Research On The Influences Of Margin Trading On The Content Of Stock Price Information

As one of the most important securities trading mechanisms in today's global stock markets,margin trading has been running for many years in mature stock markets such as Europe and North America.In fact,margin trading as a means of increasing transactions and increasing market flexibility,when investors lack sufficient funds or securities to buy and sell,they may lend the remaining funds or securities from securities companies under the condition of providing a certain proportion of collateral or margin to help investors complete the transaction of securities trading.Margin trading has improved the basic functions of price discovery and resource allocation in the securities market,and thus became a crucial part of the operation of the developed capitalist securities markets in the West.As the largest emerging market country in the world,China's securities market started relatively late,and its long-term short selling constraint has not opened its market for margin trading until March 31,2010.After that,as the number and scope of the underlying securities subject to margin lending were greatly raised,restrictions on short selling were further alleviated.Theoretically speaking,the "information-stock price" transmission route is bound to play a significant role Improve stock information content,so as to achieve the purpose of improving market pricing efficiency.Therefore,whether the introduction of margin trading business generally improves the stock information content of the underlying stocks in Shanghai and Shenzhen stock markets is the core issue to be studied in this article.Empirical regression of the whole sample and the sample data using the difference-in-difference model shows that the development of the margin financing and securities lending business in our country seems to exacerbate the "same rise" of the stock market in Shanghai and Shenzhen Stock Exchanges,but significantly slow down the"common stock down" of the stock,So the stock price on the market positive and negative response and absorption of information is not symmetrical.However,from the overall effect,the introduction of margin trading did not significantly improve the stock price information content,and even seems to reduce the overall share price information content.In addition,by analyzing the stock according to whether they are A + H shares,total market capitalization,turnover ratio.PE level and PB level,we also find that the impact of the margin trading business on the share price information of these five specific types of stocks is not very clear.However,the overall stock price information content of the underlying stocks seems to have declined,which is basically consistent with the regression results of the entire sample.On the one hand,this may be because the scale of financing of the stock market in our country is much larger than the size of the securities lending.Therefore,it is difficult for the share price information of the short selling to have a significant impact on the overall stock price information content.On the other hand it may be speculative investors in China stock market is very popular,so irrational speculation leads to a decrease in the stock price the information content.