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

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 Differencein-Difference model. The research finds that: (1) Through the horizontal comparison between the target stock and the nontarget 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 nontarget stocks, and the stocks increase their pricing efficiency after entering the target pool. Keywords—Margin Trading; Pricing; Difference-in-Difference Model