Research on the Effect of Margin Trading on Pricing in Stock Market

DOI

10.2991/iceiem-19.2019.20How to use a DOI?

Keywords

Margin Trading, Pricing, Difference-in-Difference Model

Abstract

In order to explore the influence mechanism of margin trading on stock pricing, this paper analyzes the impact of margin trading on China's stock market pricing by analyzing the cross-section data horizontally and constructing a Difference-in-Difference model. The research finds that: (1) Through the horizontal comparison between the target stock and the non-target stock, it is found that the pricing efficiency of the target stock is significantly higher than that of the non-target stock;(2) The effect of margin trading in bear market on stock pricing efficiency is greater than that in bull market; (3) The results of difference-in-difference model show that the target stocks in the experimental period have higher pricing efficiency than non-target stocks, and the stocks increase their pricing efficiency after entering the target pool.

Copyright

© 2019, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Download article (PDF)

TY  - CONF
AU  - Yanliang Zhang
AU  - Wenwen Wang
AU  - Leya Zhang
PY  - 2019/08
DA  - 2019/08
TI  - Research on the Effect of Margin Trading on Pricing in Stock Market
BT  - Proceedings of the 2019 International Conference on Education Innovation and Economic Management (ICEIEM 2019)
PB  - Atlantis Press
SP  - 77
EP  - 80
SN  - 2352-5398
UR  - https://doi.org/10.2991/iceiem-19.2019.20
DO  - 10.2991/iceiem-19.2019.20
ID  - Zhang2019/08
ER  -