Research On The Impact Of Securities M Argin Trading On Stock Price Synchronization And Its Transmission Path

At present,securities margin trading opened in 2010 has become an important trading mechanism in China’s stock market.As for the impact of securities margin trading on the stock market,scholars have conducted research from the aspects of stock price fluctuation,risk of stock price collapse,stock pricing efficiency,etc.But the conclusions are inconsistent.The original intention of the introduction of securities margin trading is to improve the efficiency of resource allocation in the stock market.China’s margin trading system has carried out financing transaction and securities lending at the same time,securities lending mainly plays the role of short selling,ending the long-term lack of short selling mechanism in the A-share market.With the occurrence of the stock disaster in 2015,the stock market fluctuates greatly,and the scale of margin trading has been rapidly reduced.It is not forbidden to question whether the securities margin trading can have a positive impact on the stock market.In order to clarify the impact of securities margin trading on the efficiency of resource allocation in the stock market,this paper takes stock price synchronization as a variable to measure the efficiency of resource allocation in the stock market,empirically analyzes the impact of securities margin trading on stock price synchronization,and further explores the transmission path of the impact of securities margin trading on stock price synchronization.The opening of the securities margin trading provides a environment of quasi natural experimental for the study of this paper.A-share listed companies in2006-2016 are selected as the research objects.Firstly,use PSM-DID model which regarded as benchmark regression to analyze how the securities margin trading affects the stock price synchronization.Next,on the basis of the benchmark regression model,we use the quantile regression model to investigate how the impact of securities margin trading on the stock price synchronization changes at different quantiles.In order to ensure the robustness of the empirical results,the benchmark regression’s results were tested by parallel trend hypothesis test,panel interaction fixed effect model test,exclusion of stock index futures interference test and placebo test.Then,we use intermediary effect model to analyze the transmission path of the securities margin trading that affects the stock price synchronization,the causal step method is used to test the indirect impact ofanalysts forecast optimistic bias on the securities margin trading to improve the stock market synchronization.Sobel test,Bootstrap test and the method of new variables to measure analysts forecast optimistic bias are used to test the robustness.Considering that there may be an endogenous problem caused by the mutual causality between analysts forecast optimistic bias and stock price synchronization,this paper uses the two-stage least square method of instrumental variables to test the endogenous of the model that the securities margin trading affects analysts forecast optimistic bias.Finally,the following conclusions are drawn:(1)Based on the empirical results of the benchmark regression model,it can be found that the securities margin trading leads to the improvement of stock price synchronization.After the parallel trend test,panel interaction fixed effect model test,exclusion of stock index futures interference test and placebo test,the empirical results are still significant,which shows that the securities margin trading is not conducive to improving the efficiency of resource allocation in the stock market and has a negative impact on the stock market.In addition,the imbalance of securities margin trading makes the short selling mechanism of securities lending difficult to play a role.The leverage effect of financing transaction promotes more market information and industry information into the stock price,and ultimately improves the stock price synchronization.(2)The empirical results of the quantile DID model show that the securities margin trading improves the stock price synchronization in general,and the impact of securities margin trading on the stock price synchronization decreases with the increase of quantile.When the level of stock price synchronization is too high and the quantile is above 0.9,the securities margin trading can not significantly improve the stock price synchronization.In theory,stocks with low stock price synchronicity contain more information about the company’s characteristics.The space for short sellers to tap the company’s characteristics is small.The hot financing transaction promotes more industry information and market information to be integrated into the stock price.The function of securities margin trading to improve the stock price synchronicity is stronger.(3)From the perspective of conduction path,The test results of causality step method of intermediary effect model show that analysts forecast optimistic bias plays a significant conductive role between margin trading system and stock price synchronization.The results of Sobel test and Bootstrap test are significant.Theendogenous test results of the instrumental variables two-stage least square method also support that the intermediary effect is significant.This shows that the securities margin trading significantly increases analysts forecast optimistic bias,and further leads to the improvement of stock price synchronization,and reflecting that analysts’ irrational behavior is vulnerable to the impact of the securities margin trading,which damages the efficiency of resource allocation in the stock market.Based on the above conclusions,the policy suggestions put forward in this paper are as follows: optimize securities margin trading,reduce the imbalance of securities margin trading as much as possible,strengthen the supervision of analysts by CSRC and other departments,regulate analysts’ behavior,and improve the self-discipline of analysts.