The Search Of The Influence Of Margin Trading On The Pricing Efficiency Of Stocks In A Share Market

It has been nearly 7 years since securities margin trading was launched in China in 2010.More and more investors have opened credit accounts to take part in the margin trading.But the majority of ordinary investors maybe still don't understand the basic characteristics and development mode of margin trading,and the purpose of starting this regulation.Can the regulation of margin trading help improve the pricing efficiency of stocks in our country?This article will carry out the relevant research.First,This article introduces the background and significance of the research,and introduces the related research on this problem at home and abroad.Then the article introduces some basic concepts and characteristics and the present development situation of margin trading,and discusses how the regulation of margin trading influences the pricing efficiency of stocks.Then I select the sample data,and divide the data into three parts according to the Shanghai?Shenzhen Motherboard,SME Board and Growth Enterprises Board.Then use the difference in difference model(DID model)to complete the study,and come to the conclusions as follows:(1)Overall,the improvement of margin trading bringing to the pricing efficiency of stocks is not obvious.From the four indicators we can see,the two indicators of R2-and R2 is not significant,which indicates that the regulation of margin trading doesn't improve the reaction of negative information.And the two indicators of ?-and ? is partly significant,which indicates the regulation of margin trading indeed improve the responsiveness to information,and this change is indeed related with the regulation of margin trading.(2)The three indicators-standard deviation,skewness and kurtosis-to measure the distribution of stock yield is also not significant.And this phenomenon illustrates that the development of margin trading has only played a positive role to some stocks,but not to all.(3)From the results we can see,the regulation of margin trading influences on the pricing efficiency of stocks in Shenzhen Motherboard more strongly than which in Shanghai Motherboard,SME Board and Growth Enterprises Board.The conclusion also suggests investors that the stocks in Shenzhen Motherboard may have more investment value.(4)Due to the "lameter" phenomenon of our country's current margin trading development,the scale of securities loan is too small and it can not richly play a positive role to improving the pricing efficiency of stocks,so it is understandable that the effect of the margin trading is still different from the expected.In order to solve the problems above,the article puts forward some suggestions from three angles of the regulator,the securities company and the investor,and points out the direction and problems which should be further studied and explored.