{"title":"Margin trading, short selling, and information asymmetry","authors":"","doi":"10.1016/j.finmar.2024.100926","DOIUrl":null,"url":null,"abstract":"<div><p>We investigate the impact of margin trading and short selling (MTSS) on information asymmetry<span><span> using data from a unique Chinese pilot<span> 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 </span></span>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.</span></p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":null,"pages":null},"PeriodicalIF":2.1000,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Financial Markets","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1386418124000442","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
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.
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.
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