Margin Trading And The Pricing Efficiency Of ETF Market

Lots of qualified investors participate in the margin trading in the financial market actively after the margin trading started in China on March 31,2010.As a mechanism innovation,margin trading has ended the history that there is no selling mechanism for more than 20 years in China.At present,the margin trading has been considered to be an integral part of the market because of the liquidity and the price discovery function.However,in practicely,people always doubt whether the margin trading can improve the market pricing considered the leverage effect of margin trading in different finance market.Compared with literatures on the underlying stock pricing efficiency,the ETF market pricing efficiency research is fewer.So this paper will study on the margin trading how to influence the ETF market pricing efficiency.This paper is based on the regression model of ZhangZheng(2012),which explores the shock information from stock price limits and suspension how to influence the ETF pricing efficiency,and has designed some new models combining margin trading.In the newly established regression models,this paper not only explores shock information from stock price limits and suspension how to influence the ETF pricing efficiency,but also explores margin trading itself as a new shock information how to influence the ETF pricing efficiency when there is margin trading or not.This paper uses the SME board ETF(159902.SZ)as the main sample and the Chinese SSE 50 ETF(510050.SH)and Shenzhen100 ETF(159901.SZ)as the comparative samples.And the observe interval is from 2007 to 2015.Through the data collation and empirical regression statistics from these samples,this paper has explored the shock information how to influence the ETF pricing efficiency in the different finance market when there is margin trading or not.Firstly,I make descriptive statistics for the market pricing efficiency index and shock information indexes of SME ETF,finding there are great differences in different time segment at the SME ETF market.Then,I explore the shock information--the good information from stock price limits,the bad information from stock price limits,he good information from stock suspension,the bad information from stock suspension and margin trading itself as a new shock information how to influence the SME ETF pricing efficiency when there is margin trading or not.The empirical results documented that:The margin trading has improved SME ETF pricing efficiency during the market is no active volatility,while when market is activity volatility,margin trading has reduced SME ETF pricing efficiency.At last,through a comparative study of the motherboard market I have found that the effect of margin trading on the ETF pricing efficiency of the small board and motherboard is different.,when there is large scale of investment in the market,margin trading has played a stabilizing role which has reduced the ETF market price discount(or premium),improving ETF pricing efficiency;when there is small scale of investment,the margin trading has reduced the ETF market price discount(or premium),improving ETF pricing efficiency during the market is no active volatility,while when market is activity volatility,margin trading has urged the ETF market volatility and increased ETF market price discount(or premium),reducing ETF pricing efficiency.