| Securities margin trading is one of the most important trading system of securities market,which has been active in foreign developed countries,it accelerates the price discovery in capital market,also is the important foundation of securities market play a basic functions.Since the stock market was founded in 1990,the capital market has been "Unilateral Market" for a long time,until the securities margin trading business was launched on March 31,2010,Chinese stock market has entered the age of short selling.Securities margin trading maked the"Experiment,Promoting",by the end of 2015,margin target pool is from 90 stocks to 889 stocks(picking fund securities mark),the total amount of margin trading from 0 to more than 14869 one hundred million yuan,no matter whether the margin target pool or the total amount of margin trading,securities margin trading on the impact of the stock market in China are increasing.At this moment,it is very important to know how securities margin trading influence the stock market of our country,this problem has become the focus of securities regulators and investors,of course studying this problem undoubtedly has important academic value and practical significance.Based on re-understanding the Miller(1977)"Overvalued stock price theory"and heterogeneous beliefs of investors,this paper studies securities margin trading's influence on pricing efficiency of stock market.First of all,our samples are Chinese A stocks,the frequency data is by day,according to Hou and Moskowitz(2005)method to build lag regression model calculating lagging indicator to measure the indirect index of the stock price reaction to new information speed,referencing Bris et al.(2007)method to calculate lag issue of correlation coefficient to get stocks and market pricing efficiency index.Then,we used to calculate the pricing efficiency of index data and related variables,control variables that may affect stock pricing efficiency and use the unbalanced panel regression model,research influance between securities margin trading and stock pricing efficiency.Third,according to the trend of the stock market,we segmentate the relatively stable period,big bull market and bear market,empirically study influence between securities margin trading and stock pricing efficiency under the different market situation respectively from the horizontal and vertical two aspects,that is to say,empirically research the influence of stocks to entering and exiting the margin target poll.Finally,using difference-in-difference model make robustness test.The study found that:First,the securities margin trading improve the pricing efficiency of stock during the sample period,but compared with existing literature,this paper get less affected;Second,further discuss the influence between securities margin trading and stock pricing efficiency when the stock market during the stable period,big bull market,bear market,it is concluded that the securities margin trading can significantly enhance pricing efficiency of stock market during the sample period,and during the great bull market and bear market the securities margin trading did not significantly enhance pricing efficiency of stock market;Third,we discuss that stocks entering the securities margin target pool events and stocks exiting margin target pool events by longitudinal perspective,study influence between events and pricing efficiency of stock market,it is concluded that stocks entering margin target pool events will help to promote the pricing efficiency of stocks,and stocks exiting margin target pool reduce the pricing efficiency of stocks.Finally through the difference-in-difference model make robustness test,we found that the result is the same besides at the beginning of the margin trading implementation effect is not obvious.Innovation points of this article is:(1)the selected samples is comprehensive,which not only includes Chinese bull stock market in 2014,but also contains stock market crash in the third quarter of 2015.In particular,this paper studies securities margin trading's influence on pricing efficiency of stock market when the stock market in different market situation.(2)we empirically studies the change of the pricing efficiency when stocks entering and exiting the margin trading target pool from two aspects:by horizontal and vertical,so that we can have a deeper understanding of securities margin trading's influence on pricing efficiency of stock market in China.(3)In internal mechanism and conduction process analysis of influence between the securities margin trading and stock pricing efficiency,we fistly consider effect between the securities margin trading and company's performance.(4)according to the existing literature,trying to use multiple reflect different aspects of pricing efficiency indicators,to explore whether influence between stock pricing efficiency and securities margin trading is robustness. |
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