| In March 2010,the margin trading system was officially launched,which creatively combined the financing and securities lending transactions,aimed at activating the trading market through financing as well as maintaining the trading price stability through short sale,thus improving the efficiency of capital market.After enlargement of experimental unit in different categories,the scale of the margin trading business expanded rapidly.However,in 2014 and 2015,the domestic stock market turned out to crash severely.It was discussed hotly in practice whether the margin mechanism played a role in stabilizing the stock market.Due to the pilot transaction shared a short time,the relevant empirical research was limited,moreover it stayed unified on the relationship between margin trading and stock crash.Based on this,this paper chose domestic listed companies between 2006 and 2016 as the sample data,and used the double difference model to explore the impact of margin trading system on the stock price crash risk.After reviewing the research on the crash risk and margin trading as well as their relationship at home and abroad,this paper put forward the hypothesis that the margin system would deteriorate or suppress the stock price crash risk,and furthermore,discussed the impact of financing transactions and margin trading on the stock crash.Since the domestic financial system was implemented step by step by the way of the pilot,there were five adjustments on the trading unit,the effect of each expansion was expected to be different.Therefore our paper discussed the market effects of margin trading in the previous expansion by different periods and batches.Finally,the paper explored how the noise trading,refinancing policy and corporate earnings management behavior moderated the relationship between margin trading and price collapse.Additionally,longer forecast window was adapted to fully investigate the margin trading system's long-term impact on the extreme events of stock crash.The empirical results showed that:(1)the margin trading system worsened the stock price crash risk next year.Specifically,financing transactions increased the stock crash risk while securities transactions helped to reduce the risk of collapse.As the financing transaction size far exceeded that of securities transaction,the stock price crash risk eventually rose;(2)in the initial stage of margin trading,the effect of margin trading on the stock price crash risk was not significant,but with the enlargement of experimental unit,it turned to be distinct;(3)noise trading behavior and refinancing business opening,rather than the earnings management behavior,strengthen the positive relationship between margin financing and stock crash risk;(4)in the longer term the margin trading system helps to suppress the stock collapse tendency,mainly because the financing transactions promoted the stock price crash risk prominently in the early stages,but with the release of stock price crash risk,the down-regulation of short sale returned to power.Finally,according to the conclusions,this paper put forward several policy recommendations,including reducing the cost of financial interest,adjusting the margin target range and the threshold of investors,improving the supporting system as well strengthening the investors' awareness. |
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