A Study on the Impact of Liquidity and Trading Behavior of ETF Fund on the Price Synchronicity under the Margin Trading Mechanism

Abstract

Abstract:

This paper constructs two kinds of price synchronicity models, BH1 model which is based on the co-movement index PCI of ETF fund's price and BH2 model based on the goodness of R² CAPM regression, and offers methods to measure ETF fund's liquidity and trading behavior. Furthermore, we use DID model to empirically study the effect of liquidity and trading behavior of ETF fund on the price synchronicity under the margin trading mecha nism. The results show that the BH2 model is more suitable to analysis the synchronicity effect of the ETF fund's price in China. In addition, no matter whether or not the margin trading mechanism is introduced, we found that the ETF fund's purchase behavior will increase its price synchronicity, but the redemption behavior will reduce the synchronicity, and the lower liquidity the ETF fund has, the higher synchronicity its prices will present. Finally, the margin has some influences on the ETF fund's price synchronicity but the results of regression test is not significant. However, due to introduction of the mechanism, impact of ETF fund liquidity and trading behavior on the price synchronicity becomes significantly lower than before the mechanism is introduced, and the larger the ETF fund is, the greater influence liquidity will have on price synchronicity and also the greater impact purchase behavior will have on synchronicity.

Key words: margin trading, liquidity, trading behavior, price synchronicity

Wang Liang, Chen Jie, Liu Xiao. A Study on the Impact of Liquidity and Trading Behavior of ETF Fund on the Price Synchronicity under the Margin Trading Mechanism[J]. , 2019, 31(5): 28-39.

References

[1] Roll R. R2[J]. Journal of Finance, 1988,43(3):541-566
[2] Morck R., Yeung B., Yu W. The Information Content of Stock Markets:Why Do Emerging Markets Have Synchronous Stock Price Movements?[J]. Journal of Financial Economics, 2000,59:215-260
[3] Jin L., Myers S. R2 around the World:New Theory and New Tests[J]. Journal of Financial, 2006,79(2):257-292
[4] Hsin C. W., Tseng P. W. Stock Price Synchronicities and Speculative Trading in Emerging Markets[J]. Journal of Multinational Financial Management, 2012,22(3):82-109
[5] Kalok C., Allaudeen H., Wenjin K. Stock Price Synchronicity and Liquidity[J]. Journal of Financial Markets, 2013,16(3):414-438
[6] 陈梦根,曹凤岐. 中国证券市场价格冲击传导效应分析[J]. 管理世界, 2005,(10):24-33
[7] 陈梦根,毛小元. 中国证券市场价格联动效应的实证研究[J]. 财贸经济, 2007,(5):93-99
[8] 王咏梅,王亚平. 机构投资者如何影响市场的信息效率--来自中国的经验证据[J]. 金融研究, 2011,(10):112-126
[9] 董大勇,刘海斌,胡杨,等. 股东联结网络影响股价联动关系吗?[J]. 管理工程学报, 2013,27(3):20-26
[10] 潘宁宁,朱宏泉. 基金持股与交易行为对股价联动的影响分析[J]. 管理科学学报, 2015,18(3):90-103
[11] 余秋玲,朱宏泉. 宏观经济信息与股价联动-基于中国市场的实证分析[J]. 管理科学学报, 2014,17(3):15-26
[12] Moskowitz T. J. Market Fictioms, Price Delay and the Cross-section of Expected Retums[J]. Review of Financial Studies, 2005,18(3):981-1020
[13] Amihud Y. Illiquidity and Stock Returns:Cross-section and Time-series Effects[J]. Journal of Financial Markets, 2002,5(1):31-56
[14] Ashenfelter O., Card D. Using the Longitudinal Structure of Earnings to Estimate the Effect of Training Programs[J]. Review of Economics and Statistics, 1985,67(4):648-660
[15] Piotroski J. D., Roulstone B. T. The Influence of Analysts, Institutional Investors, and Insiders on the Incorporation of Market, Industry, and Firm-specific Information into Stock Price[J]. The Accounting Review, 2004,79(4):1119-1151
[16] Morck R., Yeung B., Yu W. The Information Content of Stock Markets:Why Do Emerging Markets Have Synchronous Stock Price Movements?[J]. Journal of Financial Economics, 2000,58(1/2):215-260
[17] 高铁梅. 计量经济分析方法与建模[M]. 北京:清华大学出版社, 2006
[18] 李志生,陈晨,林秉旋. 卖空机制提高了中国股票市场的定价效率吗?--基于自然实验的证据[J]. 经济研究, 2015,50(4):165-177