The Study On The Impact Of Short-Shelling And Margin-Trading On The Price Efficiency For Underlying Stock

Margin trading in foreign market development early,to launch margin trading in our country until 2010,official pilot is on March 3,2010,a year later,in 2011 the relevant departments launched refinancing operations,so far our country has experienced five times in harmony,and a significant increase in margin trading scale,there have been a lot of have done related research literature,a lot of results show that the margin impact on Chinese stock market is more and more important,securities regulators and investors need to focus on,therefore,the study of the problem still has important academic value and practical significance.After consulted a large number of literature,this paper on the basis of relevant theories,first using the chart analysis of margin in our country the status quo,and then respectively in this paper,the margin trading and securities trading on the underlying stocks pricing efficiency,the influence mechanism.In the empirical part,first of all to filter the data descriptive statistical analysis,using the double difference model(DID)using the fifth enlargement of melt,the fourth expanding new equity research margin trading on the underlying stocks pricing efficiency and the effect of the last on the basis of a variety of standard after the grouping,pricing efficiency of stock index and yield distribution index for empirical research,analysis of the impact of margin trading on the stock pricing efficiency.The main conclusions of this paper are:First,on the fifth and fourth expanding found in the underlying stock analysis: with the development of margin trading and securities lending and borrowing business matures,margin trading on stock pricing efficiency has a tendency to continuously strengthen,but the margin trading increases the risk of shares tumbled,and to share price overvalued phenomenon did not improve.Second,found in the study of grouping samples: first of all,according to the turnover rate in different groups,margin of all shares(whether high turnover rate or DiHuan hand rate)in all affect the information reaction degree;Margin trading reduces stock volatility.Secondly,according to the price-earnings ratio group,margin trading can increase the information content of stock price;Margin financing reduces stock volatility.Finally according to whether containing H shares grouping,margin trading on the H shares of stock,in the aspect of improve the information degree of reaction and reaction speed have a significant impact,with H shares of stock can reduce volatility.According to the conclusions,we put forward the following Suggestions for margin after work: the securities regulatory agency under the premise of risk control,constantly expanding the scope of the securities lending and borrowing the underlying stocks,the lower the threshold of unsophisticated investors entering the securities lending and borrowing business,lower fees,increasing marketization refinancingscale of the business,to strengthen market supervision,to the margin trading market participants is optimized,and so on.