| Securities margin trading (SMT) was introduced as a mechanism of short selling in China’s stock market. Since March 2010, the margin of the underlying stock has gone through four expansions. Theoretically, Securities Margin Trading is an active market trading that promotes the market price discovery and improves the efficiency of the stock pricing. The fluctuations of the special quality of the stock prices (FOTSQOTSP) is mainly concerned with the characteristics of idiosyncratic information and noise trading, to some extent, the movements of FOTSQOTSP can measure the efficiency of pricing (Roll,1988).In this paper, Based on the difference-in-difference (DID) model, analyze the relationship between SMT and FOTSQOTSP, refers to panel data of new underlying stock, examine the impact on the stock pricing efficiency in two dimensions.The result of DID model regression analysis shows that SMT business mainly improve pricing efficiency stock by impacting on investor behavior. On the one hand, strengthen the private information superiority and profitability of insider’s investment, leading to noise traders leave the underlying stock. Therefore, SMT business also reduces the noise trading. On the other hand, Leveraged trading accelerates the integration of the stock price information. The speed of Positive information that integrates into the stock price is significantly higher than negative information. It is more apparent that margin financing transactions impacting on the stock pricing efficiency than short selling.Therefore, SMT business can improve the pricing efficiency by reducing noise trading and accelerating the information to integrate into stock price. However, short selling function is weak because of the serious imbalance of margin trading business. We should guide investors to make a habit to do short selling. Improve the securities refinancing system, extend the business fund supplement and underlying securities range to active margin purchasing and short selling. |
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