| For a long time,due to the existence of short selling restrictions in China’s securities market,investors can only engage in unilateral trading of "buy up",resulting in insufficient and complete formation of stock prices.On March 31,2010,China launched a pilot program for margin trading and securities lending,and with the gradual expansion,more and more listed companies’ stocks were allowed to be sold short.The margin trading system not only creates more sufficient liquidity for the market through credit transactions,but also provides a new price discovery mechanism for the market.Therefore,studying the impact of margin trading on China’s stock asset mispricing can help expand the research perspective of margin trading,provide theoretical basis and empirical testing for promoting the stable operation of the margin trading system,and have important practical significance for establishing a more mature and effective capital market in China.Firstly,by reviewing the current development status of China’s margin trading and securities lending business,the article finds that there are serious imbalances and high costs between margin trading and securities lending transactions in related businesses.In order to further clarify the impact of related issues on the pricing function of margin trading,a quasi natural experiment was conducted on the launch and six expansions of China’s margin trading business.A multi-period double difference model(progressive DID)was used to model and explore the impact of margin trading on the mispricing of A-share assets in Shanghai and Shenzhen,and data from margin trading and margin trading were used,Explored the differences in the impact of the activity level of two types of transactions on asset mispricing.Secondly,this article verifies the mechanism of the impact of margin trading on asset mispricing levels through agency cost channels and information environment channels,and explores the moderating role of institutional investor shareholding in the impact of margin trading on asset mispricing.It also uses threshold regression methods to examine the threshold characteristics of capital structure and analyzes the heterogeneity of the effect of margin trading on asset mispricing.The conclusions are as follows:(1)The outbreak of the COVID-19 significantly reduced the effect of the margin trading system on promoting reasonable asset pricing.Before the outbreak of the epidemic,the problem of mispricing of stock assets was effectively alleviated after the companies included in the list of underlying securities for margin trading could be short sold;(2)The epidemic has a negative impact on the asset pricing function of financing transactions and short selling transactions.In the normal years before the outbreak of the epidemic,China’s financing transactions showed a characteristic of "informed trading" in asset pricing.The more active the related transactions,the lower the level of asset mispricing.However,the impact of the activity of short selling transactions on asset mispricing is not significant;(3)The margin trading system can significantly improve the transparency of enterprise information to reduce the level of asset mispricing;(4)Institutional investors have certain limitations in promoting reasonable asset pricing,and even exacerbate the problem of asset mispricing;(5)When the debt level of a company is relatively high,the effect of the margin trading system and financing transactions on alleviating asset mispricing is more significant.Finally,based on the theoretical and empirical analysis results,this article proposes the following optimization suggestions: further expanding the scope of margin trading targets;Improve the construction of the capital market system;Strengthen investor education;Further improve the multi space balance mechanism within the venue;Actively innovate regulatory systems. |
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