Abstract
This paper takes the margin and short selling targets of the science and technology innovation board and the growth enterprise board of China’s stock market as the research object, and selects the sample interval from July 2019 to November 2020, Uses the unbalanced data panel model, discusses the effect of short selling and margin trading on the pricing efficiency of stock from the perspectives of the reaction speed and information content of stock information. The results show that margin trading is generally beneficial to the improvement of the pricing efficiency of the stock market; the effect of margin trading and short selling on the improvement of pricing efficiency of different stocks is different. The imbalance of power between margin trading and margin trading has a negative impact on the pricing efficiency of the stock market. The conclusion is helpful for subsequent scholars to continue to study the development level of the securities market and provide suggestions for the development direction of China’s securities market.
Highlights
On the basis of the literature, this paper uses the sample stock data of the science and technology innovation board and the growth enterprise board in the last 2 years to conduct horizontal and longitudinal model test of relevant data, in order to get the degree of impact of margin trading on the pricing efficiency of stock prices in the new stage of business development
First of all, according to the regression results of the horizontal model samples, margin trading can speed up the adjustment of the stock price to the market information and increase the information content in the stock price, and improve the overall efficiency of market pricing
According to the repurchase results of the longitudinal model samples, the amount of financing transactions is still higher than the trading volume of short selling, and the imbalance of financing and short selling brings a negative impact on the improvement of the efficiency of stock pricing
Summary
Margin and short selling business was officially launched in China in 2010. Over the past decade, various data indicators of the business have grown rapidly. Due to the prevalence of speculation in China's capital market, the phenomenon of soaring and plummeting, rising and falling together is very obvious, which exposes the imperfection of China's capital market system. Both regulators and academics generally believe that the main reason for this phenomenon is the absence of short selling mechanism. Some scholars believe that the introduction of margin trading and short selling business has changed the history that the Chinese stock market can only make profits through unilateral long positions in the past, improved the efficiency of the market, and promoted the return of stock prices to the real value. The study of the impact of margin trading on the efficiency of stock pricing in China's securities market can provide some theoretical evidence for the dispute
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