the breakthrough point, the first impact on the margin in the three aspects of analysis of related literature and explored in this paper, on the issue to the direction of further research and thinking; Further based on the above three core indicators selected as indices of this article focuses on the price discovery function; Then, by introducing the market model and its related statistics, empirical research margin impact on Chinese stock market price discovery function.According to the above series of theoretical analysis and empirical research, this paper finally draws the following two conclusions:(1) as the earnings period longer sampled stocks price contains information fully, adjust its lattice is answered close to the market index, this can be reflected in the market model fitting the beta is more to close to the real market statistics of the model more after R2subsequent adjustment, which is model fitting is to effectively grow big, also is the model fitting to more effectively.(2) Margin trading stocks in phase with the earnings period of price adjustment faster than no margin trading stocks. That is to say, with earnings period to financing standard price adjustment under faster than not. That is to say, time is to enhance the efficiency of pricing, make the price close to its real value pricing and margin trading also enhance the efficiency, it accelerated the process, this means that the financing bonds do have price discovery ability.