| In China,stocks were basically rising or dropping simultaneously during the development of the stock market.Referring to foreign mature capital markets,we could tell that a complete short-selling mechanism could improve the characteristic informativeness level in stock prices and decrease the synchronicity among them.In the year of 2010,the margin trading mechanism was officially introduced into China stock market,aiming to break the unilateral structure of the market,stimulate transactions,integrate the information of both sides,improve the stock price informativeness and the pricing efficiency.However,the transaction volumes of shortselling and margin-trading differ badly.Since the test of margin trading system began,the margin balance had been no more than 5% of the financing balance.Therefore,did the extremely imbalanced structure of margin trading market negatively impact the outcome of implementing the margin trading mechanism? As the short-selling had an absolute advantage over the margin-trading,what was the difference between the influence of the short-selling and the margin-trading on the stock price informativeness? Would the good news be overly-magnified by the absolute advantage of the short-selling pathway? Would the comparatively weak margin-trading pathway impede the revelation of the bad news?Based on the analysis of the stock price synchronicity,this article focused on the impact of the margin trading mechanism on the stock price informativeness.This impact was studied from three aspects.First,the influence of the short-selling and margin-trading implementation on the stock price informativeness.Second,the differential influences of the short-selling and the margin-trading on the stock price informativeness.Third,while the industry and the market boosted by bull news or depressed by bear news,the impact of the margin trading system on the stock price informativeness.As for the study methods,this essay firstly conducted the empirical test on the policy effect of the short-selling and margin-trading system by double differential fixed effect model(DID-FE)according to the daily prices of A-share listed companies in China from 2007 to 2017;Secondly,it introduced actual transaction scale of the short-selling and margin-trading to conduct quantitative differentiation and comparative test on the differential influence of the short-selling and the margintrading on the stock price synchronicity;Thirdly,through building conditional stock price synchronicity indexes,it comparatively tested the margin trading mechanism on the stock price synchronicity when the industry and the market were shocked by bull news or bear news;lastly,it utilized robustness test through the propensity score matching(PSM)method and sample regression method,with Shanghai and Shenzhen 300 Index constituent stocks as samples,in order to eliminate the samplechoosing deviation that might existed in the foregoing studies and potential influences of stock index futures on the final conclusion.Through the above empirical test,this essay indicated that generally,the margin trading system in China remarkably improved the stock price synchronicity and weakened the stock informativeness.The short-selling transaction barely had no influence over the stock informativeness,while the margin-trading transaction significantly weakened the stock price informativeness.And the negative effect of the margin-trading transaction took absolute advantage,which led to the increase of the stock price synchronicity under the policy effect of the margin trading system.The imbalance in the transaction structure of the short-selling and margin-trading market prevented the short-selling and the margin-trading from functioning properly in the capital market.Besides,the influence of the margin trading system on the stock price informativeness became bigger under the bull news.When the industry and the market were in upturn,there existed the “over-magnification” of the bull news along with the increase of financing volume,which further lowered a company's characteristics informativeness in its stock price.In conclusion,this essay proposed four policy suggestions,expanding the range of the underlying stocks,improving refinancing mechanism,implementing differentiated dynamic transaction mechanism and strengthening the education for investors,in order to promote the healthy and balanced development of financing and margin business and upgrade the market information efficiency. |
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