Research On The Impact Of Margin Financing And Securities Lending On The Excess Return Rate Of Stocks In The Small And Medium-sized Board Market

To September 31,2017,the number of securities in the small and medium enterprise board has reached 187,and nearly 21% of stocks in the small and medium enterprise board have been included in the scope of margin trading.The margin trading transactions have become the basis for the small and medium enterprise board's an important part of the system.In this paper,under the premise that the small and medium enterprise board is not fully effective,from the perspective of investors,the paper studies the impact of the multi-air force game embodied in the margin trading on the small and medium enterprise board against the excess returns of the underlying securities,and makes the difference between the variable financing and short selling margin.Increment is taken as an explanatory variable,which is used to represent the size of the multi-power increase value of margin financing and trading,and empirical data is applied to the panel data regression.Through the research,this article draws the following conclusions: First,the increase in the short-term financing and short selling margin of the underlying securities of the small and medium enterprise board has a positive and significant effect on the current excess return rate,indicating that credit account investors can obtain excess returns through margin financing and short selling.rate.Second,the increase in the balance of financing and short selling margins lags behind by a significant negative effect on the excess return rate,indicating that the historical data on the increase in margin for financing and short selling may provide investors with reference value for investing in stocks.Third,under the different operating trends of the small and medium enterprise board,the increase in the margin of margin financing and shortselling has a very significant impact on the excess return rate,and all of them are positive correlations,which indicates that the increase in margin financing and short selling The positive impact on excess returns is ubiquitous.This article combines the research conclusions with the following recommendations for investors who focus on stocks' monthly returns and invest in the securities of small and mediumsized stock market financing and subject-marrowing securities: First,if investors intend to obtain excess returns through margin financing and short-selling,then select the small and medium-sized board margin trading market for investment.Will be a valid choice.Secondly,for those investors who pay attention to monthly earnings,the increase in the margin for financing and securities lending for the previous month can be used as an important reference value for stock selection.If the margin of margin trading in the previous month of the underlying securities is negative,If the absolute value is relatively large,then the stock price of the underlying stock is more likely to rise in the current month,and the probability that the investor buys the underlying stock to obtain the excess return in the month is even greater.Finally,according to the segmented regression results of the small and medium enterprise board under different operating trends,the increase in the short-selling margin when the volatility rises has a greater impact on the excess returns of individual stocks,indicating a more stable performance in the small and medium enterprise board.Next,the excess return rate obtained through margin trading will be more stable and the risk will be relatively smaller.