The Effect Of Margin Finance On Stock Pricing Efficiency

Margin trading mechanism is an indispensable and important trading system in a mature securities market,flexible investment means that the liquidity of the securities market is stronger and the asset pricing efficiency is higher.China's introduction of margin trading system for nearly seven years,during the margin trading the underlying stock has experienced four times of expansion and refinancing mechanism officially began operation,are that the margin trading mechanism in the development of gradually perfect,but in China's securities market is not mature and the relevant regulatory mechanism is not perfect under the background of financing margin trading on stock pricing efficiency and will have a real impact on how,and whether the margin trading through the impact on investor sentiment,which further influence the efficiency of the stock price,the research of these problems has certain reference value for the improvement of China's securities market.This paper is divided into three steps: the first step,were selected into the subject of the transaction of stock as the experimental group,non target stock as control group,using double difference model research,after eliminating the influence of system factors,the net effect of margin trading on stock pricing efficiency is how;the second step,from the perspective of behavioral finance,will affect investor sentiment into account,using principal component analysis method and the selection of margin trading index index is constructed as a source of investor sentiment index,to test whether investor sentiment significantly affected by the margin;the third step,the investor sentiment and stock pricing efficiency do simple regression analysis,whether investor sentiment has potential influence in the margin behind.Research conclusion of this paper are: margin trading significantly increased the rate and degree of negative information to the market to absorb,but did not improve stock pricing efficiency of whole,shares positive information to the market absorption of no significant change.Meanwhile,margin trading has increased the volatility of individual stocks,although the risk of a surge in individual stocks has risen,but the risk of a slump has been contained.Current our country margin trading mechanism remains to be perfect,also appeared in the process of development of the two trade imbalance problem,the resulting market overall present a financing deal help of investor optimism rise;Investor sentiment significantly reduced the pricing efficiency of stocks as the index of margin trading was built as a source indicator.