Author(s)

Xiaoli Sun

Corresponding Author

Xiaoli Sun

ABSTRACT

At the end of March 2010, margin trading mechanism has been introduced in domestic securities market, it realizes the transition from “unilateral market” to “bilateral market”.In order to investigate whether the introduction of the mechanism is progressive, the relevant data of the underlying stocks newly added in the fifth expansion event are studied, and the impact of margin and short selling mechanism on the pricing efficiency of the underlying stocks is analyzed by constructing a panel data regression model. The results show that margin trading mechanism can reduce the excess return index of individual stocks on the whole, and has a positive effect on the underlying pricing efficiency. Margin transaction and short selling transaction can push the underlying stock price closer to the base value respectively, but the short selling imbalance makes short selling transaction have less influence. Finally, based on the theoretical and empirical analysis results, reasonable suggestions are put forward for the existing imbalance phenomenon.

KEYWORDS

Margin Trading, Single Market, Short Selling, Pricing Efficiency