| On March 31,2010,our country's margin lending system began to be officially implemented.From now on,China's stock market will be able to make a profit by betting against a certain stock.To be specific,margin trading business is based on the premise that investors provide corresponding security to the securities company,and then investors can finance the purchase of stocks or stock financing and sell them.It takes a long time to prepare for the development of securities margin business.After several stages such as demonstration,test and pilot,it is now a regular business in the securities market.By the end of 2018,the balance of margin lending and short selling in China's stock market had reached 756.373 billion yuan.After six expansions,the number of margin lending and short selling targets in the a-share market has expanded to 1,600,with the market value of these targets accounting for more than 80% of the total market value.Therefore,margin trading in the secondary stock market is playing an increasingly important role.Traditional researches on stock prices focus on the hypothesis of market efficiency.They mainly focus on whether stock prices contain the information of the company's past and investors' future prediction.What's interesting is that studies over the years have shown that the information that the stock price reflects in the market gets passed on to the management of the company,and the management receives that information for better investment.This function of stock prices is called the feedback effect of the stock market on the real economy."Investment stock price sensitivity" refers to the sensitivity of investment expenditure to the company's own stock price,which is a direct manifestation of the feedback effect.Some scholars at home and abroad use the probability of informed trading and the non-synchronicity of stock price to measure the information content of stock price,and find that the higher the information content,the higher the sensitivity of investment to stock price.Other scholars took cross-listing as a shock variable and found that the investment-share price sensitivity increased after cross-listing.Theoretically,after the introduction of the margin trading system,margin trading can improve the function of price discovery,reduce market volatility and thefriction of stock information transmission,and improve the information content of stock price.Can margin trading affect the feedback effect of stock price on enterprise investment decision? What's the mechanism? What kind of enterprises in the inclusion of margin subject feedback effect will be significantly enhanced? Is this feedback effect positive or negative to the investment decision of the enterprise?In order to study the above problems,this paper selected data from 2006 to 2017,took margin lending and short selling as exogenous shock variable of stock price information content,and studied the influence of margin lending and short selling on the sensitivity of investment stock price.First of all,we found that there is indeed A feedback effect in China's a-share market,and the inclusion of listed companies' stocks in the margin index will enhance the sensitivity of investment price of listed companies.This conclusion after using tend to score model(PSM)matching,still show margin affect investment mechanism of price sensitive information exists,the implementation of the margin system enhances the investors collect private information and through arbitrage trading motives,has promoted the learn from stock company quality management information and change the investment decision.Then,this paper verifies that both the information content of stock price and management shareholding are important mechanisms for the impact of margin lending and short selling on enterprise investment.Secondly,further research found that the influence of margin lending and short selling on investment stock price sensitivity was more significant in state-owned enterprises and large enterprise samples,which verified the view of yu lifeng et al.(2014).In addition,it is found that the influence of corporate margin trading without dual ownership separation on investment stock price sensitivity is more significant,which strengthens the information hypothesis of margin trading and margin trading from the perspective of corporate governance.We find that margin lending and short selling have a moderating effect on the sensitivity of investment stock price only in companies that are more concerned by analysts,which indicates that analysts' tracking does increase the information content of stock price,but the role of this external information channel needs to be paid attention to and enhanced.Finally,we have tested that margin lending and short selling can indeed improve the investment efficiency of enterprises.Therefore,the information conveyed by the stock price changes will have a positive guiding effect on the investment decision of companies after they are included in the target of margin lending and short selling.The empirical analysis of margin lending and short selling in this paper helps us further understand the role of margin lending and short selling,enriches the literature related to margin lending and short selling and investment stock price,and also provides practical reference for the policy Suggestions of financial innovation in China in the future.Finally,in view of the empirical results,in order to make more information more quickly and effectively into the stock price,improve the information content of stock price,and give full play to the role of the a-share market in the optimal allocation of resources,this paper puts forward some policy Suggestions,such as strengthening and improving the institutional environment,strengthening the supervision of information intermediaries,and improving the construction of the multi-level capital market system. |
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