Short Selling Limit And Trading Duration

Market microstructure theory is one of the important research fields of modern finance.The important role of information in price decision is the important viewpoint of market microstructure theory.With the continuous innovation of financial research and the continuous promotion of the Internet wave,the microscopic information of the transaction process has attracted more and more attention to the influence of investor behavior.A series of studies show that the trading duration plays an important role in the discovery of market prices,which largely reveals the behavior characteristics of market traders.In 2010,China launched a margin business,ending the market pattern of unilateral cities.This paper compares and analyzes the trading duration between the stock of non-financing margin and the stock of financing margin,so as to study the relationship between short selling limit and trading duration.In 1998,Engle and Russell presented ACD model for analyz ing the information content of the trading duration.This paper chooses to take the trading duration as the research basis,focusing on exploring the relationship between the informed transaction and the trading duration under the restriction of short selling,and trying to reveal the microscopic information meaning of the duration of the transaction.The concrete research unfolds from both theoretical and empirical parts: ⑴ On the theoretical level,by combing and summarizing the main rese arch results of the microstructure of financial market,three microscopic structure hypotheses are compiled,which constitutes the theoretical model of this paper.⑵On the empirical level,taking into account the impact of China’s margin financing system,this paper selects financing margin(no short selling limit)and non-financing margin(with short selling limit)as the research sample from financial Board.Adding alternat ive variables of market news to the basic framework of ACD model to explore the relationship between informed trading and transaction continuity.The trading duration is added to the basic framework of the UHF-GARCH model,which is intended to reveal the effect of the duration of the transaction on the rate of return and volatility,with a view to revealing the continuous microscopic information content of the transaction.By comparing the differences of model results between the financing margin and the non-financing margin,the following conclusions can be obtained: ⑴The trading duration model can explain the investor behavior well,and there is the phenomenon of trading duration aggregation in China’s stock market;⑵For the financing margin,whether good news or bad news will lead to a short transaction duration;For the non-financing margin,the good news indicates the short transaction duration,the bad news indicates the long transaction duration;⑶The impact of information events on the trading duration is asymmetric,and the impact of good news is relatively greater;⑷ The short trading duration is negatively correlated with the yield of the non-financing margin,and the yield of the margin is not significant;Long trading duration is accompanied by low volatility,heralding a possible lack of news in the market.