| As the basis of an important trading system, margin trading has become an indispensable part of the mature securities markets in the world. Margin trading mechanism was introduced in 2010 in China, with the transfer Margin trading business carrying out and expansion of underlying stocks, margin trading scale increased significantly, the price efficiency of the market is becoming more and more big, the influence of short-selling and margin trading on the price efficiency for stocks also gradually become the focus of academic and practical circles. For the further study of this subject can provide some academic value and realistic significance.On the concrete research methods, this article design the index of price efficiency and time window then pick up the underlying stocks and not the underlying stocks from the stocks of 800 index. Using statistical description method to study the change of price efficiency which before and after the introduction of margin trading. All samples are grouped by different structure factors, using the Difference-in-difference model to study the overall sample, grouping sample respectively net impact on price efficiency for the underlying stocks. Finally, from the Angle of the margin trading itself to study how is the margin trading size impact on price efficiency for the underlying stocks. In empirical work, using the time series and panel data analysis to mutual authentication, from proxy variable of price efficiency and scale of margin trading itself to study how the margin trading impact on the price efficiency for underlying stocks is the biggest innovation in this paper, the influence of the place.The main conclusions of this paper are as follows:In the whole sample analysis, margin trading reaction really improves the price efficiency of stock prices in the aspect of the degree of information, and on stock return distributions index, margin trading increases individual stocks volatility and inflation risk, but effectively controls the risk of a crash, eventually has the effect of one-way booster, one-way buffer. In general, margin trading improves price informativeness, the underlying stocks of price efficiency have improved, and the stock return distribution has not been improved significantly. In the grouping samples analysis, margin trading has the structural impact on the underlying group stocks, reflected in the improving of the grouping samples of price informativeness, improved the stock price efficiency of the different structure, on the return distribution has not improved, more is exacerbated by individual stocks volatility and inflation risk, to reduce the risk of collapse, but to the peak fat-tailed and stock of high price phenomenon has no significant influence. From the sample of the underlying stocks of panel data analysis, with the increase of scale of margin trading, the price informativeness of the underlying stocks increases and the price efficiency improves, however, lower risk in slump at the same time, it increases the individual stocks volatility and inflation risk. |
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