Margin trading, short selling, and information asymmetry

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2024-09-01 DOI:10.1016/j.finmar.2024.100926

Minggang Xu , Xueyong Zhang , Yeqing Zhang

引用次数: 0

Abstract

We investigate the impact of margin trading and short selling (MTSS) on information asymmetry using data from a unique Chinese pilot program that permits MTSS for a specific list of stocks. We establish a theoretical framework indicating that MTSS enhances the pricing system’s informativeness, leading to reduced information asymmetry. Motivated by this theoretical framework, we design a quasi-experiment to analyze data from 2013 to 2016. We find that indeed MTSS weakens information asymmetry. Furthermore, the reduction of information asymmetry can be attributed to both margin trading and short selling.

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保证金交易、卖空和信息不对称

我们利用中国允许对特定股票进行保证金交易和卖空（MTSS）的试点项目的数据，研究了保证金交易和卖空（MTSS）对信息不对称的影响。我们建立了一个理论框架，表明保证金交易和卖空交易（MTSS）能提高定价系统的信息透明度，从而降低信息不对称程度。在这一理论框架的激励下，我们设计了一个准实验来分析 2013 年至 2016 年的数据。我们发现，MTSS 确实削弱了信息不对称。此外，信息不对称的减少可归因于保证金交易和卖空。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Financial Markets BUSINESS, FINANCE-

CiteScore

3.40

自引率

3.60%

发文量

期刊介绍： The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.