Research On The Change Of Stock Price In China 's Financing

Securities margin trading system is also known as Securities credit trading system, under this transaction mode, when investors stay optimistic towards stock prices in the future,they can benefit through Leveraged buyouts;however, when investors stay pessimistic towards stock prices in the future, they can still benefit through Borrowing short.Securities margin trading system significantly enriched the existing trading system of the securities market, it attributes to changes in the relationship between supply and demand through changing the elasticties of supply and demand of the stock market, which makes prices of stock more reasonable, hence improving market pricing efficiency to an certain extent.On March 31,2010, with the formally launching of securities margin trading system,our country’s unilateral city market era of more than 20 years came to an end. This paper contains analysis and summary of the development and recent situation of China’s securities lending and borrowing business,analyze the existing risks and proposes relevant suggestions in the end. We use event study for analyzing the stock price changes of Securities margin trading’s being accepted on March 31,2010, margin adjustment of underlying securities On December 5,2011 and The GEM margin adjustment of underlying securities On September 22,2013. We apply the combination of parameter test and nonparametric test to do significance test on the results. We finally came to the following conclusions:(1)After the margin call in the underlying securities, there are changes in abnormal return and cumulative abnormal return before the announcement day, which implies that China is not strict enough towards supervision of market information and there is a chance that insider news might be leaked.(2) no matter markets are going up or down, there is always abnormal return after implementation date and the effect is positive. When markets go up, there’s a significant raise in cumulative abnormal return, the result is significant; When markets go down, there’s still a raise in cumulative abnormal return,but the raise level is much smaller and soon it suffers from a significant decline,the effect is Significant negative. In different market conditions, securities margin trading system can always speed up the adjustment of stock prices.