| Since the introduction of the margin trading and short selling system in 2010,the spillover effects of margin trading and short selling have been discussed.The launch of the margin trading and short selling securities has changed the "one-sided market" in China and liberalized the restrictions on short selling,which has had a significant impact on China’s capital market and micro-enterprises.At the same time,China’s bond market is also booming.As the two main bodies of the capital market,the linkage effect between the stock market and the bond market has been receiving attention from all sides,so is there a spillover effect of the the margin trading and short selling system on the bond market?Bond pricing is crucial to the stable operation of the bond market,the financing cost of issuers and the investment decision of investors.So,can the launch of margin trading and short selling securities enhance the efficiency of bond pricing?If it has an impact on bond pricing,how does it work?This paper examines the relationship between the margin trading and short selling and bond credit spreads by taking the spillover effect of the margin trading and short selling securities on the bond market as the starting point and selecting the period of 2010-2021 as the sample research interval.Through theoretical analysis and empirical research,the following conclusions are drawn:First,the introduction of the margin trading and short selling policy significantly reduces the bond credit spreads of the enterprises underlying the margin trading and short selling.Second,we reconfirmed the relationship between margin trading and short selling securities and bond credit spreads by changing the sample period and introducing the actual trading volume of margin trading and short selling securities.Further analysis reveals that the extent of the impact of margin trading and short selling on bond credit spreads is directly related to the credit risk,financial leverage,ownership nature and location system of the issuer,and the reduction of bond credit spreads by margin trading and short selling securities is significantly effected on issuers with high credit risk,high financial leverage,non-SOE and good institutional environment.To explore the path mechanism of this effect,information asymmetry proxy,corporate governance level indicator and stock liquidity indicator are introduced,and finally concludes that the spillover effect of margin trading and short selling on bond market is mainly generated through improving information asymmetry and enhancing corporate governance level.This paper refines the spillover effect of margin trading and short selling securities on the bond market and to find a reasonable path for this effect.On the one hand,bond issuers can get new ideas to reduce financing costs and further urge company managers to improve governance and focus on long-term strategic development of the company,while on the other hand,the research results provide reference for investors to formulate investment strategies in the future.At the same time,we also sound an alarm to policy makers that the promotion of the continued margin trading and short selling system must be matched with a good legal system in order to give full play to its positive effects. |
