Research On The Margin Trading And Pricing Efficiency Of Securities Market In China

The efficiency of stock market has attracted much attention by scholars and practitioners, whether the efficiency has improved also the key point to China’s stock market sustainable growth. As a basic trading mechanism of securities markets, margin trading system in U.S and Europe has been relatively mature. According to their own financial system and credit environment, each of them adopted different margin trading mechanism which is suitable for its actual situation. The margin trading in China’s stock market has experienced a rapid growth process, this process is bound to change the existing investment patterns and market operation mechanism, also has far-reaching implications for investors.This thesis compares the development of the stock market domestic and abroad firstly, including the development process of representative margin trading mechanism of United States, Europe, Japan, Taiwan. The comparison indicates that each of capital markets adopted different margin trading mechanism which is suitable for its own financial system and credit environment. Moreover, it’s also a vital consideration for all countries weighing between margin trading mechanism and short sales constrain to prevent market crashes.In terms of margin trading and stock market volatility and liquidity, we use unit root test, Granger causality test and the Wilcoxon nonparametric test method to examine the impact of margin on China’s securities market pricing efficiency systematacially. We tests pricing efficiency before and after the introduction of margin trading, margin trading targets adjustments, and the introduction of refinancing. The empirical results indicate that market liquidity, volatility and the marging balance have a long-term cointegration relation. In the case of a first-order lag, the amount of variation margin balance are Granger cause market volatility changes, the relationship between the amount of change in Granger cause changes in the amount and financing the balance of market volatility. The terms of changes in market liquidity, liquidity and changes in the amount of financing, there is no Granger causal relationship between changes in the amount of margin balance.In terms of margin trading and information efficiency, we use Hou and Moskowitz(2005) empirical research methods to measure the speed of adjustment to information of stock price before and after the cross-section and event. The result shows that margin trading pilot launch significantly improves the efficiency of the underlying stock price, from a horizontal perspective, higher absorption efficiency of information can short stocks; from a vertical perspective, the same underlying conduct credit transactions after more information efficiency. Secondly, short sales amount between stock prices and positive correlation between efficiency, short sales accounted for the greater proportion of turnover, the higher the efficiency of the stock price.From the perspective of investors’ behavior, this paper examines the transmission mechanism between margin trading and pricing efficiency, which is subdivided into two parts: financial constraints relaxation on investor behavior and the impact of short selling mechanism influence on investors’ behavior. We use Fama-MacBeth cross section regression and two-dimensional grouping, combining behavioral characteristics of investors to study the margin to enhance the efficiency of market mechanisms and the impact of the stock market pathways. The empirical results indicate that both before and after the opening of the margin, idiosyncratic volatility of earnings and the cross-sectional regression coefficients are significantly negative, China’s stock market is also the mystery of the presence of idiosyncratic volatility. Through the opening of the market before and after the margin data comparison found that: turnover coefficient representative heterogeneous beliefs also significantly negative, indicating a high turnover will lead to future expected return rate. This phenomenon is present in both samples before and after the opening of the margin interval, after the opening short selling restrictions, heterogeneous beliefs regression coefficient remained significant, indicating that short selling restrictions in the partial liberalization of conditions, volatility of the heterogeneous nature of faith mystery still some explanatory power. From margin stock price efficiency of the mechanism, it is mainly reflected in the following two aspects:(1) liberalization of financial constraints enhance trading capabilities of investors, so investors can make information more effective response, thereby increasing market efficiency; the case(2) the presence of the investor heterogeneous beliefs and short sale constraints of release private information so that investors’ pessimism reflected in the price of the securities, the securities market trading but because of short selling the amount accounted for a smaller proportion of turnover, and are subject to margin coupon sources, significant mechanism for this effect is not strong.China’s capital market reform is government-led process, “problem-oriented” closer to the practice of reform. An Empirical Analysis of the foregoing, as well as comparison of China’s stock market and overseas credit trading system, reflection and optimization chapter margin trading system raised the following issues and recommendations for the two financial status of China’s securities market development:(1) Margin access system in place, run the system needs to be improved;(2) the two financial structural imbalance, investors need to focus on the psychological deviations;(3) the risk of margin trading system needs to establish appropriate institutional, in order to protect the interests of investors, to achieve market Pa Pareto improvements.This paper has a certain theoretical and practical contribution. Firstly, combined with the efficiency of information and research methods of behavioral finance, empirical analysis margin and pricing efficiency of securities markets, from the microscopic to provide theoretical and empirical evidence of the Chinese market for the Short Sale and Stock Pricing Efficiency. Secondly, the conclusion of the supervision of the margin trading business has a certain significance. Perfection is inseparable from regulators and regulatory credit trading system, the underlying assets to investors and strict risk control, appropriate trading mechanism design, a special period of government intervention and flexible adjustment mechanism, this study provides the relevant policy options theory and data support.