Research On The Effect Of Short Selling Mechanism On The Pricing Efficiency Of China's Stock

Is one of China's securities market volatility in 2015 years,this year the market has experienced from mad cow to crazy bear huge changes.Several times of "crash" short selling to the forefront of public opinion,on short-selling mechanism of academic debate has never stopped.The introduction of new short selling mechanism can play a positive effect? Limit short selling after the "crash" whether can have the effect of stable market,or have the opposite effect? Different market environment,the influence of the short selling mechanism on the stock pricing efficiency will be different?In this paper,starting from the related literature review,reviewed the main mode of short selling,margin trading in our country are analyzed and the development status of stock index futures and the existing problems.In this paper,we study the time from March 2009 to June 2016,the market has experienced several times of transformation of callable bull/bear contracts.the choice of all previous margin expansion on a total of 228 small and medium-sized board and gem stocks as a group,At the same time,the group of 90 blue-chip stocks in the initial launch of margin trading were compared.on this basis,this paper USES the panel data regression model and event analysis research methods such as empirical study,the results show that:(1)the introduction of margin trading mechanism significantly improved the pricing efficiency of underlying samples.(2)the margin targets in pricing efficiency again after stock index futures trading mechanism.(3)There has been no significant change in pricing efficiency since the big blue chips joined short selling.(4)the limitation of short sample pricing efficiency significantly reduced after the mark.(5)the short selling mechanism under different market status of different effects on stock pricing efficiency.Through the above conclusion is put forward :(1)the margin trading and stock index futures,launch and improve all of them is beneficial to promote the efficiency of stock pricing,should continue to improve the short selling mechanism,reduce the short-selling constraint;(2)The improvement and innovation of short selling should be focused.(3)according to different market conditions shorting mechanism of stock pricing efficiency of different influence,should keep and "pressure" in short selling,positive policy of "discretion".(4)strengthen the investor education and guide public opinion.