| Margin trading,refers to in the case of a qualified investor providing the collateral,borrow money to buy securities or to borrow securities and sell it in qualified securities companies with margin trading.Margin trading system after years of development in overseas markets,has become a basic system of securities market.In contrast,the margin trading business in China started late.March 31,2010 China's securities market for the first time started the margin trading business.Since then,China's securities market ended the long "unilateral market" era and entered into a new stage of development.After the introduction of margin trading mechanism,scholars at home and abroad started a discussion about the implementation of its effect.Some scholars believed that it played a positive role in reducing the stock market volatility,reducing the phenomenon of earnings announcement drift and providing liquidity for the market.While some scholars believed that the implementation of margin trading system deteriorated the risk of the underlying stock price crash or enlarged the trait fluctuations of stocks in the market.Thus currently the effect of this mechanism is controversial.The margin mechanism provides new opportunities for insider traders.This paper starts from the perspective of insider trading,studies the possible negative effects of its implementation in order to enrich the research results of financing margin mechanism.This paper expounds the connotation of margin financing mechanism and the elements of insider trading in theory,introduces the implementation process and current situation of the margin trading mechanism in China,and a series of problems in the implementation process.The empirical section selects the 11 years data of China A-share listed companies from 2006 to 2016,uses the event research method and single factor market model and selects quarterly reports(including annual reports)publishing period as window period,based on the difference between the expected turnover rate and the actual turnover rate of 40 days before and 11 days before and calculates the accumulated exception rate of the window period as the main explanatory variable.In this paper,we set up the securities with the subject of the margin as the experimental group and the rest as the control group.By adding the control variables,including the size of the company,the annual trading volume of the stock,the average annual price,the absolute value of the stock return on the quarterly report day,years of listing and so on,then do regression estimation.The empirical results show that under the control of the time fixed effect,the firm's fixed effect and other influencing factors,compared with non-standard companies,the possibility of insider trading in the subject matter of margin trading has increased significantly.At the same time,the role of insider trading has been stimulated in the case of small-scale,high-shareholding companies obviously..Further research has found that the stimulus effect of margin trading on insider trading is more obvious in companies which are smaller and higher proportion of institutions.In addition,the effect of margin trading on insider trading is weakened in the state-owned enterprises.According to the empirical analysis,the following policy recommendations are put forward:regulators should research innovation and supervision ideas about insider trading,brokerage firms should clear their own responsibility of reviewing insider trading,listed companies should strictly control the insider information disclosure and investors should know the responsibility of insider trading.Finally,this paper enriches the research results of the margin trading mechanism from the perspective of insider trading,but its screening mechanism needs to be improved,the future scholars can carry out in-depth excavation,and researching the data of Shanghai and Shenzhen separately also is the direction of enriching the theory. |
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