| China has launched a pilot of margin trading in March 2010,changing the current status of Chinese stock market,which is the investor can only get profit form the increase of stock price.As the theoretical research shows that the short selling mechanism provides the opportunity to reflect market pessimistic investors views,so that the negative information can be timely into the stock price,to improve the market pricing efficiency(such as Li Ke,Xu Longbing and Zhu Weihua,2014;Chang,Luo and Ren,2014),to reduce stock market volatility(such as Xiao Hao and Kong Aiguo,2014;Chen Haiqiang and Fan Yunfei,2015).However,since the introduction of short selling mechanism in China,only 1 year and 3 months from November 2014 to January 2016,the Shanghai Composite Index soared from 2486 points on November 21 in 2014 to 5178 points on June 12 in 2015,then followed and experienced three times of the disaster.In this regard,the people who worked in market generally believe that the market volatility is mainly due to the impact of leveraged transactions,financing transactions provide a lever for the speculators,to enlarge its speculative trading behavior.But we should notice that,on one side,it's just a few years as the margin trading business carry out in China,with the professional and financial requirements,institutional investors occupy a large proportion.Different from the general investors,institutional investors have more information channels,and more likely to obtain internal information,on the other side,the disclosure of Earnings announcements' quality is not high in China,there may be the advance leak of information.It is important to note that the leverage effect of margin trading and the bilateral trading mechanism also provide opportunistic opportunities for traders with insider information.If informed traders have good information,they will buy stock ahead of the information disclosed,if they advance notice of bad information then they will sell the stock,and thus earn excess returns.Based on this,in order to explore the trading behavior and trading motive of the trader,this paper uses the annual report of the Company on the A-share market as the research object,using the Wind database 2010-2015 margin trading data,using the event Research method,multiple regression analysis method,whether there were abnormal margin transactions and whether there was an informed transaction in the 5 days,10 days and 15 days before the publication of the annual report(as the earnings announcement period),after the publication of the earnings announcement,investors will analyze and invest or not based on public information.The results of the study found that during the earnings announcement period,margin trading volume and total transaction volume gradually increased and reached the maximum on the day of the announcement date,and then declined;compared to non-earnings announcement period(before the release of the annual report to remove the surplus The time window during the announcement period),there is an abnormal margin transaction during the earnings announcement,and this anomaly still exists in view of the effect of the trading volume.Furthermore,in the study of its trading motives,it was found that investors will conduct a fundamental analysis of the company based on the published financial data on the market during the non-earnings announcement and proceed with the investment activities,and during the earnings announcement and the earnings announcement The day of margin trading is only a speculative trading behavior.On the basis of previous research,this paper may have two innovations as follows:Firstly,we make a research on specific trading behavior and trading motivations of margin traders.The research on margin trading in our country is mainly from the perspective of macroscopic system,mainly to study effectiveness of the China's introduction of margin trading mechanism on the China's stock market,rarely involved the traders' specific trading behavior and motivations;secondly,we emphasizing the importance of studying financing transactions.A lot of the literatures study of the short trading behavior,but in China's capital market,the size of financing transactions is much larger than the size of margin transactions,mainly due to the high cost of hedging trading,shareholders do not want to lend securities and other reasons,making difficult to margin trading,this article has more practical significance when we focuses on the study of China's investor financing transactions.However,two shortcomings are as follows in this paper:Firstly,the study of investor transactions in the process did not take into account the impact of transaction costs.China's A-share market has been more stringent margin trading restrictions,coupled with the existence of transaction costs and account capital threshold restrictions,will limit some investors to margin trading;secondly,because of China's information disclosure system is not perfect,institutional investors have a certain information advantage relative to the general investors,results to reduced the quality of the earnings announcement information and may have an impact on the relevant results. |
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