The Analysis Of The Margin Trading's Effect On The Stock Price Informativeness

It has been five years since the margin became a part of the Chinese stock market when It started on March 3,2010.In the five years,the margin target stocks expended from the initial 90 to 915.The margin target stocks has occupied 1/3 of all the stock market.At the same time,the margin is also increasing and playing an more important role.Theoretically,as an important security trading mechanism.It has the characteristic of leveraged trading and short selling.It can enhance the sotck market liquidity and reduce market volatility.It also can increase the informativeness of information that means the more efficiencient capital allocation which makes the market more effective.From a theoretical perspective,the rapid development of the securities lending and borrowing reduces the short-selling constraint in China.It should increase liquidity,reduce the volatility,increase the stock price informativeness,improve the efficiency of the stock market in our county.Also a large number of foreign literature from the perspective of empirical find that margin indeed reduce the buying constraints,increase the informativeness of stock price information which represents the market efficiency.But there are also some foreign scholars which believe that in the different stages of the securities market,reducing the short selling mechanism does not always improve the efficiency of stock pricing.It could lead to higher price volatility.Especially in the domestic scholars about chinese share market margin,the empirical tests don't receive the concluton that margin increase stock pricing efficiency.In this paper,the research is mainly divided into two aspects of theory and practice.In the aspect of theory analysis,first of all,margin carried on the detailed introduction.The paper analyzes the theory,the margin trading mode and the related theory of stock price informativeness.On the basis of the theory,the paper use the stock synchronicity as a measure of stock price informativeness.The papre use the third and fourth expansion to analyse.The time used is the first six months and later six months of the beginning time as the time window.I make comparative analysis on the experimental group and the control group,respectively,and discusse when the target stocks become the margin target that can lead to the short-selling constraint relaxation,the condition can increase stock price information informativeness or not.In this paper,first use t test and wilcoxon test to analyze,then use DID model to make further analyss about the relationship between margin and stock price informativeness.The following conclusions are drawn:(1)margin did not increases stock price informativeness,instead reduces the share price information informativeness.The analysis of the twice expansion show the same result,but the twice results are not significant.The papre use grouping DID model The results finds that margin indeed produces a structural impact on the underlying stocks.In the rising cycle,margin can significantly reduces the price information informativeness of the poorer group,lower price,lower turnover rate and higher equity group.Then use rising share prices as a virtual variable for the fourth time scale to analyze,I find that when in the rising cycle,the price information informativeness is rising,but the margin extension reduces the price information informativeness.Finally based on the results of empirical analysis,this paper puts forward some suggestions to perfect the mechanism of margin trading in our country.The suggestions can try to reduce the negative effects by the securities margin.The proposals include that decrease the expansion as far as possible in a bull market,adopts the system of "T + 0 transaction,try to increase the expansionof high,and high price,high turnover rate and low equity stock,such as increasing the expansion of GEM as soon as possible.