融资融券降低了交易中的信息不对称程度吗？

doi:10.16381/j.cnki.issn1003-207x.2020.0779

Abstract

Abstract:

Since advantage information holders can benefit by using private information and adversely select liquidity providers， reducing information asymmetry has always been an active topic in market microstructure research. Based on the high-frequency （1-minute） data of China's A-share market from 2008 to 2019， DID is used and effect model is fixed to look at how margin trading business improves the level of information asymmetry from the perspective of regulation implementation and margin trading.From our results， the following conclusions are drawn. First， from a regulation implementation perspective， research results indicate that， after the implementation of margin trading， the degree of the information asymmetry of underlying stocks decreases. Moreover， after the shares are listed as the subject of margin trading， the degree of information asymmetry for good news decreases year by year， and the degree of information asymmetry for bad news first increases and then decreases. Second， from a margin trading perspective， it is confirmed that an inferior level of information advantage in financing trading reduces the information asymmetry of good news， while a fairly high level of information advantage in short selling increases the information asymmetry of bad news. According to additional research， financing based on public information reduces the degree of information asymmetry in good news transactions of underlying stocks， whereas trading based on unpublished information increases it. On the other hand， both public information-based and private information-based short selling deteriorate the degree of information asymmetry in bad news trading. Finally， the effects of either long or short trading on the information asymmetry level vary across market cycles. The improvement of information asymmetry based on financing is weakened in a bull market but strengthened in a bear market， the deterioration of information asymmetry level based on short trading is strengthened in a bull market but weakened in a bear market.This study is about the effect of margin trading in Chinese stock market. According to existing research， it is found that a significant body of literature focuses on the effects of margin trading on the efficiency of financial market but seldom discuss whether the introduction of long and short trading promotes market fairness or not. This gap is bridged by identifying the effects of margin trading on the information asymmetry level from the perspective of regulation implementation and margin transactions.On the other side， the literature on information asymmetry is another related research field. In Market Microstructure Theory studies， information accuracy， information advantage， and trader characteristics are usually the key research points in earlier studies. However， it is shown that the asymmetry level of good news and bad news differs in financing and short selling， which suggests that distinguishing investor attention to good and bad news would be an interesting direction in market microstructure research.

Key words: margin trading, information asymmetry, information advantage

CLC Number:

F830.9

Ming-tao WANG,Qian LI. Does Margin Trading System Reduce the Degree of Information Asymmetry in Stock Trading? ————Evidence from the Chinese Stock Market[J]. Chinese Journal of Management Science, 2023, 31(10): 1-11.

Figures/Tables 6

变量	样本量	均值	中位数	标准差	最小值	最大值
$V P I N$	3919293	0.3032	0.2896	0.0941	0.1135	0.5920
$B V P I N$	3919293	0.1423	0.1323	0.0590	0.0357	0.3207
$S V P I N$	3919293	0.1605	0.1538	0.0563	0.0461	0.3249
$L o n g$	1294286	20.0146	20.0993	0.9890	0	22.5724
$S h o r t$	1294286	11.7310	13.3276	4.9176	0	18.0256

变量	(1) $V P I N$	(2) $B V P I N$	(3) $S V P I N$
$P o s t L i s t$	-0.0067^***	-0.0052^***	-0.0015^**
$P o s t L i s t$	(-5.06)	(-7.11)	(-2.37)
$L D Q$	0.0472^***	0.0264^***	0.0210^***
$L D Q$	(114.22)	(115.17)	(104.30)
$M a r k e t V P I N$	0.8021^***
$M a r k e t V P I N$	(150.31)
$M a r k e t B V P I N$		0.7966^***
$M a r k e t B V P I N$		(165.55)
$M a r k e t S V P I N$			1.0272^***
$M a r k e t S V P I N$			(282.32)
$M o v V a l u e$	0.0175^***	0.0084^***	0.0083^***
$M o v V a l u e$	(18.40)	(17.40)	(16.96)
$T u r n o v e r$	-1.8289^***	-0.9613^***	-1.5967^***
$T u r n o v e r$	(-33.91)	(-32.53)	(-53.50)
$S i z e$	-0.0222^***	-0.0101^***	-0.0116^***
$S i z e$	(-12.73)	(-10.95)	(-13.73)
$L e v$	0.0124^**	0.0078^**	0.0043
$L e v$	(2.20)	(2.56)	(1.59)
$R O A$	0.0829^***	0.0474^***	0.0355^***
$R O A$	(9.99)	(10.61)	(8.72)
$B M$	0.0243^***	0.0080^***	0.0147^***
$B M$	(5.70)	(3.54)	(6.98)
$C a s h$	0.0654^***	0.0375^***	0.0275^***
$C a s h$	(12.32)	(12.82)	(11.06)
$F i x A s s e t s$	-0.0325^***	-0.0153^***	-0.0173^***
$F i x A s s e t s$	(-4.86)	(-4.29)	(-5.34)
$T o b i n Q$	0.0040^***	0.0030^***	0.0010^***
$T o b i n Q$	(9.42)	(12.41)	(5.03)
$T o p$	0.1242^***	0.0648^***	0.0588^***
$T o p$	(12.74)	(12.51)	(12.46)
$B o a r d$	0.0149^***	0.0069^**	0.0080^***
$B o a r d$	(2.92)	(2.54)	(3.21)
$A g e$	-0.0074^***	-0.0040^***	-0.0031^***
$A g e$	(-24.80)	(-25.49)	(-20.83)
$Y e a r$	控制	控制	控制
$F i r m$	控制	控制	控制
$R 2$	0.3903	0.3270	0.3225
$N$	3919293	3919293	3919293

