Research On The Impact Of Margin Trading And Securities Lending On The Price Disparity Of AH Cross-Listed Stock

Margin trading and securities lending is another important measure in China's stock market reform following the share-trading reform.The introduction of margin trading and securities lending not only ends the history of the non-saleable market in China's A-share market,but also plays an important role in promoting the healthy development of China's stock market.Nowadays,more and more mainland companies choose to list at the same time in the Mainland and Hong Kong.This not only improves the degree of financial openness,but also connects the stock market between the Mainland and Hong Kong.The price disparity has also attracted widespread attention between the A share and the H share of the AH cross-listed companies.Therefore,in the context of financial globalization,exploring the impact of margin trading and securities lending on the price disparity of AH cross-listed stock will help to understand the differences between the mainland stock market and the Hong Kong market,and gradually improve the mechanism of margin trading and securities lending,and stimulate market vitality,and reduce the gap with developed financial markets,and help China's stock market to develop in healthy manner.This paper starts from the theoretical analysis of the impact of margin trading and securities lending on the price disparity of AH cross-listed stock,and concludes that risk preference difference,liquidity difference,demand elasticity difference,information asymmetry,and policy are the main factors affecting the price disparity.Further,we can know that the securities lending mainly affects price disparity through stock liquidity and volatility.Secondly,the article discusses the development status of China's margin trading and securities lending and price disparity of AH cross-listed stock.At present,the scale of trading and securities lending transactions is unbalanced,and the premium rate of AH cross-listed stocks and non-melting AH cross-listed stocks can be more different.In order to explore the impact of margin trading and securities lending on the price disparity,the article conducted an empirical analysis.In the empirical research,based on the characteristics of marginal expansion of margin trading and securities lending,a multi-period DID model was constructed,and other control variables were gradually added to study the net effect of margin trading and securities lending on the price disparity.The result of full sample showed that margin trading and securities lending has a significant effect to the price disparity,and when the risk preference difference,liquidity difference,demand elasticity difference and information asymmetry are smaller,the price disparity is smaller.In addition,during the analysis,it was found that when the company was financial industry,the price disparity was relatively small,so further divided into financial sample and non-financial sample analysis.The result showed that the policy had a significant negative impact on the price disparity of non-financial share,but the degree of influence was different during the period;there was not a significant impact on the spread of financial AH cross-listed stocks in the initial period,and there was a significant negative impact in the later period.Finally,according to the development status and empirical results,the relevant suggestions are put forward.First,the Chinese government should continue to improve the margin trading mechanism by marketization and expand the scope of underlying securities to meet the diversity of investors.Second,the relevant departments should strengthen investor education,guide investors to rational investment,and actively improve the information disclosure system,and innovate the regulatory policies,and promote the positive role of margin trading and securities lending.