Research On The Impact Of Margin Financing And Securities Lending On The Efficiency Of ETF Pricing In China

The introduction of the margin financing and securities lending system marks the transition of China's securities market from a unilateral market to an era with bilateral trading mechanisms.As an important institutional innovation in the financial market,margin trading and securities lending bring a brand new trading model,which facilitates investors to avoid risks and speculative profits when the market falls,but its leverage effect may also exacerbate stock market fluctuations.ETF fund is a special type of open-end fund that can be listed and traded on the exchange.It combines the operating characteristics of closed-end funds and open-end funds,and has a unique purchase and redemption mechanism.Therefore,compared with other securities products,ETF funds have higher pricing efficiency.So what happens when the ETF encounters margin financing and securities lending? Can financing help to further improve the pricing efficiency of the ETF?This paper first sorts out the existing literature on related aspects,and concludes that in the related research,the research results differ greatly because of the differences in the theories,empirical models and sample data used by scholars.The impact of pricing efficiency has not yet been conclusively determined.Secondly,this article introduces the concepts related to margin financing and ETFs and their development in China.Subsequently,this article focuses on analyzing the ETF arbitrage mode and the ETF arbitrage mode under the margin financing and securities lending mechanism,and comparing the similarities and differences in transaction costs between the two.It is found that the latter has lower transaction costs.Reduced arbitrage costs and helped improve the pricing efficiency of ETF funds.Finally,according to the domestic ETF financing and margin trading situation,this paper constructs a processing group and a control group,and establishes a DID model for empirical testing.The empirical results are as follows:(1)Margin financing and securities trading does indeed improve the pricing efficiency of ETF funds.Facilitating effect,and this effect is enhanced with the expansion of the scale of the financial integration of the underlying ETF.(2)The effect of margin financing and securities lending on improving thepricing efficiency of ETFs is not only reflected in the stable operation period of the stock market,but also during periods of severe stock market fluctuations.In the event of a stock market disaster,restricting margin financing and securities lending transactions will damage the pricing efficiency of ETFs.In response to the above results,this paper proposes the following recommendations:continue to further promote the margin financing and margin trading policy,gradually lower the threshold,increase the number of target ETFs,and improve the margin financing and margin trading system to guide the balanced development of margin financing and margin trading;strengthen education for investors,Guide investors to invest rationally;further improve the market supervision system and focus on risk prevention.