Research On Information Content Of Margin Trading In China's Stock Market

In March 31,2010,financing margin,as an important financial innovation tool in our country,was introduced in the capital market,which made the A stock market of our country end the unilateral transaction environment for many years,which is an event that can not be ignored in the history of China's securities market.As of May 10,2018,the pilot of margin financing has been started for 8 years.During this period,the scope of securities margin is expanding,and the standard securities have expanded from 90 to 944.The total amount of margin trading has also increased to 988 billion 700 million yuan,and the peak of the period has reached over 2 trillion yuan.Large scale.Margin trading has undoubtedly become an important investment tool in China's securities market.In this paper,the main content of this study is about the specific volatility of stock exchange information on stock price within half a year after the underlying securities are included in the margin range.If the specific fluctuations are caused,the information content of the stock price is significant.In this paper,we select the standard securities of the fourth financing margin expansion in September 22,2014 as the sample range,and select a certain number of data,and finally select 154 stocks in the Shanghai and Shenzhen two cities as the research samples.First,we take the idea of event research,take the abnormal return rate and the cumulative abnormal return rate as the main research method of information content,and carry out an empirical study on the information content of the sample data.At the same time,this paper takes the cumulative abnormal return rate as the dependent variable.The specific indexes of financing margin information include financing balance,financing buying amount,margin balance,margin selling amount and margin balance as independent variables,and the regression equation is constructed,and the information content of the specific index of financing margin credit is further analyzed.The results show that in the half a year after September 22,2014,the margin information has significant information content,which has played a lower role in the overestimation of the stock price,and has played a role in promoting the stability of the market to a certain extent.In the specific indicators of margin trading,the information content of financing balance,financing purchase amount and margin margin is relatively more significant.The information content of financing margin of Shanghai stock market,Shenzhen market and gem is significantly different in different market segments of China's securities market.Accordingly,this paper puts forward relevant policy recommendations.