变量	(1) $B V P I N$	(2) $S V P I N$	(3) $V P I N$
$P o s t L i s t 0$	-0.0024^***	0.0006^***	-0.0015^***
$P o s t L i s t 0$	(-12.30)	(3.31)	(-5.27)
$P o s t L i s t 1$	-0.0035^***	0.0005^***	-0.0031^***
$P o s t L i s t 1$	(-26.36)	(4.01)	(-15.27)
$P o s t L i s t 2$	-0.0051^***	-0.0014^***	-0.0066^***
$P o s t L i s t 2$	(-39.24)	(-11.61)	(-32.91)
$P o s t L i s t 3$	-0.0040^***	-0.0012^***	-0.0052^***
$P o s t L i s t 3$	(-30.03)	(-9.68)	(-25.33)
$P o s t L i s t 4$	-0.0058^***	-0.0072^***	-0.0130^***
$P o s t L i s t 4$	(-31.47)	(-40.76)	(-44.01)
$C o n t r o l$	控制	控制	控制
$Y e a r$	控制	控制	控制
$F i r m$	控制	控制	控制
$R 2$	0.2627	0.2787	0.3063
$N$	3811285	3811285	3811285

变量	(1) $B V P I N$	(2) $S V P I N$	(3) $V P I N$
$L o n g$	-0.0056^***
$L o n g$	(-62.88)
$S h o r t$		0.0007^***
$S h o r t$		(63.30)
$M a r g i n$			-0.0001
$M a r g i n$			(-1.32)
$C o n t r o l$	控制	控制	控制
$I n d × Y e a r$	控制	控制	控制
$a d j . R 2$	0.2402	0.2797	0.2838
$N$	1294286	1294286	1294238

变量	(1) $B V P I N$	(2) $S V P I N$	(3) $V P I N$
$P u b_L o n g$	-0.0060^***
$P u b_L o n g$	(-73.65)
$P r i v_L o n g$	0.0466^***
$P r i v_L o n g$	(26.51)
$P u b_S h o r t$		0.0007^***
$P u b_S h o r t$		(65.75)
$P r i v_S h o r t$		0.0002^***
$P r i v_S h o r t$		(4.51)
$P u b_M a r g i n$			-0.0000
$P u b_M a r g i n$			(-1.13)
$P r i v_M a r g i n$			0.0799^***
$P r i v_M a r g i n$			(28.85)
$C o n t r o l$	控制	控制	控制
$I n d × Y e a r$	控制	控制	控制
$a d j . R 2$	0.2414	0.2799	0.2846
$N$	1294217	1293953	1294238

变量	(1) $B V P I N$	(2) $S V P I N$	(3) $V P I N$
$L o n g$	-0.0060^***
$L o n g$	(-74.06)
$L o n g × B U L L$	0.0001^***
$L o n g × B U L L$	(8.38)
$L o n g × B E A R$	-0.0002^***
$L o n g × B E A R$	(-18.18)
$S h o r t$		0.0007^***
$S h o r t$		(51.48)
$S h o r t × B U L L$		0.0002^***
$S h o r t × B U L L$		(16.32)
$S h o r t × B E A R$		-0.0004^***
$S h o r t × B E A R$		(-27.21)
$M a r g i n$			-0.0000
$M a r g i n$			(-1.00)
$M a r g i n × B U L L$			0.0002^***
$M a r g i n × B U L L$			(11.16)
$M a r g i n × B E A R$			-0.0004^***
$M a r g i n × B E A R$			(-21.67)
$C o n t r o l$	控制	控制	控制
$I n d × Y e a r$	控制	控制	控制
$a d j . R 2$	0.2410	0.2811	0.2847
$N$	1294217	1293953	1294238

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Does Margin Trading System Reduce the Degree of Information Asymmetry in Stock Trading? ————Evidence from the Chinese Stock Market

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