| March 31,2010,Chinese capital market official pilot securities margin-trading and short-selling business.As a combination of margin-trading and short-selling of trading mechanisms,securities margin trading has catch widely attention since its launch.With the gradual promotion of securities margin-trading and short-selling,our financing market shows increasing number of pilot stocks and enlarge trends of trading volumes,securities margin trading has become an important part of Chinese capital market,it has a great significance to study the impact of margin-trading and short-selling on Chinese capital market.Based on the margin-trading and short-selling system formed by natural experiment environment launched on March 2010,from the perspective of market information,use the earnings forecast data of management and analyst in Chinese Ashare listed companies from 2009 to 2014,this paper analysis the effect of securities margin trading on Chinese capital market efficiency and the effect mechanism.By comparing the pilot firms and others,and adding margin is the subject of the firm’s stock before and after the disclosure of a firm’s management quality as well as analysts’ earnings forecasts for the firm’s behavior differences between,we found that the introduction of margin trading system effectively improve information efficiency of Chinese capital market.The results show that:(1)compared to the others,the pilot firms have higher information disclosure quality,that is less forecast error,longer horizon of forecast and higher probability of voluntary disclosure and bad news disclosure,meanwhile,and after the firm stock joined the pilot list,compared to pre-accession,forecast errors of the performance from the company’s management decreased significantly,performance notice prolonged,also the percentage of voluntary disclosure announcements and voluntarily disclosing bad news increased.(2)compared to the others,analysts have lower forecast errors and dispersion for pilot firms’ earnings forecasts;meanwhile,after company stock joined the pilot list,compared to preaccession,the profit forecasts for its errors and dispersion from analysts are significantly reduced.(3)the improvement of management performance’s quality helps to improve the quality of analysts ’ earnings forecasts,through improving the quality of information disclosure of management,the margin trading system on the behavior of analysts earnings forecast effect can be achieved,the management information disclosure quality played an intermediary role in this process.Finally,we summarized some policy suggestions about effective use of securities margin trading to improve the efficiency based on our research results and considering the actual situation of Chinese capital market.Regulators should be on the premise of system specification to take further measures to reduce the margin trading barriers and transaction costs,gradually increasing the number of underlying shares,expanding the scope of financing business,maximizing the margin trading market. |
PDF Full Text Request