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

机译:保证金交易系统和定价效率:来自中国市场的证据

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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.
机译:保证金交易系统是一家新的创意信贷贸易体系,该系统首先在2010年进行了中国市场实践。这是中国第一次带来短暂销售,这一效果被认为有争议地涉及学术界。本文采用了试验期的数据,2010年3月31日和第五个扩张期前期和第五个扩张期,这是2016年12月12日之前和之后的第五个月。因此,我们得到了以下结论:(1 )在两个期间,保证金交易系统不显着提高潜在股票的价格效率。 (2)营业额率高,高价收益比率高的股票将受到较高的政策影响。

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