The Threshold Effect of Leveraged Trading on the Stock Price Crash Risk: Evidence from China

被引：3

作者：

Peng, Zhen ^{[1
]}

Hu, Changsheng ^{[2
]}

机构：

[1] Hubei Univ, Sch Business, Wuhan 430062, Peoples R China

[2] Wuhan Univ, Econ & Management Sch, Wuhan 430072, Peoples R China

来源：

ENTROPY | 2020年 / 22卷 / 03期

基金：

中国国家自然科学基金;

关键词：

leveraged trading; stock price crash risk; threshold effect; complexity in stock market; INVESTOR SENTIMENT; CROSS-SECTION; MARKET; RETURNS; LIQUIDITY;

D O I：

10.3390/e22030268

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

The stock price crash constitutes one part of the complexity in the stock market. We aim to verify the threshold effect of leveraged trading on the stock price crash risk from the perspective of feedback trading. We empirically demonstrate that leveraged trading has a threshold effect on the stock price crash risk on the basis of monthly data on leveraged trading in the Chinese stock market from January 2014 to December 2016. At a low leverage ratio, leveraged trading reduces the stock price crash risk; however, as the leverage ratio increases and exceeds a certain threshold, leveraged trading asymmetrically increases the stock price crash risk. These findings provide new insights in understanding the complexity in the Chinese stock market.

引用

页数：13

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