The Empirical Study on Margin Trading and Pricing Efficiency—Evidence from Natural Experiment

作者：Yafang Wei, Pinghai Li · 发表于：Modern Economy · 年份：2016 · DOI：10.4236/me.2016.71003 · 被引用次数：1 · 研究领域：Financial Markets and Investment Strategies、Stock Market Forecasting Methods、Complex Systems and Time Series Analysis

Short selling mechanism was introduced in Chinese market since March 31, 2010 and has developed for five years. The relationship between margin trading and pricing efficiency is worth studying. In this paper, we focus on the expansion event of underlying stocks happened on September 16, 2013. By using event study method and panel data results, and taking the underlying stocks and other stocks before and after being allowed to the margin trading as the research objects, we reach the following conclusions: First, short-selling constraint makes stocks overvalued and hinders the response speed to messages; second, after introducing the margin trading, especially we are well into short-sale era, not only does the degree of overestimation of underlying stocks decrease, the response speed of stocks to messages improves a lot. Meanwhile we find that there exists a link between pricing efficiency and exchanges, turnover rate, circulation value.