Margin Trading System and Pricing Efficiency: Evidence from the Chinese Market

摘要

The Margin Trading System is a new creative credit trading system, which was first put into practice in Chinese market in 2010. It is the first time for China to bring in the short selling, which effects have been considered controversially in academics. The paper uses the data of the pilot period, which is 3 months before and after March 31th, 2010 and the fifth expansion period, which is 3 months before and after the December 12th, 2016. Consequently, we get the following conclusions: (1) during the two periods, the Margin Trading System insignificantly increases the price efficiency of the underlying stocks. (2) The stocks with high turnover rate and high price earnings ratio would be affected relatively more by the policy.