Asymmetric effect of margin-trading activities on price crashes: evidence from Chinese stock market

被引：4
|
作者：
Lv, Dayong [1 ]
Ruan, Qingsong [2 ]
机构：
[1] Shanghai Jiao Tong Univ, Antai Coll Econ & Management, Shanghai, Peoples R China
[2] Tongji Univ, Sch Econ & Management, Shanghai, Peoples R China
来源：
APPLIED ECONOMICS LETTERS | 2018年 / 25卷 / 13期
基金：
中国国家自然科学基金; 国家教育部科学基金资助;
关键词：
Margin trading; price crashes; asymmetric effect; negative coefficient of skewness; VOLATILITY; LEVERAGE;
D O I：
10.1080/13504851.2017.1380285
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Prior literature on the impact of margin-trading activity on stock price crashes is mixed and does not reach consensus. Using data from a Chinese margin-trading pilot programme initiated in 2010, this article employs both margin-buying and margin-covering activities to investigate the asymmetric impact on stock price crashes. We find that margin-buying activities are beneficial reducing the price crash prone, especially in bad times. In contrast, margin-covering activities amplify price crashes in both good times and bad times.
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页码：900 / 904
页数：5
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