| The crash sensitivity of individual stock refers to the probability that a stock crashes along with the market.The larger the value,the greater the risk exposure of individual stocks to the risk of market collapse.When the market crashes,most of the stocks will collapse at the same time.Investors can’t effectively disperse the risk of collapse,so the crash sensitivity is a systemic risk of individual stocks.The margin trading and short selling system introduces a short selling mechanism for China’s capital market,and changes the pattern of “one side” market that lasted for a long time.Margin trading and short selling system is aiming to improve the pricing efficiency of the capital market.On the one hand,exploring the influencing factors of domestic stock market’s crash from the perspective of margin trading and short selling system will help us to deeply understand the causes of individual stock’s crash risk,and thus help investors to enhance their ability of risk identification.On the other hand,it also has great practical significance to provide decision support for the regulatory authorities in optimizing the market system and maintaining market stability.In order to analyze the policy effect of the margin trading and short selling system,this paper uses the quarterly data of listed companies from 2009 to 2016 to examine the impact of the margin trading and short selling system to crash sensitivity of the individual stock.The study found that,firstly,the margin trading and short selling system has intensified the crash sensitivity of individual stock.Secondly,considering the actual transaction scale,the total volume of margin trading and short selling transactions intensifies the crash sensitivity of individual stock.after financing transactions and securities lending transactions,financing transactions are significant.Positive impact on the stock market crash sensitivity,while the securities trading significantly negatively affected the stock market crash sensitivity.Considering margin trading transactions and short selling transactions separately,margin trading transactions significantly positively affect the crash sensitivity while the short selling transactions significantly negatively affect the crash sensitivity.Further analysis found that the information environment of listed companies and investor sentiment will affect the relationship between margin trading and short selling system and stock market’s crash sensitivity.After considering the possible endogeneity problems and doing a series of related robustness tests,the conclusions of this paper are still valid.The main contribution is that this paper explores the causes of the crash sensitivity in the stock market from the perspective of margin trading and short selling system.This paper also enriches the research on the crash sensitivity of individual stock.In addition,this paper provides a reference for the investment decisions of investors,especially the risk-disgusting investors. |
