| 2010witnessed two big breakthroughs in China’s financial market:one is the margin trading mechanism in March the31st, and the other is the introduction of the stock index futures (Shanghai Shenzhen300index futures) in April the16th. It indicates that Chinese stock market embarks on the real short selling arbitrage era. By this chance, after synthesized the literature concerning about the margin trading, stock index futures as well as the AH share premium, this paper systematically established three econometric models to test the relationships between margin trading and stock index futures arbitrages(say spot-futures arbitrage and intra-market spread arbitrage),also between margin trading and inter-market spread arbitrage(AH share premium). To do the empirical study with those models, the writer use local Chinese trading transaction data combined time series and panel data analysis methods. The result shows that in the long term short selling margin trade will decrease the spot-future arbitrage spaces, and the long selling increase, so as the AH share premium. What is more, short and long selling margin trade do not have significant relationships with intra-market stock index futures. In addition, the whole margin trade will squeeze the AH share premium.The main contribution of this study is that it systematically established the Econometrical models to test the influences of the margin trading mechanism on the arbitrages’spaces which can benefit the investors to known the risk of taking advantage of margin trade and also help them to get better understandings of the pricing mechanism of the correlated derivatives. Hence, they can regard this paper as the references to make strategic investment decisions. Besides, it can also serve as a piece of evidence to help governor to decide whether to go deeper on margin trade. Hopefully, it can provide some theoretically supports for the China’s stock and derivative markets’ perfect run. |
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